Time-varying herding spillover for emerging countries: evidence from BRIC countries and Turkey

Abstract

PurposeThis study aims to investigate herding spillover in BRIC (Brazil, Russia, India and China) countries and Turkey under different regimes by using a time-varying approach.Design/methodology/approachThe authors used the structural change model of Bai and Perron (1998).FindingsThe results indicate that there is an evidence of herding behaviour in the Chinese stock market in two different regimes. These regimes cover the recent global financial crisis and the period of Hong Kong protests. We also report the evidence of herding behaviour in the Turkish stock market in the regime covering the COVID-19 period. Findings of herding spillover show that there is a two-way herding among Russia and China during crises and high volatile regimes. Similarly, there exists a cross-country herding among Brazil and India during crisis regimes. Also, there is herding spillover from Turkey to Russia, China and Brazil during the global financial crisis, post-European debt crisis and COVID-19 periods respectively. Furthermore, it is also evident that there is a herding spillover from Russia and China to India during the period covering COVID-19.Originality/valueTo the best of the authors' knowledge, this is the first study that uses structural change approach to identify herding behaviour spillovers from the US stock market to BRIC countries and Turkey and to investigate the cross-country herding behaviour among BRIC countries and Turkey.