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Determinants of industry herding in the US stock market

Ukpong, Idibekeabasi; Tan, Handy; Yarovaya, Larisa; (2021) Determinants of industry herding in the US stock market. Finance Research Letters , 43 , Article 101953. 10.1016/j.frl.2021.101953. Green open access

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Abstract

This article provides empirical evidence on the determinants of herding in the US using both market and industry level data. We examined herding based on market returns, volatility and trading volume, using the daily data from 1990 to 2020. The findings demonstrate that herding at the market level does not exist, however some herding becomes visible at the industry level. The results also demonstrate significant evidence of anti-herding behaviour at the market and industry level.

Type: Article
Title: Determinants of industry herding in the US stock market
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.frl.2021.101953
Publisher version: https://doi.org/10.1016/j.frl.2021.101953
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Industry herding; US stock markets; asymmetric behaviour
UCL classification: UCL
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > UCL School of Management
URI: https://discovery.ucl.ac.uk/id/eprint/10174697
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