Investor Herding Behaviour in the Indian Equity Market: Evidence From Quantile Regression

Abstract

The study empirically investigates the herd behaviour of investors in the The the Indian equity market. Quantile regression approach is adopted over OLS (ordinary least square). The method proposed by CCK (Chang, Cheng and Khorana, 2000), based on cross sectional absolute deviation is used. An empirical examination of asymmetric effect on returns, high and low trading volume and volatility over daily data period from 2007-2017, shows reverse herding behaviour in the The the Indian equity market. The robustness analysis of large, mid and small cap firms also revealed evidence against herding. However, sub-period analysis of data revealed evidence of herding in many years (2007, 2010 and 2014 etc.). In general herding behaviour is not pervasive in the The the Indian equity market.