A cross-country analysis of herd behavior in Europe

By A. Mobarek, Sabur Mollah, Kevin Keasey. 2014

193 citations recorded by the source corpus.

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001–2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global financial crisis and Nordic countries during the Eurozone crisis. However, PIIGS countries are the victims in both crises. Furthermore, we find evidence that the cross sectional dispersions of returns can be partly explained by the cross sectional dispersions of the other markets, with Germany having the greatest influence on the regional cross-country herding effect. Apprehensions heighten among the regulators, policy makers, and investors in the European markets for the herding behavior during volatile market conditions.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d83a6de83618de876b565139ec10a216ab3fe5da

Citations in the corpus

• Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19* (2020, unknown): “Some empirical findings have concluded that the US stock market plays a significant role in financial transactions across global stock markets [27].”
• The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “Economou et al. (2011) and Mobarek et al. (2014) document that herding behavior is more prominent during crisis periods.”