文章基本信息

标题：AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES
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作者：R. Eki Rahman ; Ermawati Ermawati
期刊名称：Bulletin Ekonomi Moneter dan Perbankan
印刷版ISSN：1410-8046
电子版ISSN：2460-9196
出版年度：2020
卷号：23
期号：3
页码：297-318
DOI：10.21098/bemp.v23i3.1362
出版社：Bank Indonesia
摘要：We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.
关键词：Uncertainty; Risk; Herding; Stability; Behavioral Economics;