Abstract
This study, using two herding dynamics metrics and Glosten–Jagannathan–Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model, forecasts market trends, captures asymmetric volatility, and reveals the generative AI (GenAI) ecosystem's impact on individual assets’ returns. Results of this study highlight distinctive traits of each GenAI equity, crucial for strategic positioning, especially for investors in tech stocks tied to GenAI. Herding behavior exhibits greater strength in the initial four months post-announcement of ChatGPT, gradually diminishing. GJR-GARCH reports that most of GenAI stocks do not exhibit statistically significant leverage effects. These findings provide valuable insights to navigate the dynamic landscape of GenAI investments.
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