Herding Behavior in Karachi Stock Exchange

Author(s)

Tariq Javed , Nousheen Zafar , Bilal Hafeez ,

Download Full PDF Pages: 19-28 | Views: 508 | Downloads: 109 | DOI: 10.5281/zenodo.3404584

Volume 2 - February 2013 (02)

Abstract

This study aims at examining the existence of herding behavior of investors in Pakistani stock market. KSE 100 is selected as a sample for the study as it represents almost 86% of Karachi Stock Exchange. Monthly data for companies has been gathered for analysis. Results obtained fail to find any evidence of herding in Karachi stock exchange with significantly positive values for dichotomous variables representing extreme market conditions. Similarly the value for squared market returns is also found negative but insignificant. The study concludes that Herding behavior does not exist in Karachi Stock Exchange analyzing monthly returns data. 

Keywords

Herding, propagated, frailty, instability, Noise traders, cross sectional standard deviation, cross sectional absolute deviation, efficient market hypothesis, volatility

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