Purpose

The purpose of this study is to empirically examine the presence of herding behavior of Indian investors using daily sample data drawn from the Standard and Poor's (S&P) Bombay Stock Exchange-500 Index over the period 2007–2018.

Design/methodology/approach

The study employs the model proposed by Chang et al. (2000), taking stock return dispersion as a measure to capture herding. The empirical results demonstrate the absence of herding behavior in all market states, that is, normal, up and down market conditions for the overall period.

Findings

Contrastingly, the study found negative herding behavior, which underlines that individuals are taking the decision away from the market consensus. The subperiod analysis corroborates the negative herding behavior. The results remain invariant across large, mid and small-capitalization firms except in one year, that is, 2009 for small firms. While using liquidity and sentiment as variables to examine herding, the study finds some evidence of herding behavior for high market liquidity state and sentiment. The findings of negative herding shed new light on herding behavior in the Indian stock market.

Originality/value

This pattern of behavior may indicate irrationality of investor behavior and the presence of noise traders who mistrust market-wide information. Behavioral factors such as overconfidence may explain this pattern of behavior.

中文翻译：

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投资者在新兴经济体中跟风吗？来自印度股市的证据

目的

本研究的目的是使用从 2007 年至 2018 年期间标准普尔 (S&P) 孟买证券交易所 500 指数中抽取的每日样本数据，实证检验印度投资者是否存在羊群行为。

设计/方法/方法

该研究采用了 Chang等人提出的模型。(2000)，将股票收益分散作为捕获羊群的衡量标准。实证结果表明，在所有市场状态下，即在整个时期的正常、上涨和下跌的市场条件下，都不存在羊群行为。

发现

相比之下，该研究发现了消极的羊群行为，这表明个人正在从市场共识中做出决定。子周期分析证实了负面的羊群行为。除了一年，即小公司的 2009 年，结果在大、中、小资本化公司中保持不变。在使用流动性和情绪作为变量来检查羊群效应时，该研究发现了一些关于高市场流动性状态和情绪的羊群行为的证据。负面羊群效应的发现为印度股市的羊群行为提供了新的启示。

原创性/价值

这种行为模式可能表明投资者行为的非理性以及不信任整个市场信息的噪音交易者的存在。过度自信等行为因素可以解释这种行为模式。