Naslov
Revisiting herding investment behaviour on Zagreb Stock Exchange: a quantile regression approach

Autori
Škrinjarić, Tihana

Izvornik
Econometric research in Finance (2451-2370) 3 (2018), 1; 119-162

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
herding investor behaviour, quantile regression, Agrokor concern crisis, stock market.

Sažetak
Herding investment behaviour on stock markets has consequences for practitioners, theorists and policy makers. Thus, empirical research on this topic in the last couple of years has grown exponentially. There exist only few papers dealing with Croatian stock market regarding herding behaviour. However, this study employs quantile regression approach of estimating several herding investor behaviour models for the first time in literature. Based upon daily data on 37 most liquid stocks on Zagreb Stock Exchange (ZSE) for the period September 22 nd 2014 – May 8 th 2018, several model specifications are observed via quantile regression. Since quantile regression approach deals with specific characteristics of financial data (stylized facts) better than OLS method, more robust results can be achieved in order to evaluate if herding behaviour is present on Croatian market. The results indicate very weak to almost non existing evidence on herding behaviour on ZSE. Moreover, market volatility does not have effect on the herding as well. Finally, Agrokor concern economic and political crisis in 2017 was controlled for in the model and was found insignificant as well. Thus, it seems that herding behaviour does not need to be taken into account when tailoring investment strategies on ZSE.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

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