Author:
Ansari Aleem,Aziz Tariq,Ansari Valeed Ahmad
Abstract
In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX and skewness and find that the herd behaviour is present among highly idiosyncratic stocks. This sheds light on why herding is not detected in the prior studies as it may be concentrated among stocks with certain characteristics. Further, it provides evidence of adverse herding.
Publisher
Auckland University of Technology (AUT) Library
Cited by
2 articles.
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1. Assessment of Metaverse-Based Digital Learning Systems in Higher Education;2023 4th International Conference on Computation, Automation and Knowledge Management (ICCAKM);2023-12-12
2. Herding and spillover effects in the Indian commodity futures market;Journal of Agribusiness in Developing and Emerging Economies;2022-05-04