-periods. The only exception is Germany for which there is very weak evidence of herding. Variance decomposition tests indicate that … initially we find no evidence of herding. When, however, we condition on the daily liquidity of stocks we find significant …

This paper tests for herding towards the market consensus for US and UK leading stocks, and to the best of our … herding spill-over effects from the US to the UK during earlier financial crises. Further results reveal more differences in … herding behavior between the two markets: in the US we find that investors herd due to both fundamentals and non …