A study of herding behavior in the Philippine stock market

Format: Print Author/s: Andal, Daren M. Ico; Raven D. Juan Tong and Timothy John C. Call Number: THE A53 2019 Publisher: Ateneo de Manila University Department of Mathematics Place of Publication: Quezon City, Philippines Date of Publication: 2019 Pages: 106 Language: English Dimension: 30 cm Tags: Herding behavior | Stock markets -- Philippines |

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Abstract:

Stock herding in the financial markets is defined to be the tendency to mimic other investors and their decisions. In our study, the herding behavior in the Philippine Stock Exchange is detected in the market-level using the CSAD Method by Chang et.al. (2000). The study contributes in the limited literature in the Philippine stock market herding by observing market level herding, market conditions that could affect herding (extreme market conditions, level of trading, size of firm), and finally the sector- and sub-sector-level of herding. The study found significant evidence of herding in the up markets as well as during high volumes of trading. However, for the level of sectors and market capitalization, there is no herding. There is significant herding in subsectors like Other Industrials and Telecommunications. The study recommends further studies by dividing analysis between individual and institutional investors, or by observing changes in stock price during periods of market announcements and news.

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