Herding by corporates in the US and the Eurozone through different market conditions

Duygun, Meryem, Tunaru, Radu and Vioto, Davide (2020) Herding by corporates in the US and the Eurozone through different market conditions. Journal of International Money and Finance. a102311. ISSN 0261-5606

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Abstract

In this study, we test the herding towards a market consensus in the main financial industries of the United States and the Eurozone equity markets. We find that herding is more likely to be present in high quantiles that reflects turbulent market conditions. This herding appears to be more pronounced during financial crisis periods and in cases of asymmetric conditions of volatility, credit deterioration, and illiquid funding. Furthermore, we provide evidence that the cross-sectional dispersion of returns throughout the domestic equity market can be partly explained by the corresponding dispersions of the financial industries. In our analysis we cover the last two main global financial crises and identify new evidence of “spurious” and “intentional” herding by corporates. Further, our results are robust when considering short-selling bans.

Item Type: Article
Schools and Departments: University of Sussex Business School > Accounting and Finance
SWORD Depositor: Mx Elements Account
Depositing User: Mx Elements Account
Date Deposited: 27 Oct 2020 07:49
Last Modified: 27 Oct 2020 09:34
URI: http://sro.sussex.ac.uk/id/eprint/94623

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