Abstract
This paper investigates the effect of herding behavior on excessive market idiosyncratic volatility in the U.S. stock market at a sectoral level. We carefully modify the cross sectional absolute deviation model to include trading volume and investors’ sentiment as herding triggers, and show that herding is indeed present in almost every sector of the U.S. stock market during turmoil periods. Furthermore, our particularly designed GJR-GARCH model provides new insights on the effect of herding and volume turnover on the conditional volatility. The sample covers all listed companies in the American stock market over four major turmoil periods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
