Exploring Herding Behaviour in Indian Equity Market during COVID-19 Pandemic: Impact of Volatility and Government Response. (December 2022)

• Record Type: Journal Article
• Authors: Bharti, ; Kumar, Ashish
• Is Part Of: Millennial Asia. Volume 13:Number 3(2022)
• Page Start: 513
• Page End: 531
• Publication Date: 2022-12
• Subjects: Herd behaviour -- market volatility -- cross-sectional absolute deviation -- market efficiency -- portfolio management; Asia -- Periodicals; Asia -- History -- 21st century -- Periodicals; Asia -- Politics and government -- Periodicals; 950.05
• DOI: 10.1177/09763996211020687
• Languages: English
• ISSNs: 0976-3996

Abstract

This study investigates the behavioural bias of market-wide herding in the Indian equity market during the spread of COVID-19 pandemic. The study also examines the impact of market volatility and government response on herding during the sample period. We use the measure of cross-sectional absolute deviation and semi-parametric estimator of quantile regression for the period 1 January 2020 till 15 June 2020 for S&P CNX Nifty Index and its 50 constituent companies. The results obtained reveal significant herding in the Indian equity market that is aggravated by market volatility. Further, we find that the government response and control measures implemented are successful in reducing herd behaviour. The research calls for better information disclosure guidelines to promote market efficiency. We further suggest that during exogenous events, investors need to realign their portfolios and formulate trading strategies for better risk-return management.