This paper provides new evidence of herding in global equity markets. Using quantile regressions applied to daily data … for 33 countries, we investigate herding during the Eurozone crisis, China's market crash in 2015-2016, and in the … aftermath of the Brexit vote. We find significant evidence of herding behavior driven by negative tail market conditions for …

global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in …

crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post … assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African … conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By …

This paper examines country specific herding behavior in European liquid constituent indices for the period of 2001 …-2012. While we report insignificant results for the whole period, we document significant herding behavior during crises and … asymmetric market conditions. Particularly, herding effect is pronounced in most continental countries during the global …

We investigate herding in ten equity markets during the COVID-19 pandemic using a methodology that considers movements … in assets due to changes in fundamentals. We find heterogeneous patterns in herding across the ten countries and little … evidence of herding during the pandemic. The initial stages of the pandemic (the first half of 2020) are marked by anti-herding …

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant …

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …