Worldwide Recessions and Herding Behaviour: A Comparative Analysis of Three Countries
The general suggestion that behavioral science plays a part in creating abnormalities within the financial sector has been studied and proposed many times in the past. This study aims to prove the existence of behavioral sciences, specifically herding behavior, in three countries with different market conditions: Indonesia (Emerging), Vietnam (Frontier), and the United States (Developed). We developed our methodology using quantile regression to study the existence of herding behavior, and our findings were as follows: (1) As expected, the US didn’t have any indication of a statistically significant herding presence; they do, however, indicate an insignificant presence of herding behavior in the post-covid period under bearish conditions (2) Vietnam does not indicate significant herding tendencies, (3) Surprisingly, Indonesia did not exhibit statistically significant herding presence, but both Indonesia and Vietnam exhibited the slight presence of herding behavior but still relatively insignificant.
Adnan, M. (2023). Modeling Herding Behavior in the Indonesian Capital Market. International Journal of Economics, Business and Management Research, 07(04), 167–179. https://doi.org/10.51505/IJEBMR.2023.7413
Bennett, D., Mekelburg, E., & Williams, T. H. (2023). BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing. Research in International Business and Finance, 65, 101939. https://doi.org/10.1016/j.ribaf.2023.101939
Chang, C.-L., McAleer, M., & Wang, Y.-A. (2020). Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*. Renewable and Sustainable Energy Reviews, 134, 110349. https://doi.org/10.1016/j.rser.2020.110349
Chen, Z., & Zheng, H. (2022). Herding in the Chinese and US stock markets: Evidence from a micro-founded approach. International Review of Economics & Finance, 78, 597–604. https://doi.org/10.1016/j.iref.2021.11.015
Choijil, E., Méndez, C. E., Wong, W.-K., Vieito, J. P., & Batmunkh, M.-U. (2022). Thirty years of herd behavior in financial markets: A bibliometric analysis. Research in International Business and Finance, 59, 101506. https://doi.org/10.1016/j.ribaf.2021.101506
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
Kuramoto, Y., Khan, M. S. R., & Kadoya, Y. (2024). Behavioral Biases in Panic Selling: Exploring the Role of Framing during the COVID-19 Market Crisis. Risks, 12(10), 162.
Mihajlovic, S., Nikolic, D., Santric-Milicevic, M., Milicic, B., Rovcanin, M., Acimovic, A., & Lackovic, M. (2022). Four Waves of the COVID-19 Pandemic: Comparison of Clinical and Pregnancy Outcomes. Viruses, 14(12), 2648. https://doi.org/10.3390/v14122648
Mishra, P. K., & Mishra, S. K. (2023). Do Banking and Financial Services Sectors Show Herding Behaviour in Indian Stock Market Amid COVID-19 Pandemic? Insights from Quantile Regression Approach. Millennial Asia, 14(1), 54–84. https://doi.org/10.1177/09763996211032356
Mubarok, F., & Fadhli, M. M. (2020). Efficient Market Hypothesis and Forecasting of the Industrial Sector on the Indonesia Stock Exchange. Journal of Economics, Business, & Accountancy Ventura, 23(2), 160–168. https://doi.org/10.14414/jebav.v23i2.2240
Muth, J. F. (1961). Rational Expectations and the Theory of Price Movements. Econometrica, 29(3), 315. https://doi.org/10.2307/1909635
Nguyen, H. M., Bakry, W., & Vuong, T. H. G. (2023). COVID-19 pandemic and herd behavior: Evidence from a frontier market. Journal of Behavioral and Experimental Finance, 38, 100807. https://doi.org/10.1016/j.jbef.2023.100807
Sánchez-Granero, M. A., Balladares, K. A., Ramos-Requena, J. P., & Trinidad-Segovia, J. E. (2020). Testing the efficient market hypothesis in Latin American stock markets. Physica A: Statistical Mechanics and Its Applications, 540, 123082. https://doi.org/10.1016/j.physa.2019.123082
Swandari Budiarso, N., & Pontoh, W. (2022). Market efficiency and global issues: A case of Indonesia. Investment Management and Financial Innovations, 19(4), 1–13. https://doi.org/10.21511/imfi.19(4).2022.01
Vidya, C. T., Ravichandran, R., & Deorukhkar, A. (2023). Exploring the effect of Covid-19 on herding in Asian financial markets. MethodsX, 10, 101961. https://doi.org/10.1016/j.mex.2022.101961
Copyright (c) 2024 Nurtantyo Pratomo Suyadi, Zaäfri Ananto Husodo
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
