Babalos, VassiliosStavroyiannis, StavrosGupta, Rangan2015-11-262015-12Babalos, V, Stavroyiannis, S & Gupta, R 2015, 'Do commodity investors herd? Evidence from a time-varying stochastic volatility model', Resources Policy, vol. 46, part 2, pp. 281-287.0301-4207 (print)1873-7641 (online)10.1016/j.resourpol.2015.10.011http://hdl.handle.net/2263/50931Commodities markets due to their unique characteristics as diversification tools have recently garnered investors’ attention especially through the development of commodity index financial products. This financialization process that started in the early 2000s and escalated after 2004 has precipitated price comovements among various types of commodities creating a proper setting for the examination of herding behavior. Employing a comprehensive dataset of investable commodities indices we examine the existence of herding behavior via static and time varying models. Our findings reveal a non significant anti herding behavior according to static model that is reversed when time varying models are in place. In particular the rolling window analysis reveals interesting patterns of the herding phenomenon. These behavioral patterns are corroborated through a time varying stochastic volatility model. Our results contain significant implications for investors, commodities producers and policy makers.en© 2015 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Resources Policy, vol. 46, part 2, pp. 281-287, 2015. doi : 10.1016/j.resourpol.2015.10.011.CommoditiesHerdingTime varying stochastic volatilityDo commodity investors herd? Evidence from a time-varying stochastic volatility modelPostprint Article