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

TitleDeterminants of industry herding in the US stock market
TypeJournal article
AuthorsUkpong, 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.

KeywordsIndustry herding
US stock markets
Asymmetric behaviour
Article number101953
JournalFinance Research Letters
Journal citation43
ISSN1544-6123
Year2021
PublisherElsevier
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 online30 Jan 2021
Published in printNov 2021

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