This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...

This paper contributes to the debate on commodity financialization by extending tests of herd behavior to the commodity futures markets. Utilizing a regime-switching model, we test the presence of herd behavior in a number of commodity sectors; including energy, metals, grains, and livestock;...

This paper proposes a Markov-Switching (MS) test of herding behavior in China's segmented stock markets under a regime-changing environment. Using firm-level data on the A-shares (denominated in Chinese Renminbi) and B-shares (denominated in U.S. and Hong Kong dollars), we estimate an MS model...

This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition probability Markov Switching model (TVTP-MS). Our results suggest that the GCC frontier stock...

This paper examines intentional herding among institutional investors with a particular focus on the technology sector that was the driver of the “New Economy” in the United States during the dot-com bubble of the 1990s. Using data on technology stockholdings of 115 large institutional...

This paper explores whether firm characteristics matter in determining the effect of investor herding on asset returns. We find that the level of herding alone does not command a significant effect on industry returns, implied by insignificant return spreads between industries that experience...