Open AccessAN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES
Author(s) -
R. Eki Rahman,
Ermawati Ermawati
Publication year - 2020
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 4
ISSN - 2460-9196
DOI - 10.21098/bemp.v23i3.1362
Subject(s) - herding , stock market , stock (firearms) , stock market index , financial economics , business , stock market bubble , stock exchange , economics , econometrics , finance , geography , context (archaeology) , archaeology , forestry
We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.