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An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach

Author

Listed:
  • Richard T. Ampofo

    (Kwame Nkrumah University of Science and Technology)

  • Eric N. Aidoo

    (Heriot-Watt University)

  • Bernard O. Ntiamoah

    (Kwame Nkrumah University of Science and Technology)

  • Ophelia Frimpong

    (University of Texas El Paso)

  • Daniel Sasu

    (Bowling Green State University)

Abstract

This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herding behaviour using the quantile regression approach in addition to the OLS model. We found no evidence of herding before the COVID-19 pandemic in both bullish and bearish markets for USA and UK. However, herding incidence was discovered in the USA and UK bullish market during the COVID-19 period. In the bearish market, herding behaviour was only found during the COVID-19 period in USA. The study provides policymakers and investors with information to draw significant measures in their investment portfolio management during crises and pandemics.

Suggested Citation

  • Richard T. Ampofo & Eric N. Aidoo & Bernard O. Ntiamoah & Ophelia Frimpong & Daniel Sasu, 2023. "An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 517-540, June.
    • Handle: RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8
    DOI: 10.1007/s12197-022-09613-8
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    More about this item

    Keywords

    Herding behaviour; Quantile regression; USA and UK stock market; COVID-19; Asymmetry condition;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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