Herd behavior in the Bangladeshi banking sector

Figures & data

Table 1. Descriptive Statistics

	CSSD	CSAD	MR
Mean	0.034488	0.011441	0.011629
Median	0.027367	0.009893	−0.01388
Maximum	0.845105	0.148834	4.681158
Minimum	0.008912	0.003492	−3.61779
Std. Dev.	0.039128	0.00754	0.495942
Skewness	11.71488	7.972988	0.548762
Kurtosis	188.668	111.5907	11.20622
Jarque-Bera	4,561,559	1,569,021	8928.192
Probability	0	0	0
ADF statistics	−28.8211	−23.7671	−48.3843
Sum	107.8101	35.7638	36.35196
Sum Sq. Dev.	4.784391	0.177662	768.6216
Observations	3126	3126	3126
Test ADF critical values: 1% level			−3.96098
5% level			−3.41124
10% level			−3.12746

Table 2. Regression results for CSSD and CSAD model

	CSSD			CSAD
	.99	.95	.66	.99	.95	.66
$\alpha$	0.0258*	0.0252*	0.0252*	0.008617*	0.008562*	0.008618*
${\beta }_1$	0.0072*	0.0076*	0.0075**	0.002158*	0.002143*	0.002068*
${\beta }_2$	0.0119*	0.0123*	0.0120*	0.00413*	0.004127*	0.003944*
F statistic	11.639	10.247	7.916	43.54	38.704	31.403
LM Test	1682.68*	1689.31*	1698.77*	1795.96*	1813.472*	1833.438*
ARCH	581.69*	582.01*	582.89*	539.0618*	539.696*	541.672*

*, **, and *** denote the null hypothesis is rejected at one percent, five percent, and ten percent level, respectively.

Table 3. Regression results for CSAD

	Basic	GFC	DFC
$\alpha$	0.00786* (41.644)	0.0078* (41.193)	0.0079* (42.032)
${\delta }_1$	0.3541* (19.348)	0.3501* (19.109)	0.3700* (19.954)
${\delta }_2$	−1.2308* (−4.741)	−1.2082* (−4.658)	−1.2633* (−4.881)
DV1		0.00152* (3.096)
DV2			−0.0017* (−4.75038)
F-statistic	437.993	295.995	301.533
Adjusted R-squared	0.2185	0.2206	0.2239
LM Test	1331.317*	1328.152*	1272.954*
ARCH	583.55*	569.4171*	581.7628*

*, **, and *** denote the null hypothesis is rejected at one percent, five percent, and ten percent level, respectively.

Table 4. GARCH (1, 1) results

	Basic
$\alpha$	0.0073* (149.52)
${\delta }_1$	0.2857* (49.751)
${\delta }_2$	−0.9203* (−8.869)
${\gamma }_1$	0.8734* (401.373)
${\phi }_1$	0.1265* (58.173)
Adjusted R-squared	0.18664

*, **, and *** denote the null hypothesis is rejected at one percent, five percent, and ten percent level, respectively.

Table 5. Descriptive statistics of upmarket and downmarket condition

	CSAD^UP	CSAD^DOWN	Market Return^UP	Market Return^DOWN
Mean	0.012245	0.010705	0.012006	−0.01022
Median	0.010596	0.009395	0.007844	−0.00711
Maximum	0.118572	0.148834	0.156039	−7.71E-07
Minimum	0.0035	0.003492	2.43E-07	−0.12059
Std. Dev.	0.007414	0.007581	0.013743	0.011029
Skewness	5.38757	10.43076	2.841268	−3.20535
Kurtosis	57.46576	163.1287	17.18818	20.44302
Jarque-Bera	191,893.3	1,773,195	14,541.33	23,484.22
Probability	0	0	0	0
ADF statistics	−15.541	−5.618	−10.7144	−6.10019
Sum	18.29373	17.47007	17.93682	−16.6771
Sum Sq. Dev.	0.082074	0.093739	0.281971	0.198408
Observations	1494	1632	1494	1632
Test ADF critical values: 1% level			−3.9642
5% level			−3.4128
10% level			−3.1283

Table 6. Regression results for Upmarket and Downmarket

	Upmarket	Downmarket
$\alpha$	0.008207* (32.357)	0.00779* (27.667)
${\delta }_1$	0.3888* (17.158)	0.28235* (9.3806)
${\delta }_2$	−1.8961* (−6.208)	0.10865 (0.2346)
F-statistic	273.130	174.079
Adjusted R-squared	0.2671	0.1750
LM Test	690.239*	320.269*
ARCH	350.951*	87.512*

*, **, and *** denote the null hypothesis is rejected at one percent, five percent, and ten percent level, respectively.

Table 7. Regression results for extreme up and extreme down market

	Bull market			Bear market
	.99	.95	.66	.99	.95	.66
$\alpha$	0.00961 (56.488)	0.010109 (57.6732)	0.010008 (59.139)	0.01034* (41.245)	0.010338 (41.01594)	0.010316 (40.548)
${\delta }_1$	0.480376 (25.235)	0.307199 (28.542)	0.304688 (28.341)	−0.14481** (−2.418)	−0.1386** (−2.350)	−0.12762** (−2.221)
${\delta }_2$	−2.86247* (−10.406)	−1.2001* (−2.0399)	−0.93675** (−1.628)	3.661183* (14.660)	3.662799* (14.653)	3.668147* (14.6414)
F-statistic	510.386	418.306	412.537	127.298	127.017	126.617
Adjusted R-squared	0.40559	0.3585	0.3537	0.1341	0.1338	0.1334
LM Test	503.352*	467.254*	478.367*	342.897*	343.512*	343.692*
ARCH	311.468*	361.696*	363.393*	92.953*	92.939*	92.919*

*, **, and *** denote the null hypothesis is rejected at one percent, five percent, and ten percent level, respectively.