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Aggregate Herding Behavior in Asymmetric and During COVID-19 Pandemic: Evidence from ASEAN Capital Market

In: Proceedings of the 8th Global Conference on Business, Management, and Entrepreneurship (GCBME 2023)

Author

Listed:
  • Gusni Gusni

    (Widyatama University)

  • Nugraha Nugraha

    (Universitas Pendidikan Indonesia)

  • Disman Disman

    (Universitas Pendidikan Indonesia)

  • Maya Sari

    (Universitas Pendidikan Indonesia)

Abstract

Aggregate herding behavior can arise in asymmetric scenarios when the market is in different states (up and down markets) and during the COVID-19 pandemic, which may lead to stock market stress. This study aims to look into the existence of aggregate herding behaviour in asymmetric conditions and during the COVID-19 pandemic from four capital markets in ASEAN. This study employs a cross-sectional dispersion approach to capture herding by employing daily closing stock price data from January 2015 to December 2020. The findings revealed that asymmetric herding was only discovered in the Thailand capital market when the market was down, whereas other capital markets had no asymmetric herding behaviour. During the COVID-19 pandemic, herding behavior occurred in the Malaysian, Thailand, and Singapore capital markets but not in the Indonesian capital market. These findings may assist capital market officials in anticipating herding behavior to keep capital markets stable, especially during times of high market volatility in ASEAN capital markets.

Suggested Citation

  • Gusni Gusni & Nugraha Nugraha & Disman Disman & Maya Sari, 2024. "Aggregate Herding Behavior in Asymmetric and During COVID-19 Pandemic: Evidence from ASEAN Capital Market," Advances in Economics, Business and Management Research, in: Ratih Hurriyati & Lili Adi Wibowo & Sulastri Sulastri & Lisnawati Lisnawati (ed.), Proceedings of the 8th Global Conference on Business, Management, and Entrepreneurship (GCBME 2023), pages 43-48, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-443-3_7
    DOI: 10.2991/978-94-6463-443-3_7
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