A cross-country analysis of herd behavior in Europe

Mobarek, Asma; Mollah, Sabur; Keasey, Kevin

Abstract

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.

Citation

Mobarek, A., Mollah, S., & Keasey, K. (2014). A cross-country analysis of herd behavior in Europe. Journal of International Financial Markets, Institutions and Money, 32, 107-127. https://doi.org/10.1016/j.intfin.2014.05.008

• Journal Article Type: Article
• Acceptance Date: May 30, 2014
• Online Publication Date: Jun 8, 2014
• Publication Date: 2014-09
• Deposit Date: Nov 23, 2016
• Publicly Available Date: Nov 23, 2016
• Journal: Journal of international financial markets, institutions and money
• Print ISSN: 1042-4431
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 32
• Pages: 107-127
• DOI: https://doi.org/10.1016/j.intfin.2014.05.008
• Keywords: Herding; Cross-sectional dispersion of returns; Global financial crisis; Eurozone crisis
• Public URL: https://hull-repository.worktribe.com/output/445500
• Publisher URL: http://www.sciencedirect.com/science/article/pii/S1042443114000651
• Additional Information: This is an authors accepted manuscript of an article accepted for publication in: Journal of international financial markets, institutions and money, 2014, v.32.