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Research Article

Herding Behaviour in Asutralian stock market: Evidence on COVID-19 effect

ORCID Icon & ORCID Icon
Pages 1898-1901 | Published online: 03 Dec 2020
 

ABSTRACT

This is the first article in investigating how COVID-19 affects Oceania’s financial markets. Specifically, we investigate if COVID-19 pandemic has an effect on herding behaviour in the Australian stock market. Using a sample of all firms listed over the period from 10 June 2008 to 19 June 2020, we find evidence that COVID-19 pandemic increases herding behaviour. The results report that herding behaviour manifests during crisis and extreme periods.

JEL CLASSIFICATION:

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

1 Other studies to Australia are Bohl, Klein, and Siklos (Citation2014) who using short-selling, Tran, Nguyen, and Lin (Citation2017) who examine the effect of herding behaviour on the credit quality of bank loans and Carpenter and Wang (Citation2007) for the dollar market.

2 S&P/ASX 200 is formed by the 200 greatest stocks listed on the Australian Securities Exchange (ASX). It’s considered the reference point for performance in the equity market and represents over 80% of the market capitalization.

3 The volatility is calculated as the standard deviation of market return times the square root of 252 trading days.

4 See Patterson and Sharma (Citation2006).

Additional information

Funding

This work was supported by the The authors would like to express their gratitude to Proyecto Código 032061EM, Dirección de Investigación, Científica y Tecnológica, Dicyt. Universidad de Santiago de Chile, Usach. [032061EM].

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