Going with the flow: An empirical study on the industry and market level herding in the Philippine stock market from 2007-2016
Date of Publication
Bachelor of Science in Management of Financial Institutions
Ramon V. Del Rosario College of Business
Financial Management Department
Outstanding undergraduate thesis in Financial Management, 2017
Frederick P. Romero
Defense Panel Chair
Defense Panel Member
This paper investigates whether significant herding behavior is present in the Philippine Stock Exchange (PSE) on both the market and sector level, as well as during upward and downward market conditions. In contrast to the theories of traditional finance which assume rationality of individuals, investors can exhibit an irrational tendency to forgo their private information and instead follow the decision of the majority when making buying and selling decisions. Using daily returns from 2007-2016, we compare the results of two popular herding measures namely: the cross sectional standard deviation (CSSD) model of Christie and Huang (1995) and the cross sectional absolute deviation (CSAD) model of Chang et al. (2000). Our findings indicate that significant herding behavior is present on the overall market level but is only existent in the mining and oil industry on the sector level. In addition, we find that herding is asymmetrical in different market conditions wherein it is only significant on the market level when returns are negative.
Archives, The Learning Commons, 12F Henry Sy Sr. Hall
vii, 364 leaves : illustrations (some color) ; 28 cm. + 1 computer disc 4 3/4 in.
Stocks -- Philippines; Stock exchanges -- Philippines
Cabual, P. C., Lim, E. L., Tan, M. D., & Yang, K. M. (2017). Going with the flow: An empirical study on the industry and market level herding in the Philippine stock market from 2007-2016. Retrieved from https://animorepository.dlsu.edu.ph/etd_honors/388