engleski

Exploring herding investment behaviour on Zagreb Stock Exchange

Herding investment behaviour is a concept heavily discussed in the last two decades. If it is found present on a financial market, it affects the asset pricing modelling. This research, as to authors’ knowledge, is the first attempt to combine theoretical overview with empirical tests for presence of herding effects in Croatia. Study observes effects of extreme market movements, bull and bear markets, volatility changes, etc. on herding behaviour on Croatian stock market. 26 models in total are estimated, by using maximum likelihood method of estimation. The sample consists of daily data (January 2nd 2012 - October 31st 2017) on return series of five sector indices and the stock market index CROBEX, trading volume and realized volatility. Results indicate that increase of market return leads to increase of market dispersion. However, changes of extreme values of market returns do not lead to herding behaviour, especially when the market is bearish.

herding behaviour, market efficiency, non-linear return effects, return dispersion

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