Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange | Zendy

Ibrahim Onour | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Herd Behavior and Volatility Persistence in Bombay (Mumbai) Stock Exchange

Author(s) -

Ibrahim Onour

Publication year - 2020

Publication title -

management and economics research journal

Language(s) - English

Resource type - Journals

ISSN - 2469-4339

DOI - 10.18639/merj.2020.958657

Subject(s) - autoregressive fractionally integrated moving average , econometrics , economics , volatility (finance) , dividend yield , persistence (discontinuity) , stock (firearms) , unit root , stock exchange , financial economics , long memory , herd behavior , dividend policy , engineering , geography , herding , finance , geotechnical engineering , forestry , mechanical engineering

This paper employs a combination of unit root tests and fractional integration techniques using the ARFIMA(p,d,q) model to test rational bubbles, which implies herd behavior, in Bombay Stock Exchange (BSE). The results in the paper strongly support the evidence of herd behavior in the daily, weekly, and monthly price aggregates. Moreover, the paperalso investigates the degree of conditional volatility persistence using FIGARCH(p,d,q) specification to show that the persistence of shocks to stock price and dividend yield volatilities is short-termed.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research