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Autori: ARINA IVASIUC.
DOI: 10.2478/subboec-2023-0002
Published Online: 2023-04-25
Published Print: 2023-04-25
pp. 21-41
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Abstract: This paper investigates herding behavior of investors in three frontier Nordic countries from July 1, 2002 until July 30, 2021, under different market conditions and during three crises that occurred in this period. As estimation methods, we use both OLS and quantile regression and determine that both up and down market, high and low volatility induce a weak herding behavior for at least one quantile in almost all Nordic countries examined, except for Latvia. At the same time, we find that crises determine a more prominent herding behavior in Nordic countries, but do not influent the behavior of investors from Latvia, that tend to remain rational even in stressful conditions.
JEL Classification: G01, G14, G40
Keywords: Herding behavior; Market states; Financial Crises; Cross-sectional absolute deviation of returns.
