Does Volatility Cause Herding in Malaysian Stock Market? Evidence from Quantile Regression Analysis
Bibliographic Data
| ID | 13083253 |
|---|---|
| Authors | Ooi Kok Loang (0000-0003-0412-8899, Universiti Sains Malaysia, corresponding author), Zamri Ahmad (Universiti Sains Malaysia) |
| Year | 2022 |
| Volume | 15 |
| Issue | 2 |
| Pages | 197-215 |
| Publication date | 2022-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Millennial Asia (JOURNAL) |
| Journal identifiers | ISSN: 2321-7081 • E-ISSN: 0976-3996 |
| Publisher | SAGE Publishing (PUBLISHER • US) |
| DOI | 10.1177/09763996221101217 |
| OpenAlex | W4283778924 |
| Language | EN |
| Citations received | 3 |
| References cited | 46 |
This study examines the existence, tendency and determinants of herding in the Malaysian stock market under market stress from 2016 to 2020. This study adopts ordinary least square and quantile regression models to estimate herding. Three types of measurements are used to capture volatility, which are realized volatility, Parkinson volatility and Garman and Klass volatility. The result shows that herding exists in the Malaysian stock market. Investors are observed to herd stronger in the bearish (down) market condition compared to bullish (up) market condition, especially in the upper quantile (τ > 50%). Realized volatility is found to be significant in every quantile except for the median quantile (τ = 50%) and Garman and Klass’s volatility is significant in the upper quantiles of 0.75 and 0.90. This study assists analysts and investors to formulate better investment strategies. Regulators and policymakers shall also control and regulate the herding behaviour of investors, which can deviate the stocks from their fundamentals. The existence of herding also violates the assumptions of EMH in assuming that investors are rational
Econometrics · Economics · Financial economics · Forward volatility · Herd behavior · Herding · Implied volatility · Quantile · Quantile regression · Stock (firearms · Stock market · Volatility (finance · Volatility risk premium · Volatility swap · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Stock Market Forecasting Methods
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The Covid-19 Pandemic and Herding Behaviour
Herd Behaviour, Bubbles and Crashes
| Unique citing works | 3 |
|---|---|
| Citations per year | 3 |
| Citation span | 2025 - 2025 (1) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 3 |