Empirical research of herding behavior in the Pacific Basin stock markets: Evidence from the U.S. stock market rise (drop) in succession

Abstract

This study examines the herding behavior of investors in the Pacific basin stock markets. We use herding behavior to explain some possible investment strategies and follow causality tests (Granger 1969, Hsu et al., 2011) find the U.S. stock market still have major influence among the Pacific basin stock markets. We create a new dummy variable about the rise (drop) of the U.S. stock return in succession for 3days, 4days and 5days. Furthermore, we analysis the Pacific basin stock markets herding activity within the U.S. stock market and tries to discover the possible investment strategy. This result may provide the investor another consultation.