The Effect of COVID-19 on Herding Behavior in Eastern European Stock Markets

Frontiers in Public Health

article

Hao Fang¹  Chien-Ping Chung²  Yen-Hsien Lee³  Xiaohan Yang¹ 

[1] School of Economics, QuFu Normal University;Management Undergraduate Program, National Taiwan University of Science and Technology;Department of Finance, Chung Yuan Christian University

关键词: COVID-19;    CSAD model;    herding behavior;    Eastern Europe;    stock market;    regional herding;   

DOI  :  10.3389/fpubh.2021.695931

学科分类：社会科学、人文和艺术（综合）

来源: Frontiers

【 摘 要 】

Unlike past health crises that were more localized, the highly contagious coronavirus disease 2019 (COVID-19) crisis is impacting the world to an unprecedented extent. This is the first study examining how and whether the COVID-19 pandemic affects herding behavior in the Eastern European stock markets. Using samples from the stock markets of Russia, Poland, the Czech Republic, Hungary, Croatia, and Slovenia from January 1, 2010 to March 10, 2021, we demonstrate that the COVID-19 pandemic has increased herding behavior in all the sample stock markets. Our results show that the COVID-19 crisis reinforces the impact of global market returns on herding behavior in these specific stock markets. We find that COVID-19 strengthens the spillover effect of regional herding on herding behavior. Thus, financial authorities should monitor investors in the stock market to avoid the increase in herding behavior as well as the reinforcement of the global market returns and regional return dispersion on herding during the period of pandemic.

【 授权许可】

CC BY