Article2013

Herding in Dhaka Stock Exchange

22 citations0/0 files storedJournal of Applied Business and Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

This paper examines herding in Dhaka Stock Exchange (DSE) in Bangladesh. Daily and monthly returns for all the stocks listed on DSE for the period of January, 2005 to December, 2011, including the market crash in December, 2010, have been used in this study. Using Cross-Sectional Standard Deviation (CSSD) and Cross-Sectional Absolute Deviation (CSAD) technique, this study did not detect existence of herding in Dhaka Stock Exchange for the above mentioned time period. Absence of herding in Bangladesh depicts that investors in DSE are rational and make investment decisions based on information available in the marketplace rather than following the market consensus.

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References

1992A Simple Model of Herd Behavior 1999Herding and Feedback Trading by Institutional and Individual Investors 2000Herd Behavior in Financial Markets 1995Following the Pied Piper: Do Individual Returns Herd around the Market?2010An empirical analysis of herd behavior in global stock markets 2004Market stress and herding 2007Herding behavior in Chinese stock markets: An examination of A and B shares 1990Speculative Prices and Popular Models

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2020Static and Regime-Dependent Herding Behavior: An Emerging Market Case Study

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