Herd Behavior in Indian Stock Market During Extreme Volatility and Covid-19 Pandemic

ABSTRACT

The present study examines the evidence of herd behavior of investors in the Indian stock market during extreme volatility, i.e., bulí and bear phases. It also investigates the herd behavior during the first and second waves of the Covid-19 pandemic. A sample of 50 companies listed on NSE during January 2019 to December 2021 is considered for the study, employing the methods developed by Christie and Huang (1995) and Chang et al. (2000). The findings present evidence of herd behavior during the first wave of the pandemic, while there is no evidence of such behavior during the second wave. Further, the study concludes that investors mimic the investment behavior of others in an extreme high return period only. There is no indication of herd behavior in extreme low return period and in the whole sample period.