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Time-varying herding spillover for emerging countries: evidence from BRIC countries and Turkey
Review of Behavioral Finance ; : 20, 2022.
Article in English | Web of Science | ID: covidwho-1799380
ABSTRACT
Purpose This study aims to investigate herding spillover in BRIC (Brazil, Russia, India and China) countries and Turkey under different regimes by using a time-varying approach. Design/methodology/approach The authors used the structural change model of Bai and Perron (1998). Findings The results indicate that there is an evidence of herding behaviour in the Chinese stock market in two different regimes. These regimes cover the recent global financial crisis and the period of Hong Kong protests. We also report the evidence of herding behaviour in the Turkish stock market in the regime covering the COVID-19 period. Findings of herding spillover show that there is a two-way herding among Russia and China during crises and high volatile regimes. Similarly, there exists a cross-country herding among Brazil and India during crisis regimes. Also, there is herding spillover from Turkey to Russia, China and Brazil during the global financial crisis, post-European debt crisis and COVID-19 periods respectively. Furthermore, it is also evident that there is a herding spillover from Russia and China to India during the period covering COVID-19. Originality/value To the best of the authors' knowledge, this is the first study that uses structural change approach to identify herding behaviour spillovers from the US stock market to BRIC countries and Turkey and to investigate the cross-country herding behaviour among BRIC countries and Turkey.
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Full text: Available Collection: Databases of international organizations Database: Web of Science Type of study: Evidence synthesis / Prognostic study / Randomized controlled trials Language: English Journal: Review of Behavioral Finance Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Web of Science Type of study: Evidence synthesis / Prognostic study / Randomized controlled trials Language: English Journal: Review of Behavioral Finance Year: 2022 Document Type: Article