EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET

Abstract

Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015. We find that herding behavior is present in both Ho Chi Minh and Hanoi Stock Exchanges. Importantly, the results show an asymmetry in level of herding behavior in which the herding effect appears to be stronger during falling markets than during rising markets. The study also highlights important policy implications that can help to reduce investors’ complicated nonlinear reactions in the Vietnamese Stock market.

Keywords

• csad
• garch
• hành vi bầy đàn
• thị trường chứng khoán việt nam