Civil unrest and herding behavior: evidence in an emerging market

Figures & data

Table 1. Sample information at the end of 2019.

Industry	Number of firms	% Num. of firms	Trading volume (M$ Chilean)	% Trading volume
Food and drinks	5	5.3%	1.366.868.712	5.9%
Building and real estate	8	8.4%	614.865.576	2.7%
Energy	6	6.3%	3.654.943.857	15.8%
Finance and investment	19	20.0%	5.350.047.090	23.1%
Industry	17	17.9%	5.008.415.972	21.6%
Fishing and maritime transport	6	6.3%	341.029.389	1.5%
Retail and marketers	8	8.4%	3.817.537.314	16.5%
General services and utilities	14	14.7%	2.386.555.088	10.3%
Other	12	12.6%	628.714.441	2.7%
Total	95	100%	23.168.977.438	100%

Source: Self-Calculated.

Figure 1. CSAD and Rm in Santiago Stock Exchange. Source: Self-Calculated.

Figure 2. CSAD and Rm in Santiago Stock Exchange during civil unrest. Source: Self-Calculated.

Table 2. Descriptive statistics of CSAD and market return of stock markets (%).

		N° Obs.	Mean	Std. dev.	Min	Max
Total simple	CSAD	2241	0.410	0.159	0.099	2.273
	$R_{m,t}$		–0.004	0.255	–1.855	2.265
Before civil unrest	CSAD	2169	0.407	0.153	0.099	2.273
	$R_{m,t}$		–0.002	0.245	–1.855	2.265
Since civil unrest	CSAD	72	0.490	0.281	0.158	2.023
	$R_{m,t}$		–0.078	.0459	–1.522	1.913

Source: Self-Calculated.

Table 3. Civil unrest effect on herding behavior.

	1	2
ϒ1	0.517***	0.505***
	(0.048)	(0.048)
ϒ2	0.606***	0.604***
	(0.030)	(0.027)
ϒ3	0.168***	0.173***
	(0.055)	(0.054)
ϒ4	0.052*	0.051
	(0.030)	(0.030)
ϒ5		0.007
		(0.033)
ϒ6		0.004
		(0.002)
α	0.300***	0.252***
	(0.004)	(0.022)
Obs.	2,241	2,212
R-squared	0.602	0.603
t-stat1 (H0:ϒ1 = ϒ2)	275.30***	261.17***
t-stat1 (H0:ϒ3 = ϒ4)	5.96***	6.35***

Notes. Between parentheses t-statistics based on Huber-White robust standard errors. ***, ** and * represent statistical significance at the 1%, 5%, and 10% levels, respectively.

Source: Self-Calculated.

Table 4. Civil unrest effect on herding behavior incorporating asymmetric effects.

			(3)	(4)	(5)	(6)
	(1) Rm,t > 0	(2) Rm,t < 0	σ^HIGH > σ^MAt-30	σ^LOW < σ^MAt-30	Vol^HIGH > Vol^MAt-30	Vol^LOW < Vol^MAt-30
ϒ1	0.630***	0.512***	0.464***	–0.960***	0.507***	0.409*
	(0.083)	(0.066)	(0.050)	(0.315)	(0.060)	(0.095)
ϒ2	0.661***	0.546***	0.616***	0.499***	0.572***	0.585**
	(0.039)	(0.041)	(0.035)	(0.070)	(0.033)	(0.047)
ϒ3	0.141***	0.100	0.195***	5.208***	0.163***	0.338***
	(0.042)	(0.077)	(0.053)	(1.315)	(0.060)	(0.109)
ϒ4	0.041*	0.067	0.038	0.116	0.060**	0.115
	(0.024)	(0.056)	(0.033)	(0.155)	(0.031)	(0.067)
ϒ5	0.047	–0.039	0.088*	–0.023	–0.006	0.025**
	(0.048)	(0.045)	(0.049)	(0.042)	(0.056)	(0.041)
ϒ6	0.001	0.005**	0.002	0.003	0.009**	–0.001
	(0.003)	(0.002)	(0.002)	(0.002)	(0.004)	(0.002)
Α	0.269**	0.248***	0.268***	0.259***	0.192***	0.303***
	(0.034)	(0.029)	(0.031)	(0.031)	(0.051)	(0.029)
Obs.	1,107	1,134	1,222	1,019	785	1,456
R-squared	0.605	0.612	0.671	0.30	0.72	0.50
t-stat1 (H0:ϒ1 = ϒ2)	148.48***	101.96***	169.15***	39.54***	161.44***	77.97***
t-stat1 (H0:ϒ3 = ϒ4)	6.30***	1.43	7.18***	7.87***	5.38***	5.75***

Notes. Between parentheses t-statistics based on Huber-White robust standard errors. ***, ** and * represent statistical significance at the 1%, 5%, and 10% levels, respectively.

Source: Self-Calculated.

Table 5. Reverse herding behavior during civil unrest.

	N° obs.	Mean	Std. dev.	Min	Max
S&P/CL IGPA	28	24578	1199	22059	26137
Rm	28	−0.121	0.646	–1.522	1.913
CSAD	28	0.587	0.398	0.150	2.023
ϒ2	28	0.176	0.095	−0.115	0.302
ϒ1	28	0.622	0.076	0.529	0.847
Adj.R^2	28	0.88	0.028	0.84	0.93

Source: Self-Calculated.

Figure 3. Inverse herding behavior during civil unrest. Source: Self-Calculated.

Table 6. Herding behavior analysis for period windows.

			Panel A: October 19, 2019						Panel B: January 02, 2019
	–30 + 30	–60 + 60	–90 + 90	–120 + 120	–150 + 150	–180 + 180	–30 + 30	–60 + 60	–90 + 90	–120 + 120	–150 + 150	–180 + 180
ϒ1	0.696***	0.590***	0.633***	0.689***	0.729***	0.774***	0.796***	0.586***	0.760***	0.763***	0.733***	0.757***
	(0.109)	(0.074)	(0.059)	(0.050)	(0.035)	(0.050)	(0.227)	(0.080)	(0.081)	(0.079)	(0.068)	(0.061)
ϒ2	0.019	0.123***	0.104***	0.082**	0.004	–0.007	–0.140	0.092	–0.005	0.000	0.010	0.003
	(0.069)	(0.046)	(0.039)	(0.035)	(0.013)	(0.019)	(0.359)	(0.076)	(0.025)	(0.026)	(0.025)	(0.023)
ϒ3	22.018	0.840	0.387	0.353**	0.182	1.256***	–1.916	–1.500***	1.712***	0.734***	0.679***	0.628***
	(9.902)	(0.515)	(0.253)	(0.181)	(0.181)	(0.174)	(1.369)	(0.399)	(0.451)	(0.190)	(0.100)	(0.073)
ϒ4	0.023	0.028**	0.032***	0.024***	0.031***	0.018*	0.029	0.029***	0.069***	0.033***	0.032***	0.029***
	(0.021)	(0.012)	(0.009)	(0.007)	(0.007)	(0.010)	(0.020)	(0.011)	(0.016)	(0.011)	(0.010)	(0.008)
α	–5.128	–0.322*	–0.290**	–0.204**	–0.252**	–0.337*	0.391	0.293	–1.163***	–0.398**	–0.375***	–0.323***
	(2.210)	(0.185)	(0.126)	(0.107)	(0.117)	(0.140)	(0.575)	(0.231)	(0.286)	(0.164)	(0.133)	(0.741)
Obs.	40	77	120	162	202	244	38	82	124	162	201	243
R-squared	0.941	0.907	0.900	0.896	0.914	0.853	0.834	0.920	0.890	0.856	0.854	0.856

Notes. Between parentheses t-statistics, consistent standard errors. ***, ** and * represent statistical significance at the 1%, 5%, and 10% levels, respectively. A statistically significant and negative coefficient r³ would indicate the presence of herding behavior.

Source: Self-Calculated.