Does Volatility Cause Herding in Malaysian Stock Market? Evidence from Quantile Regression Analysis

IF 1.3 Q1 AREA STUDIES

Millennial Asia Pub Date : 2022-07-01 DOI:10.1177/09763996221101217

Ooi Kok Loang, Zamri Ahmad

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引用次数: 1

Abstract

This study examines the existence, tendency and determinants of herding in the Malaysian stock market under market stress from 2016 to 2020. This study adopts ordinary least square and quantile regression models to estimate herding. Three types of measurements are used to capture volatility, which are realized volatility, Parkinson volatility and Garman and Klass volatility. The result shows that herding exists in the Malaysian stock market. Investors are observed to herd stronger in the bearish (down) market condition compared to bullish (up) market condition, especially in the upper quantile (τ > 50%). Realized volatility is found to be significant in every quantile except for the median quantile (τ = 50%) and Garman and Klass’s volatility is significant in the upper quantiles of 0.75 and 0.90. This study assists analysts and investors to formulate better investment strategies. Regulators and policymakers shall also control and regulate the herding behaviour of investors, which can deviate the stocks from their fundamentals. The existence of herding also violates the assumptions of EMH in assuming that investors are rational.

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波动是否会导致马来西亚股市的羊群效应?分位数回归分析的证据

本研究考察了2016年至2020年市场压力下马来西亚股市羊群效应的存在、趋势和决定因素。本研究采用普通最小二乘法和分位数回归模型对羊群进行估计。三种测量方法用于捕获波动率，即实现波动率、帕金森波动率和Garman和Klass波动率。结果表明，马来西亚股市存在羊群效应。观察到投资者在看跌(下跌)市场条件下比看涨(上涨)市场条件下羊群更强，特别是在较高的分位数(τ bbb50 %)。除了中位数(τ = 50%)之外，已实现波动率在每个分位数中都是显著的，Garman和Klass的波动率在0.75和0.90的上分位数中是显著的。本研究有助于分析师和投资者制定更好的投资策略。监管机构和政策制定者还应控制和规范投资者的羊群行为，这种行为可能会使股票偏离基本面。羊群效应的存在也违背了EMH假设投资者是理性的假设。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Millennial Asia AREA STUDIES-

CiteScore

4.50

自引率

12.50%

发文量

期刊介绍： Millennial Asia: An International Journal of Asian Studies is a multidisciplinary, refereed biannual journal of the Association of Asia Scholars (AAS)–an association of the alumni of the Asian Scholarship Foundation (ASF). It aims to encourage multifaceted, multidisciplinary and interdisciplinary research on Asia, in order to understand its fast changing context as a growth pole of global economy. By providing a forum for Asian scholars situated globally, it promotes dialogue between the global academic community, civil society and policy makers on Asian issues. The journal examines Asia on a regional and comparative basis, emphasizing patterns and tendencies that go beyond national borders and are globally relevant. Modern and contemporary Asia has witnessed dynamic transformations in cultures, societies, economies and political institutions, among others. It confronts issues of collective identity formation, ecological crisis, rapid economic change and resurgence of religion and communal identifies while embracing globalization. An analysis of past experiences can help produce a deeper understanding of contemporary change. In particular, the journal is interested in locating contemporary changes within a historical perspective, through the use of interdisciplinary and multidisciplinary approaches. This way, it hopes to promote comparative studies involving Asia’s various regions. The journal brings out both thematic and general issues and the thrust areas are: Asian integration, Asian economies, sociology, culture, politics, governance, security, development issues, arts and literature and any other such issue as the editorial board may deem fit. The core fields include development encompassing agriculture, industry, regional trade, social sectors like health and education and development policy across the region and in specific countries in a comparative perspective.