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Please use this identifier to cite or link to this item: http://repository.iitr.ac.in/handle/123456789/8768
Title: Do investors herd in Indian market
Authors: Garg A.
Gulati, Rachita
Published in: Decision
Abstract: This paper examines the presence of herd behavior in Indian stock market in extreme market conditions using data from the National Stock Exchange. The study used the measures suggested by Christie and Huang (Financial Anal J 51:31–37, 1995) and Chang et al. (J Bank Finance 24:1651–1679, 2000) based on cross-sectional standard deviation and crosssectional absolute deviation, respectively. Empirical results based on daily, weekly, and monthly data indicate that during periods of extreme price movements, equity return dispersions tend to increase rather than decrease, hence providing evidence against the presence of herding in the Indian stock market for the years 2000–2013. Even no evidence of herding is found during the extremely high and extremely low trading volume days. Owing to the regulatory reforms of the Indian equity market and the intense presence of the foreign institutional investors, investors’ behavior seems more rational, that validates the application of rational pricing models in the Indian stock markets.
Citation: Decision (2013), 40(): 181-196
URI: https://doi.org/10.1007/s40622-013-0015-z
http://repository.iitr.ac.in/handle/123456789/8768
Issue Date: 2013
Publisher: Springer India
Keywords: Herding Behavioral finance Cross-sectional volatility CH model CCK model
Author Scopus IDs: 56689163000
26221190300
Author Affiliations: A. Garg , Lal Bahadur Shastri Institute of Management, R. Gulati, Department of Humanities and Social Sciences, Indian Institute of Technology Roorkee
Corresponding Author: Lal Bahadur Shastri Institute of Management, Plot NO. 7, Sector 11, Dwarka 110075, New Delhi, India, e-mail: ashish_mcom@rediffmail.com, Department of Humanities and Social Sciences, Indian Institute of Technology Roorkee, Roorkee 247667, Uttarakhand, India, e-mail: gulati.rachita@gmail.com
Appears in Collections:Journal Publications [HS]

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