COVID-19 pandemic and herd behavior: Evidence from a frontier market.

This paper examines the presence of herd behavior in the Vietnamese stock market using the cross-sectional absolute deviation (CSAD) method and by applying quantile regression (QR). We detect herd behavior in the Vietnamese stock market from January 2016 to May 2022. Herd behavior is less pronounced for bullish markets, yet more prominent under other market conditions. Importantly, the paper provides insight into the herd phenomenon during COVID-19's fourth wave outbreak in Vietnam. We discover that during the fourth wave outbreak, investors on the Hanoi Stock Exchange (HNX) do not engage in herding. However, herd behavior does manifest on the Ho Chi Minh Stock Exchange (HOSE) with falling stock prices engendering pessimistic herd selling. Knowledge of this empirical evidence of herd behavior in the Vietnamese stock market should prove useful to investors in determining the intrinsic value of stocks, and to policymakers wishing to enhance the efficiency of the equity market.

Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets.

We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors' interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.

Examination of information release on return volatility: A market and sectoral analysis.

This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility. Analyst price targets (PTR) and Morningstar stock star ratings (MSR) were used as private information proxies while Australian Securities Exchange (ASX) announcements were used as the public information proxy. Daily data was collected for ASX 200 listed firms for the period 2013 to 2017. Analysis was conducted at both the aggregate market level and the sectoral level. Findings suggest that PTR have the largest effect on return volatility at both levels, with varied effects within each sector. This indicates that investors rely heavily on this information when undertaking investment decisions. In contrast, MSR had a negligible effect, likely due to the lower degree of informational content. Public information had a minor effect on return volatility at both the aggregate market and sectoral levels. These mixed results show that information flow varies depending on the information type (i.e. public or private) with each sector interpreting the same type of information differently. The research findings provide a valuable guide to investors regarding the appropriate information to generate excess returns as well as to hedge against future losses.