Investor behaviour and herding:  Evidence from the National Stock Exchange in India

Sunil Poshakwale; Anandadeep Mandal

doi:10.1177/0972652714541341

Investor behaviour and herding: Evidence from the National Stock Exchange in India

Sunil Poshakwale, Anandadeep Mandal

Finance

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

The article examines the presence of herd behaviour in the emerging Indian stock market. Using daily data of S&P CNX Nifty 50 index of the National Stock Exchange over 1997–2012 and by employing Kalman filter, we investigate for the presence of herding. The article finds that the investors in the Indian market show significant herding behaviour. The presence of herding is robust after accounting for time-varying state variables that capture market volatility and market direction. Herding shows significant movements and persistence in both bull and bear markets and it seems to increase in bear market conditions.

Original language	English
Pages (from-to)	197-216
Number of pages	20
Journal	Journal of Emerging Markets Finance
Volume	13
Issue number	2
DOIs	https://doi.org/10.1177/0972652714541341
Publication status	Published - 1 Aug 2014

Keywords

Herd behaviour
emerging market
cross-sectional standard deviation
Kalman Filter

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https://doi.org/10.1177%2F0972652714541341Licence: None: All rights reserved

Cite this

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abstract = "The article examines the presence of herd behaviour in the emerging Indian stock market. Using daily data of S&P CNX Nifty 50 index of the National Stock Exchange over 1997–2012 and by employing Kalman filter, we investigate for the presence of herding. The article finds that the investors in the Indian market show significant herding behaviour. The presence of herding is robust after accounting for time-varying state variables that capture market volatility and market direction. Herding shows significant movements and persistence in both bull and bear markets and it seems to increase in bear market conditions.",

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AB - The article examines the presence of herd behaviour in the emerging Indian stock market. Using daily data of S&P CNX Nifty 50 index of the National Stock Exchange over 1997–2012 and by employing Kalman filter, we investigate for the presence of herding. The article finds that the investors in the Indian market show significant herding behaviour. The presence of herding is robust after accounting for time-varying state variables that capture market volatility and market direction. Herding shows significant movements and persistence in both bull and bear markets and it seems to increase in bear market conditions.

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Investor behaviour and herding: Evidence from the National Stock Exchange in India

Abstract

Keywords

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