We construct synthetic spreads representing funding liquidity risk in BRICS economies and examine whether stress in the interbank and financial markets in the US spread to emerging markets during the Global Financial Crisis, European Sovereign Debt Crisis, and COVID-19 pandemic. We rely on a...

We contribute to behavioral finance literature by demonstrating the relative superiority of a dynamic regime-sensitive approach in unravelling herding phenomenon. Employing daily data in Bursa Malaysia from 1995 to 2016, we first apply two orthodox techniques: cross-sectional standard deviation...