Industrial Patterns of Herding Beyond the Geographical Boundaries: An Empirical Investigation of Emerging Countries

Abstract

This study investigates the industrial pattern of “herding” in emerging countries including Pakistan, Philippine and Thailand. The uniqueness of the study is the utilization of a rich database from the three above mentioned countries with appropriate industrial classification. Return dispersion model including CSAD, CSSD linear model, non-linear regression and the bullish and bearish effects were applied on the daily returns of 262 companies from 6 sectors over a period of 2009 to 2016. The main findings of the study reveal that there are no signs of herding detected in the linear CSSD except in the energy sector of Pakistan. Moreover, in the linear CSAD model the only sign of herding was observed within the energy sector of Pakistani Stocks. The regression analysis revealed the presence of herding behavior in all 6 sectors of emerging countries except information technology sector. The study also provides evidence on the presence of herding behavior across bullish and bearish market conditions