• Communications for Statistical Applications and Methods
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• v.25 no.2
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• pp.185-197
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• 2018

Measuring market fear is an important way of understanding fundamental economic phenomena related to financial crises. There have been several approaches to measure market fear or panic level in a financial market. Recently, herd behavior has gained its popularity as important economic phenomena explaining the fear in the financial market. In this paper, we investigate herd behavior in global stock markets with a focus on intercontinental comparison. While various risk measures are available for the detection of herd behavior in the market, we use the standardized herd behavior index in Dhaene et al. (Insurance: Mathematics and Economics, 50, 357-370, 2012b) and Lee and Ahn (Dependence Modeling, 5, 316-329, 2017) for the comparison of herd behaviors in global stock markets. A global stock market data from Morgan Stanley Capital International is used to study herd behavior especially during periods of financial crises.

• Journal of the Korean Data and Information Science Society
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• v.22 no.6
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• pp.1199-1215
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• 2011

Relaxing an unrealistic assumption of a representative percolation model, this paper demonstrates that herd behavior leads to a high increase in volatility but not trading volume, in contrast with information flows that give rise to increases in both volatility and trading volume. Although detecting herd behavior has posed a great challenge due to its empirical difficulty, this paper proposes a new methodology for detecting trading days with herding. Furthermore, this paper suggests a herd-behavior-stochastic-volatility model, which accounts for herding in financial markets. Strong evidence in favor of the model specification over the standard stochastic volatility model is based on empirical application with high frequency data in the Korean equity market, strongly supporting the intuition that herd behavior causes excess volatility. In addition, this research indicates that strong persistence in volatility, which is a prevalent feature in financial markets, is likely attributed to herd behavior rather than news.

• Journal of the Korean Data and Information Science Society
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• v.22 no.3
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• pp.423-436
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• 2011

Many of the theoretical studies have considered herd behavior as a source of the volatility in financial markets, but there have been few empirical studies on the dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. In this context, this paper proposes a new method for measuring time-varying herd behavior based on QR-GARCH model. Using daily data of KOSPI stocks, this paper provides some empirical evidence for strong and volatile herding among traders of stocks of medium firms, and shows that time-varying herd behavior in traders of some stocks has persistent autocorrelation.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.63-74
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• 2020

This study investigates the behavior of foreign investors in the Stock Exchange of Thailand (SET) in the time of coronavirus disease 2019 (COVID-19) as to whether trading is abnormal, what strategy is followed, whether herd behavior is present, and whether the actions destabilize the market. Foreign investors' trading behavior is measured by net buying volume divided by market capitalization, whereas the stock market behavior is measured by logged return on the SET index portfolio. The data are daily from Tuesday, August 28, 2018, to Monday, May 18, 2020. The study extends the conditional-regression model in an event-study framework and extracts the unobserved abnormal trading behavior using the Kalman filtering technique. It then applies vector autoregressions and impulse responses to test for the investors' chosen strategy, herd behavior, and market destabilization. The results show that foreign investors' abnormal trading volume is negative and significant. An analysis of the abnormal trading volume with stock returns reveals that foreign investors are not positive-feedback investors, but rather, they self-herd. Although foreign investors' abnormal trading does not destabilize the market, it induces stock-return volatility of a similar size to normal trade. The methodology is new; the findings are useful for researchers, local authorities, and investors.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.9
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• pp.39-49
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• 2020

This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

• Economic Analysis
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• v.17 no.2
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• pp.27-55
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• 2011

Although many theoretical studies have tried to explain the volatility in financial markets using models of herd behavior, there have been few empirical studies on dynamic herding due to the technical difficulty of detecting herd behavior with time-series data. Thus, this paper theoretically extends a continuous beliefs system belonging to an agent based economic model by introducing a term representing agents'mutual dependence into each agent's utility function and derives a SV(stochastic volatility)-type econometric model. From this model the time-varying herding parameters are efficiently estimated by a Markov chain Monte Carlo method. Using monthly data of KOSPI and DOW, this paper provides some empirical evidences for stronger herding in the Korean stock market than in the U.S. stock market, and further stronger herding after the global financial crisis than before it. More interesting finding is that time-varying herd behavior has weak autocorrelation and the global financial crisis may increase its volatility significantly.

• International Area Studies Review
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• v.22 no.1
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• pp.123-140
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• 2018

This paper analyzes herd behavior observed in the loan market from 2001 to 2014 using a panel data on commercial banks including state-owned banks, domestic private banks, foreign banks, and Islamic banks. The paper finds evidence that herd behaviors of domestic private and foreign banks have been pronounced and long-lasting around the 2008 global financial crisis when state-owned banks did not show such a behavior. This result shows that since private banks tend to be keen on maximizing profits and avoid financial risks exposed by lending during a financial crisis, their lending decisions are not independent but dependent on whether other banks increase loans or not. On the other hand, Islamic banks do not show herd behavior during the financial crisis. This finding is consistent with earlier studies that Islamic banks have different characteristics, such as profit and operation mechanisms, from other private banks. Another interesting finding is that when it comes to rural loans, all the banks' herd behavior is short-lived and the herding indexes are quite volatile. This finding is attributable to distinct features of rural loans. Usually maturities of rural loans are shorter than city loans and related to the cycle of farming. Agricultural production is heavily dependent on unpredicted factors, such as floods and droughts, not previous year's production. Lastly, the paper finds a herding across bank type that state-owned, foreign, and Islamic banks follow domestic private banks'lending decisions.

• Journal of Distribution Science
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• v.20 no.1
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• pp.77-85
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• 2022

Purpose: The Covid-19 pandemic has triggered several herd purchase behaviors, and online shopping has been considered a health-related preventative behavior. Thisstudy aimsto the relative impact of health threat beliefs concerning Covid-19 (perceived susceptibility and perceived severity) and herd mentality on consumers' online shopping post-adoption disconfirmation and continuance intention of online shopping. Research design, data and methodology: An internet survey was conducted with Vietnamese consumers, and upon screening, usable data of 292 responses were analyzed using PLS-SEM. Results showed that while herd mentality positively affects disconfirmation, health threat beliefs including perceived susceptibility and perceived severity of Covid-19 do not. Results: Results also provided further support for the notion that disconfirmation is a crucial determinant of post-adoption continuance intention. Moreover, herd mentality also has a significantly negative influence on online shopping post-adoption continuance intention. Conclusions: The research provides evidence supporting the role of herd mentality and post-adoption disconfirmation in driving consumers' intention to continue online shopping. However, the research shows that neither the perceived susceptibility of Covid-19 nor the perceived severity of Covid-19 has significant impact on post-adoption disconfirmation, adding mixed evidence to the application of health belief theory in technology (such as online shopping) adoption.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.15 no.2
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• pp.1-18
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• 2020

This study is to identify the influence of major variables that affect the participation intention of securities type crowdfunding investors and how participation intention and perceived behavioral control affect investors' herd behavior including indirect effect analysis based on the theory of planned behavior. The ultimate purpose of this study is to understand the investment behavior of securities type crowdfunding investors and to help the relevant parties to develop various policies and business plans to revitalize the system and protect investors. An online survey was conducted on people who are interested or have experience in securities type crowdfunding to receive a total of 276 responses. Excluding outliers, a total of 261 responses were taken into account for the final analysis. For the data analysis, structural equation model analysis using SPSS 22.0 and Amos 22.0 statistical package was conducted. As a result, two of the major variables of the theory of planned behavior-attitude and subjective norm-have been found to have a positive effect on the participation intention of securities type crowdfunding investors. And after analyzing the indirect effect, the participation intention was found to play a mediating role between attitude, subjective norm and herd behavior. However, the perceived behavioral control presented as a major variable of behavioral intention in the theory of planned behavior showed that the effect on participation intention was statistically insignificant. Instead, it was found to have a direct positive effect on herd behavior. This is significant because it empirically confirmed that even if investors perceive securities type crowdfunding as easy to participate, perceived behavioral control does not seem to have a significant impact on participation intention because securities type crowdfunding is an investment in an early-stage business with a high risk of loss. On the other hand, the study has great significance in that it empirically confirmed that domestic securities type crowdfunding investors perceive the funding progress information provided by the platform as a signal and imitate many other investors, showing herd behavior when they actually make an investment. It is expected that this study will provide meaningful insights for the policy making of crowdfunding supervisory offices and platform operators by empirically identifying major variables that influence the participation intentions and herd behavior of domestic securities type crowdfunding investors.

• The Journal of the Korea Contents Association
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• v.19 no.5
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• pp.363-370
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• 2019

The purpose of this paper is to investigate motivational factors and consequence of the herd behavior of adolescent consumers under the buying decision process in the connected era of internet. For such purpose, this study built a research model and examined how sensitivity to fads, interaction and inaccuracy affect the disequilibrium consumption of adolescents. We also examined the relationship between disequilibrium consumption and consumption happiness. The survey method was used for this paper, and data from a total of 142 students were used for the analysis. And structural equation model was used to analyze the data. The results of this empirical study is summarized as followings. First, sensitivity to fads and interaction have direct effect on the disequilibrium consumption of adolescents. Second, disequilibrium consumption has a positive effect on adolescents' consumption happiness. This implies that the importance of herd behavior in designing rational choice in adolescents' consumption behaviors.