dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Demirer, Riza
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Nel, Jacobus
|
|
dc.date.accessioned |
2022-06-06T07:29:04Z |
|
dc.date.available |
2022-06-06T07:29:04Z |
|
dc.date.issued |
2021-09 |
|
dc.description.abstract |
The aim of this study is to understand the effect of the recent novel coronavirus pandemic
on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index
of financial uncertainty associated with infectious diseases, we examine the association between
pandemic-induced market uncertainty and herding behavior in a set of 49 global stock markets.
More specifically, we study the pattern of cross-sectional market behavior and examine whether
the pandemic-induced uncertainty drives directional similarity across the global stock markets that
cannot be explained by the standard asset pricing models. Utilizing a time-varying variation of the
static herding model, we first identify periods during which herding is detected. We then employ
probit models to examine the possible association between pandemic-induced uncertainty and the
formation of herding. Our findings show a strong association between herd formation in stock
markets and COVID-19 induced market uncertainty. The herding effect of COVID-19 induced market
uncertainty is particularly strong for emerging stock markets as well as European PIIGS stock markets
that include some of the hardest hit economies in Europe by the pandemic. The findings establish a
direct link between the recent pandemic and herd formation among market participants in global
financial markets. Considering the evidence that herding behavior can drive security prices away
from equilibrium values supported by fundamentals and further contribute to price fluctuations
in financial markets, our findings have significant implications for policy makers and investors
in their efforts to monitor investor sentiment and mitigate mis-valuations that might occur as a
result. Furthermore, the evidence on the behavioral pattern of stock investors in relation to infectious
diseases uncertainty can be useful in studying price discovery in stock markets and might help
market participants in forming hedging strategies to mitigate downside risk in their investment
portfolios. |
en_US |
dc.description.department |
Economics |
en_US |
dc.description.librarian |
pm2022 |
en_US |
dc.description.uri |
http://www.mdpi.com/journal/risks |
en_US |
dc.identifier.citation |
Bouri, Elie, Riza Demirer,
Rangan Gupta, and Jacobus Nel. 2021.
COVID-19 Pandemic and Investor
Herding in International Stock
Markets. Risks 9: 168. https://doi.org/10.3390/risks9090168/ |
en_US |
dc.identifier.issn |
2227-9091 (online) |
|
dc.identifier.other |
10.3390/risks9090168 |
|
dc.identifier.uri |
https://repository.up.ac.za/handle/2263/85686 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
MPDI |
en_US |
dc.rights |
© 2021 by the authors.
Licensee: MDPI, Basel, Switzerland.
This article is an open access article
distributed under the terms and
conditions of the Creative Commons
Attribution (CC BY) license. |
en_US |
dc.subject |
International stock markets |
en_US |
dc.subject |
Investor herding |
en_US |
dc.subject |
COVID-19 pandemic |
en_US |
dc.subject |
Coronavirus disease 2019 (COVID-19) |
en_US |
dc.title |
COVID-19 pandemic and investor herding in international stock markets |
en_US |
dc.type |
Article |
en_US |