Article Herding Behaviour: Empirical Analysis of Pakistan, China, USA Stock Market

  • Syed Ali Arslan Pakistan institute of Development Economics
  • Rukhsana bibi Pakistan Institute of Development Economics, Islamabad, Pakistan
  • Attiya Yasmin Javid Pakistan institute of Development Economics
Keywords: Asset pricing, China, cross-sectional absolute deviations, herding, market efficiency, Pakistan, stock markets, USA

Abstract

The present study investigates market-wide herding of the stock market industry indices of Pakistan, China, and the USA, and cross-border herding of Pakistan stock market with the Chinese stock market and USA stock market. With Cross-Sectional-Absolute-Deviation, this study checks whether geographical distance matters in influencing the stock markets or not and if the USA is it's major influential and cannot be ignored. Market-wide herding in Pakistan is found only during 2004 and 2008, and across border herding for Pakistan is only found from the USA, which supports the asset pricing model and market efficiency hypotheses. Pakistan market does not herd around China- this negates that geographical distance matters and influences in determining investor behavior in stock markets. It is also revealed that the Pakistan stock market does not observe as much herding behavior in stock investment as other markets (such as the USA and China), so it can be said that the Pakistan Stock market is efficiently operating in the context of herding.

JEL Classification: G02, G11, G14, G1

Downloads

Download data is not yet available.
Published
2020-08-31
How to Cite
Arslan, S., bibi, R., & Javid, A. (2020). Article Herding Behaviour: Empirical Analysis of Pakistan, China, USA Stock Market. Journal of Finance and Accounting Research, 2(2), 1-1. https://doi.org/10.32350/jfar/2020/0202/480