Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/270702 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Article No.:] 1698089 [Year:] 2019 [Pages:] 1-18
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This study investigates investors' herd behavior at market and industry level in Pakistan stock exchange (PSX). The novel contribution of this study is the incorporation of stock trading volume to explore the herding behavior laterally with daily stock returns. Using daily observations of the stock trading volume and stock closing prices of 254 firms listed on PSX for the period January 2000 - December 2014. Our empirical results found stock trading volume is the more robust predictor of herding than stock returns by employing ordinary least square method for cross-sectional absolute deviation (CSAD). Findings under stock returns indicate herding in eight industries at the industry level and in only one industry at market level. However, stock trading volume significantly predicts herding for 5 out of 11 industries both at industry and market level. This study recommends investor to focus more on daily trading volume than daily stock returns to devise their trading strategies.
Subjects: 
herding behavior
cross-sectional stock dispersion
Pakistan stock exchange
JEL: 
G11
G12
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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