Herding Behavior and Systemic Risk in Global Stock Markets
Iftekhar Hasan, Radu Tunaru, Davide Vioto
Journal of Empirical Finance,
Vol. 73 (September),
2023
Abstract
This paper provides new evidence of herding due to non- and fundamental information in global equity markets. Using quantile regressions applied to daily data for 33 countries, we investigate herding during the Eurozone crisis, China’s market crash in 2015–2016, in the aftermath of the Brexit vote and during the Covid-19 Pandemic. We find significant evidence of herding driven by non-fundamental information in case of negative tail market conditions for most countries. This study also investigates the relationship between herding and systemic risk, suggesting that herding due to fundamentals increases when systemic risk increases more than when driven by non-fundamentals. Granger causality tests and Johansen’s vector error-correction model provide solid empirical evidence of a strong interrelationship between herding and systemic risk, entailing that herding behavior may be an ex-ante aspect of systemic risk, with a more relevant role played by herding based on fundamental information in increasing systemic risk.
Read article
CompNet
CompNet - The Competitiveness Research Network The Competitiveness Research Network (CompNet) provides a forum for high level research and policy analysis in the areas of…
See page
Firm Surveys
Firm Surveys Since 1993, IWH has conducted regular surveys among a fixed group of firms in the manufacturing and construction industry to collect individual data on economic…
See page
Financial Stability
Financial Systems: The Anatomy of the Market Economy How the financial system is constructed, how it works, how to keep it fit and what good a bit of chocolate can do. Dossier In…
See page
The Rise of Populist Parties in Europe
The Rise of Populist Parties in Europe: The Dark Side of Globalisation and Technological Change? Is the increasing strength of populist parties due to economic causes?…
See page
EVA-KULT
EVA-KULT Establishing Evidence-based Evaluation Methods for Subsidy Programmes in Germany The project aims at expanding the Centre for Evidence-based Policy Advice at the Halle…
See page
The Political Economy of the European Banking Union
The Political Economy of the European Banking Union Junior Professorship Lena Tonzer, PhD: The Political Economy of the European Banking Union: Causes for National Differences in…
See page
Insights for Young Researchers in Finance
FYI – Insights for Young Researchers in Finance The Insights for Young Researchers in Finance (FYI) inform junior researchers (PhDs, post-docs, and assistant professors) in…
See page
Privacy
Data Protection Policy We take the protection of your personal data very seriously and treat your personal data with confidentiality and in compliance with the provisions of law…
See page
Behaviour
The maths behind gut decisions First carefully weigh up the costs and benefits and then make a rational decision. This may be the way we want it to be. But in reality, invisible…
See page
