An Empirical Analysis of Herding Behaviour in Indian Stock Market
Keywords:
Herding behaviour, Cross-Sectional Absolute Deviation (CSAD), financial crisis, Rising market, declining marketAbstract
This paper aim is to examine herding behaviour in Indian stock market with a sample of firms listed on National Stock Exchange of India during the year from 2003 – 2017. The study applies the method devoloped by the Chang, Cheng & Khorana (2000) to observe the herding behaviour. Also, this study tries to examine the herding behaviour of rising and declining movements for daily and weekly observations. Finally, to capture the global financial crisis effect on herding behaviour, the study time-frequency divided into three phases, i.e., before crisis, after crisis and during crisis, then examined the herding behaviour in Indian stock market. To check the unit root for the observations of the study, the research applied ADF statistics. The outcome of the research endorse the no indication of herding behaviour existed among the stocks of the Indian market, also investigated the herding behaviour before crisis, after crisis and during crisis, no evidence of herding behaviour detected in the Indian market.
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