Figures & data
Table 1. Descriptive statistics
Table 2. Stationarity tests
Table 3. Regression results of herding behavior before and during COVID-19
Table 4. Impact of herding behavior on market volatility
Table 5. Regression results in bear and bull markets
Table 6. Order of autoregressive model—information criterion
Table 8. Threshold GARCH model
Table 7. OLS vs. E-GARCH models