TY - JOUR
T1 - An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
AU - Ampofo, Richard T.
AU - Aidoo, Eric N.
AU - Ntiamoah, Bernard O.
AU - Frimpong, Ophelia
AU - Sasu, Daniel
N1 - Publisher Copyright:
© 2023, Academy of Economics and Finance.
PY - 2023/6
Y1 - 2023/6
N2 - This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herding behaviour using the quantile regression approach in addition to the OLS model. We found no evidence of herding before the COVID-19 pandemic in both bullish and bearish markets for USA and UK. However, herding incidence was discovered in the USA and UK bullish market during the COVID-19 period. In the bearish market, herding behaviour was only found during the COVID-19 period in USA. The study provides policymakers and investors with information to draw significant measures in their investment portfolio management during crises and pandemics.
AB - This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily prices of stock indexes from the period of December 5, 2017 to February 28, 2022 for USA and January 9, 2018 to February 28, 2022 for UK, we test for herding behaviour using the quantile regression approach in addition to the OLS model. We found no evidence of herding before the COVID-19 pandemic in both bullish and bearish markets for USA and UK. However, herding incidence was discovered in the USA and UK bullish market during the COVID-19 period. In the bearish market, herding behaviour was only found during the COVID-19 period in USA. The study provides policymakers and investors with information to draw significant measures in their investment portfolio management during crises and pandemics.
KW - Asymmetry condition
KW - COVID-19
KW - Herding behaviour
KW - Quantile regression
KW - USA and UK stock market
UR - http://www.scopus.com/inward/record.url?scp=85145741576&partnerID=8YFLogxK
U2 - 10.1007/s12197-022-09613-8
DO - 10.1007/s12197-022-09613-8
M3 - Article
AN - SCOPUS:85145741576
SN - 1055-0925
VL - 47
SP - 517
EP - 540
JO - Journal of Economics and Finance
JF - Journal of Economics and Finance
IS - 2
ER -