DOI QR코드

DOI QR Code

Social Factors and Herd Behaviour in Developed Markets, Advanced Emerging Markets and Secondary Emerging Markets

  • Loang, Ooi Kok (School of Management, Universiti Sains Malaysia) ;
  • Ahmad, Zamri (School of Management, Universiti Sains Malaysia)
  • 발행 : 2020.07.31

초록

This paper examines the existence of herd behaviour in fifteen (15) global stock markets, which consist of Developed Markets (Canada, Hong Kong, Japan, Singapore and the United Kingdom), Advanced Emerging Markets (Brazil, Malaysia, Mexico, Poland and South Africa) and Secondary Emerging Markets (Chile, China, Indonesia, the Philippines and Russia) by using Cross Sectional Absolute Deviation (CSAD) method of Chiang and Zheng (2010). It also seeks to explore the impact of social factors such as prosperity, education, ageing society, industry orientation and gender on the existence of market-wide herding. The findings of this paper indicate that herd behaviour exists in Singapore (Developed Market), Mexico, Poland and South Africa (Advanced Emerging Markets) and China and the Philippines (Secondary Emerging Markets). No evidence of herding is observed for Canada, Hong Kong, Japan, United Kingdom, Brazil, Malaysia, Chile, Indonesia and Russia. Ageing society is also found to have significant impact on the existence of herd behaviour. Nonetheless, prosperity, education, industry orientation and gender are found to be insignificant to herding. This study sheds some light on whether social factors determine herding behaviour in the 15 selected stock markets.

키워드

참고문헌

  1. Achen, C. H. (2001). Why Lagged Dependent Variables Can Suppress the Explanatory Power of Other Independent Variables. Ann Arbor, 1001, 48106-1248.
  2. Altman, M. (2012). Implications of behavioural economics for financial literacy and public policy. The Journal of Socio-Economics, 41(5), pp.677-690. https://doi.org/10.1016/j.socec.2012.06.002
  3. Barber, B.M., & Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics, 116(1), pp.261-292. https://doi.org/10.1162/003355301556400
  4. Barnes, M.L. and A.W. Hughes (2002). A Quantile Regression Analysis of the Cross Section of Stock Market Returns. Working Paper 02-2, Federal Reserve Bank of Boston.
  5. Barro, R. J. (1990). The stock market and investment. Review of Financial Studies, 3(1), 115-131. https://doi.org/10.1093/rfs/3.1.115
  6. Beckmann, D., & Menkhoff, L. (2008). Will women be women? Analyzing the gender difference among financial experts. Kyklos, 61(3), pp.364-384. https://doi.org/10.1111/j.1467-6435.2008.00406.x
  7. Beckmann, D., Lutje, T., & Rebeggiani, L. (2011). Italian asset managers' behavior: Evidence on overconfidence, risk taking and gender. Journal of Modern Accounting and Auditing, 7(12), 1368.
  8. Bell, A., & Jones, K. (2015). Explaining fixed effects: Random effects modeling of time-series cross-sectional and panel data. Political Science Research and Methods, 3(1), pp.133-153. https://doi.org/10.1017/psrm.2014.7
  9. Belsley, D. A., Kuh, E., & Welsch, R. E. (2005). Regression diagnostics: Identifying influential data and sources of collinearity. John Wiley & Sons, vol. 571.
  10. Blume, L., Easley, D., & O'hara, M. (1994). Market statistics and technical analysis: The role of volume. The Journal of Finance, 49(1), pp.153-181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
  11. Bowe, M., & Domuta, D. (2004). Investor herding during financial crisis: A clinical study of the Jakarta Stock Exchange. Pacific-Basin Finance Journal, 12(4), 387-418. https://doi.org/10.1016/j.pacfin.2003.09.003
  12. Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47(5), 1731-1764. https://doi.org/10.1111/j.1540-6261.1992.tb04681.x
  13. Cahill, M. B. (2005). Is the human development index redundant? Eastern Economic Journal, 31(1), 1-5.
  14. Cakan, E., & Balagyozyan, A. (2014). Herd behaviour in the Turkish banking sector. Applied Economics Letters, 21(2), pp.75-79. https://doi.org/10.1080/13504851.2013.842629
  15. Chang, E.C., Cheng, J.W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), pp.1651-1679. https://doi.org/10.1016/S0378-4266(99)00096-5
  16. Chen, G., Kim, K.A., Nofsinger, J.R., & Rui, O.M. (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), pp.425-451. https://doi.org/10.1002/bdm.561
  17. Chen, G., Rui, O. M. & Xu, Y. (2003). When will investors herd? Evidence from the Chinese stock markets. Journal of Financial Research, 37, 2-40.
  18. Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behaviour in global stock markets. Journal of Banking & Finance, 34(8), 1911-1921. https://doi.org/10.1016/j.jbankfin.2009.12.014
  19. Chiang, T.C., Jeon, B.N., Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance 26, 1206-1228. https://doi.org/10.1016/j.jimonfin.2007.06.005
  20. Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 51(4), 31-37. https://doi.org/10.2469/faj.v51.n4.1918
  21. Clark, A.B. (1978). Sex ratio and local resource competition in a prosimian primate. Science, 201(4351), pp.163-165. https://doi.org/10.1126/science.201.4351.163
  22. Cont, R., & Bouchaud, J. P. (2000). Herd behaviour and aggregate fluctuations in financial markets. Macroeconomic Dynamics, 4(02), 170-196. https://doi.org/10.1017/S1365100500015029
  23. d'Albis, H., & Collard, F. (2013). Age groups and the measure of population aging. Demographic Research, 29, 617-640. https://doi.org/10.4054/DemRes.2013.29.23
  24. Davis, E. P. (2002). Ageing and financial stability. Ageing, Financial Markets and Monetary Policy (pp. 191-227). Springer, Berlin, Heidelberg.
  25. Decamps, J.P., & Lovo, S. (2002). Risk aversion and herd behavior in financial markets. Working Paper, Gremaq University of Toulouse.
  26. Demirer, R., & Kutan, A.M. (2006). Does herding behavior exist in Chinese stock markets? Journal of International Financial Markets, Institutions and Money, 16(2), pp.123-142. https://doi.org/10.1016/j.intfin.2005.01.002
  27. Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3), 603-615. https://doi.org/10.1016/0014-2921(95)00073-9
  28. Diener, E., Ng, W., Harter, J., & Arora, R. (2010). Wealth and happiness across the world: material prosperity predicts life evaluation, whereas psychosocial prosperity predicts positive feeling. Journal of personality and social psychology, 99(1), p.52. https://doi.org/10.1037/a0018066
  29. Dwyer, P.D., Gilkeson, J.H., & List, J.A. (2002). Gender differences in revealed risk taking: evidence from mutual fund investors. Economics Letters, 76(2), pp.151-158. https://doi.org/10.1016/S0165-1765(02)00045-9
  30. Economou, F., Kostakis, A., & Philippas, N. (2010), March. An examination of herd behaviour in four mediterranean stock markets. European Economics and Finance Society Conference Paper, 1-20.
  31. England, R. W. (1998). Measurement of social well-being: alternatives to gross domestic product. Ecological Economics, 25(1), 89-103. https://doi.org/10.1016/S0921-8009(97)00098-0
  32. Filip, A., Pochea, M., & Pece, A. (2015). The herding behaviour of investors in the CEE stocks markets. Procedia Economics and Finance, 32(1), 307-315. https://doi.org/10.1016/S2212-5671(15)01397-0
  33. French, K.R., & Poterba, J.M. (1991). Investor diversification and international equity markets. NBER Working Paper, No. 3609.
  34. Gebka, B., & Wohar, M.E. (2013). International herding: Does it differ across sectors? Journal of International Financial Markets, Institutions and Money, 23, pp.55-84. https://doi.org/10.1016/j.intfin.2012.09.003
  35. Gelos, R. G., & Wei, S. J. (2002). Transparency and international investor behaviour. NBER Working paper, No. 9260.
  36. Grubb, D., & Symons, J. (1987). Bias in regressions with a lagged dependent variable. Econometric Theory, 3(3), 371-386. https://doi.org/10.1017/S0266466600010458
  37. Guedj, O., & Bouchaud, J. P. (2005). Expert earning forecast: Bias, herding and gossamer information. International Journal of Theoretical and Applied Finance, 8(07), 933-946. https://doi.org/10.1142/S0219024905003281
  38. Guimond, S. (2008). Psychological similarities and differences between women and men across cultures. Social and Personality Psychology Compass, 2(1), pp.494-510. https://doi.org/10.1111/j.1751-9004.2007.00036.x
  39. Hong, H., Kubik, J. D., & Stein, J. C. (2004). Social interaction and stock' market participation. The Journal of Finance, 59(1), 137-163. https://doi.org/10.1111/j.1540-6261.2004.00629.x
  40. Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), pp.585-616. https://doi.org/10.1016/j.jempfin.2004.04.003
  41. Iihara, Y., Kato, H. K., & Tokunaga, T. (2001). Investors' herding on the Tokyo stock exchange. International Review of Finance, 2(1-2), 71-98. https://doi.org/10.1111/1468-2443.00016
  42. Indars, E. R., Savin, A., & Lubloy, A. (2019). Herding behaviour in an emerging market: Evidence from the Moscow Exchange. Emerging Markets Review, 38, 468-487. https://doi.org/10.1016/j.ememar.2018.12.002
  43. Jaiswal, B., & Kamil, N. (2012). Gender, behavioral finance and the investment decision. IBA Business Review, 7(2), pp.8-22.
  44. Kaminsky, G. L., & Schmukler, S. L. (1999). What triggers market jitters?: A chronicle of the Asian crisis. Journal of International Money and Finance, 18(4), 537-560. https://doi.org/10.1016/S0261-5606(99)00015-7
  45. Kessler, R.C., Price, R.H., & Wortman, C.B. (1985). Social factors in psychopathology: Stress, social support, and coping processes. Annual Review of Psychology, 36(1), pp.531-572. https://doi.org/10.1146/annurev.ps.36.020185.002531
  46. Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: Journal of the Econometric Society, 33-50.
  47. Kumar, A. (2009). Who gambles in the stock market? The Journal of Finance, 64(4), pp.1889-1933. https://doi.org/10.1111/j.1540-6261.2009.01483.x
  48. Leamer, Edward E. (2009). Macroeconomic Patterns and Stories: A Guide for MBAs. Los Angeles: Springer.
  49. Lux, T. (1995). Herd behaviour, bubbles and crashes. The Economic Journal, pp.881-896.
  50. McGillivray, M. (1991). The Human Development Index: yet another redundant composite development indicator? World Development, 19(10), 1461-1468. https://doi.org/10.1016/0305-750X(91)90088-Y
  51. McGillivray, M., & White, H. (1993). Measuring development? The UNDP's human development index. Journal of International development, 5(2), 183-192. https://doi.org/10.1002/jid.3380050210
  52. McKinnish, T. (2005). Lagged dependent variables and specification bias. Economics Letters, 88(1), 55-59. https://doi.org/10.1016/j.econlet.2004.12.025
  53. Nakagawa, R., & Uchida, H. (2011). Herd behaviour by Japanese banks after financial deregulation. Economica, 78(312), 618-636. https://doi.org/10.1111/j.1468-0335.2010.00870.x
  54. Neville J, Simsek O, Jensen D. (2004). Autocorrelation and relational learning: challenges and opportunities. Proceedings of Workshop Statistical Relational Learning, AAAI Press, pp 290-299.
  55. Ng, S. H. (1998). Social psychology in an ageing world: Ageism and intergenerational relations. Asian Journal of Social Psychology, 1(1), 99-116. https://doi.org/10.1111/1467-839X.00007
  56. Nofsinger, J. R. (2005). Social mood and financial economics. The Journal of Behavioural Finance, 6(3), 144-160. https://doi.org/10.1207/s15427579jpfm0603_4
  57. Nofsinger, J.R., & Sias, R.W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), pp.2263-2295. https://doi.org/10.1111/0022-1082.00188
  58. Pochea, M. M., Filip, A. M., & Pece, A. M. (2017). Herding behavior in CEE stock markets under asymmetric conditions: a quantile regression analysis. Journal of Behavioral Finance, 18(4), 400-416. https://doi.org/10.1080/15427560.2017.1344677
  59. Poterba, J. (2004). The impact of population aging on financial markets. NRER Working Paper, No. 10851.
  60. Raafat, R. M., Chater, N., & Frith, C. (2009). Herding in humans. Trends in Cognitive Sciences, 13(10), 420-428. https://doi.org/10.1016/j.tics.2009.08.002
  61. Salem, R. (2019). Examining the investment behavior of Arab women in the stock market. Journal of Behavioral and Experimental Finance, 22, 151-160. https://doi.org/10.1016/j.jbef.2019.03.001
  62. Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
  63. Singh, R. (2010). Globalisation and Capital Market Reforms: Impact on Efficiency of the Indian Stock Market. Decision (0304-0941), 37(2).
  64. Suto, M., & Toshino, M. (2005). Behavioural biases of Japanese institutional investors: Fund management and corporate governance. Corporate Governance: An International Review, 13(4), pp.466-477. https://doi.org/10.1111/j.1467-8683.2005.00442.x
  65. Uchida, H., & Nakagawa, R. (2007). Herd behavior in the Japanese loan market: Evidence from bank panel data. Journal of Financial Intermediation, 16(4), pp.555-583. https://doi.org/10.1016/j.jfi.2007.03.007
  66. Yao, J., Ma, C., & He, W. P. (2014). Investor herding behaviour of Chinese stock market. International Review of Economics & Finance, 29, 12-29. https://doi.org/10.1016/j.iref.2013.03.002