We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific … direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China …

distinct market regimes - low, high, and extreme volatility - and evidence consistent with herd behavior during both the high … and extreme volatility regimes. U.S. market related factors are found to dominate regime transitions and thus … relatively immune from global shocks. Multivariate synchronization tests further suggest that herding regimes are perfectly …