Do investors herd in Indian market

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• 作者：Ashish Garg ; Rachita Gulati
• 关键词：Herding ; Behavioral finance ; Cross ; sectional volatility ; CH model ; CCK model
• 刊名：DECISION
• 出版年：2013
• 出版时间：December 2013
• 年：2013
• 卷：40
• 期：3
• 页码：181-196
• 全文大小：n>
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• 作者单位：Ashish Garg (1)
  Rachita Gulati (2)
  
  1. Lal Bahadur Shastri Institute of Management, Plot NO. 7, Sector 11, Dwarka, 110075, New Delhi, India
  2. Department of Humanities and Social Sciences, Indian Institute of Technology Roorkee, Roorkee, 247667, Uttarakhand, India
  
• 刊物类别：Management/Business for Professionals;
• 刊物主题：Management/Business for Professionals;
• 出版者：Springer India
• ISSN：2197-1722

文摘

This paper examines the presence of herd behavior in Indian stock market in extreme market conditions using data from the National Stock Exchange. The study used the measures suggested by Christie and Huang (Financial Anal J 51:31鈥?7, 1995) and Chang et al. (J Bank Finance 24:1651鈥?679, 2000) based on cross-sectional standard deviation and cross-sectional absolute deviation, respectively. Empirical results based on daily, weekly, and monthly data indicate that during periods of extreme price movements, equity return dispersions tend to increase rather than decrease, hence providing evidence against the presence of herding in the Indian stock market for the years 2000鈥?013. Even no evidence of herding is found during the extremely high and extremely low trading volume days. Owing to the regulatory reforms of the Indian equity market and the intense presence of the foreign institutional investors, investors鈥?behavior seems more rational, that validates the application of rational pricing models in the Indian stock markets. Keywords Herding Behavioral finance Cross-sectional volatility CH model CCK model