In this paper, we explore the impact of investor herding behavior on stock market volatility.
We adopt a direct herding measure based on the variation of cross-sectional stock betas …

This article investigates whether investors exhibit herd behavior in a high market volatility
state. A modified herding model with the Kalman filter and GARCH methodology is used to …

We develop several new time‐varying coefficient regression models to investigate herding
behavior in Chinese stock markets. We find evidence that herding behavior occurs during …

This research investigates the presence and the asymmetric effects of investor herding in the
ChiNext market over the period from October 30, 2009, to April 30, 2020, providing an …

In this paper we investigate herding behavior triggered by the COVID-19 outbreak in 2020
by considering six typical Asian stock markets. Cross-sectional Standard Deviation (CSSD) …

Herding is a feature of investor behavior in financial markets, particularly in market stress.
We apply an approach based on the cross-sectional dispersion of individual stocks' betas …

In this article, we examine herding in three developed stock markets testing for the impact of
investors''fear'on herding estimations. To this end, we employ daily data of all listed stocks …

While herding behavior in financial markets has been widely examined, the comparison of
cross-market herding, unfortunately, has not been satisfactorily addressed. In this study, we …

This paper investigates the effect of herding behavior on excessive market idiosyncratic
volatility in the US stock market at a sectoral level. We carefully modify the cross sectional …

This paper documents the effect of herd behaviour on the US S&P100 and US DJIA stock
market's stocks volatility. We investigated the presence and the change of herding behaviour …