Determinants of industry herding in the US stock market
Ukpong, I., Tan, H. and Yarovaya, L. 2021. Determinants of industry herding in the US stock market. Finance Research Letters. 43 101953. https://doi.org/10.1016/j.frl.2021.101953
Ukpong, I., Tan, H. and Yarovaya, L. 2021. Determinants of industry herding in the US stock market. Finance Research Letters. 43 101953. https://doi.org/10.1016/j.frl.2021.101953
| Title | Determinants of industry herding in the US stock market |
|---|---|
| Type | Journal article |
| Authors | Ukpong, I., Tan, H. and Yarovaya, L. |
| Abstract | This article provides empirical evidence on the determinants of herding in the US using both market and industry level data. We examined herding based on market returns, volatility and trading volume, using the daily data from 1990 to 2020. The findings demonstrate that herding at the market level does not exist, however some herding becomes visible at the industry level. The results also demonstrate significant evidence of anti-herding behaviour at the market and industry level. |
| Keywords | Industry herding |
| US stock markets | |
| Asymmetric behaviour | |
| Article number | 101953 |
| Journal | Finance Research Letters |
| Journal citation | 43 |
| ISSN | 1544-6123 |
| Year | 2021 |
| Publisher | Elsevier |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.frl.2021.101953 |
| Web address (URL) | https://www.sciencedirect.com/science/article/abs/pii/S1544612321000349?via%3Dihub |
| Publication dates | |
| Published online | 30 Jan 2021 |
| Published in print | Nov 2021 |