Kumar, A., Badhani, K. N., Bouri, E., & Saeed, T. (2020). Herding behavior in the commodity markets of the Asia-Pacific region. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101813

Abstract:

Most academic literature on herding in the commodity markets considers developed economies. In this paper, we extend the literature by focusing on the commodity markets of major economies in the Asia-Pacific region (China, India, Indonesia, Japan, Malaysia, Singapore, Taiwan, and Thailand). Using static and dynamic models, we show that herding is heterogenous across the Asian economies and differs under various market and liquidity conditions. There is evidence of up/down market herding asymmetry. Herding is more pronounced during high volatility periods. Notably, herding varies with time and seems to be affected by volatility.


URL: https://doi.org/10.1016/j.frl.2020.101813.