Herding Behaviors in ASEAN Stock Markets

Main Article Content

Jian Yao Nopphon Tangjitprom

Abstract

ABSTRACT
This paper aims to use comprehensive evidence to test the herding behaviors existing in 6 ASEAN stock markets, including Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam. The paper used a survivor-bias-free dataset of daily stock returns during the period January 1, 2009 to June 30, 2016 to measure the results. The empirical results from the 6 ASEAN stock markets showed that herding behavior has existed only in Vietnam, and Vietnam own significant herding behavior during different asymmetric market conditions. We also found evidence to show the significant role of U.S. return dispersions in the ASEAN stock market; however, the U.S. stock market cannot affect the herding formation of each ASEAN stock market.

Keywords: Herding Behavior, Cross-sectional Absolute Deviation, ASEAN Stock Markets

Downloads

Download data is not yet available.

Article Details

How to Cite
YAO, Jian; TANGJITPROM, Nopphon. Herding Behaviors in ASEAN Stock Markets. วารสารเศรษฐศาสตร์และกลยุทธ์การจัดการ ( Journal of Economics and Management Strategy ), [S.l.], v. 6, n. 1, p. 19-34, june 2019. ISSN 2586-9744. Available at: <https://kuojs.lib.ku.ac.th/index.php/jems/article/view/2322>. Date accessed: 02 feb. 2023.
Section
บทความวิจัย (Research Article)