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


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions


Ramon V. Del Rosario College of Business


Financial Management


Outstanding undergraduate thesis in Financial Management, 2017

Thesis Adviser

Frederick P. Romero

Defense Panel Chair

Marycris Albao

Defense Panel Member

Patricia Benito
Tommy Tiu
Junette Perez
Liberty Patiu


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.

Abstract Format






Accession Number


Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Physical Description

vii, 364 leaves : illustrations (some color) ; 28 cm. + 1 computer disc 4 3/4 in.


Stocks -- Philippines; Stock exchanges -- Philippines

This document is currently not available here.