Article Herding Behaviour: Empirical Analysis of Pakistan, China, USA Stock Market
Abstract
The present study investigates market - wide herding of the stock market, industry indices of Pakistan, Chinaand the US, A - cross border herding of Pakistan n stock market with Chinese stock market and the US stock market. With Cross-Sectional - Absolute - Deviation, to check whether geographical distance matters to influence the stock markets or not and the USA as its major influential , cannot be ignored. Market - wide herding in Pakistan is found only during 2004 and 2008 and A - cross border herding for Paki stan is only found from the US which supports asset pricing model and market efficiency. Pakistan market do not herd around China, this negates the matter of geographical distance and influence in determining investor behavior in stock markets. It is revealed that Pakistan stock market does not observe as much herding behavior in stock investment as the other markets (USA and China), so it can be said that Pakistan stock exchange index, which is representative of Pakistan Stock market, is efficiently operating in contest of Herding.
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Copyright (c) 2020 Syed Ali Arslan, Rukhsana Bibi, Attiya Yasmin Javid
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