This study aims to investigate the existence and nature of herding behavior in the banking sector in Bangladesh. It uses daily closing prices of 30 listed commercial banks from January 2007 to December 2018 to detect herding. This study confirms the presence of herding in the banking industry...

This study aims to investigate the existence and nature of herding behavior in the banking sector in Bangladesh. It uses daily closing prices of 30 listed commercial banks from January 2007 to December 2018 to detect herding. This study confirms the presence of herding in the banking industry...

We apply the Kalman filter method to estimate nine Asian markets and find evidence that stock return dispersions decline as markets experience stress conditions, supporting the existence of herding. This paper finds that herding behavior is time-varying and comoving across markets. Both linear...

We examine the size and price-to-book effects in Chinese markets. We find strong evidence for the size effect but little evidence for the price-to-book effect. We further examine these effects in the context of the monetary policy of the People's Bank of China. We find that the size effect is...

This paper extends the research on investor herds to American Depository Receipts (ADRs). Using daily price data on 305 ADRs traded in US exchanges issued by corporations from 19 countries, we examine herding behavior in the market for ADRs within country and sector-based portfolios. There is...

This study examines investor herding behavior in Pacific-Basin equity markets. Results indicate that the level of herding is time-varying, and is present in both rising and falling markets. It is positively related to stock market performance, but negatively related to market volatility. Herding...

We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...

Common systemic risk measures focus on the instantaneous occurrence of triggering and systemic events. However, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting persistence of institutions' systemic risk we develop and...

We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...

The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters' push to extend FVA into other areas. In this article, we highlight four important issues as an...