Prague Economic Papers 2021, 30(1):115-130 | DOI: 10.18267/j.pep.760

Dynamic Herding Behaviour In the US Stock Market

Muhammad Yasir ORCID...a, A. Özlem Önder ORCID...b
a Department of Management Sciences, COMSATS University Islamabad, Attock Campus Pakistan
b Department of Economics, Ege University, Izmir, Turkey

This paper employs a dynamic herding approach that takes herding under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of the linear model yield no evidence of herding. However, the findings of switching regression of Bai and Perron (1998) demonstrate evidence of herding during crisis regimes of S&P 500. The alternative approach of Markov switching also supports these findings.

Keywords: Behavioural finance, herding behaviour, cross-sectional dispersions, structural breaks
JEL classification: C22, C58, G01, G15, G41

Received: December 2, 2019; Revised: May 7, 2020; Accepted: June 18, 2020; Prepublished online: September 9, 2020; Published: February 4, 2021  Show citation

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Yasir, M., & Özlem Önder, A. (2021). Dynamic Herding Behaviour In the US Stock Market. Prague Economic Papers, 30(1), 115-130. doi: 10.18267/j.pep.760
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