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A Test of Herding in Performance of Indian Stock Exchange


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1 School of Management, IMS Unison University, Uttrakhand, India
     

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Herding is very common in extreme market situations; the article tests the evidence of herding in both pre- and post-crisis periods on daily and monthly investment patterns. The empirical results do not reveal any strong proof of market-wide herding during study period (Sep- 2005 to Mar-2016). However, some weak evidences of herding were reported during movements in market. Even the periods of extreme movements do not show any strong evidence for the same; this in turn, strengthens the notion of asymmetric nature of herding. In fact, Investment pattern shows evidences of rationality in investment decision based on information. This might be a major cause of mild effect of financial crisis 2008 in India.

Keywords

Herding Behaviour, Cross-sectional Absolute Deviation, Financial Crisis, Stock Performance, Behavioural Finance.
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  • A Test of Herding in Performance of Indian Stock Exchange

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Authors

Santosh Kumar
School of Management, IMS Unison University, Uttrakhand, India

Abstract


Herding is very common in extreme market situations; the article tests the evidence of herding in both pre- and post-crisis periods on daily and monthly investment patterns. The empirical results do not reveal any strong proof of market-wide herding during study period (Sep- 2005 to Mar-2016). However, some weak evidences of herding were reported during movements in market. Even the periods of extreme movements do not show any strong evidence for the same; this in turn, strengthens the notion of asymmetric nature of herding. In fact, Investment pattern shows evidences of rationality in investment decision based on information. This might be a major cause of mild effect of financial crisis 2008 in India.

Keywords


Herding Behaviour, Cross-sectional Absolute Deviation, Financial Crisis, Stock Performance, Behavioural Finance.

References