Investor Behaviour and Herding: Evidence from the National Stock Exchange in India. (August 2014)

• Record Type: Journal Article
• Authors: Poshakwale, Sunil; Mandal, Anandadeep
• Is Part Of: Journal of emerging market finance. Volume 13:Number 2(2014:May/Aug.)
• Page Start: 197
• Page End: 216
• Publication Date: 2014-08
• Subjects: Herd behaviour -- emerging market -- cross-sectional standard deviation -- Kalman filter; Banks and banking -- Developing countries -- Periodicals; Financial institutions -- Developing countries -- Periodicals; Securities -- Developing countries -- Periodicals; 332.09172405
• DOI: 10.1177/0972652714541341
• Languages: English
• ISSNs: 0972-6527

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. JEL Classification: C02, C21, G11, G14