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Herding behavior and systemic risk in global stock markets
journal contribution
posted on 2023-06-10, 07:11 authored by Iftekhar Hasan, Radu TunaruRadu Tunaru, Davide ViotoThis paper provides new evidence of herding due to non- and fundamental information in global equity markets. Using quantile regressions applied to daily data for 33 countries, we investigate herding during the Eurozone crisis, China’s market crash in 2015-2016, in the aftermath of the Brexit vote and during the Covid-19 Pandemic. We find significant evidence of herding driven by non-fundamental information in case of negative tail market conditions for most countries. This study also investigates the relationship between herding and systemic risk, suggesting that herding due to fundamentals increases when systemic risk increases more than when driven by non-fundamentals. Granger causality tests and Johansen’s vector error-correction model provide solid empirical evidence of a strong interrelationship between herding and systemic risk, entailing that herding behavior may be an ex-ante aspect of systemic risk, with a more relevant role played by herding based on fundamental information in increasing systemic risk.
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Empirical FinanceISSN
0927-5398Publisher
ElsevierPublisher URL
External DOI
Volume
73Page range
107-133Department affiliated with
- Accounting and Finance Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2023-05-31First Compliant Deposit (FCD) Date
2023-05-27Usage metrics
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