Investigating Herding Behaviour Using Market Wide Herding Approach “a Case Study Of Pakistan, China And Usa”
Author: Syed Ali Arslan

This study investigates the market wide herding of stock markets of Pakistan, China and USA, and across border herding of Pakistan stock market with Chinese stock market and USA stock market,by using Cross Sectional Absolute Deviation (CSAD) proposed by Chiang and Zheng 2010. This is done just to check whether geographical distance matters in influencing the stock markets or not and USA is a major factor its influential cannot be ignored. Daily data of stock prices from 5th January 2004 to 31st December 2015 is used. Market wide herding in Pakistan is found only during 2004 and 2008 and across border herding for Pakistan is only found from USA. Pakistan market do not herds around China, this finding negate the concept that geographical distance matters, and influence in determining investor behaviour in stock markets.Study implies that Pakistan stock market has not observed as much herding behaviour in stock investment as other markets (USA and China), so it can be said that PSX index which is representative of Pakistan Stock market is efficiently operating in contest of Herding. Supervisor:- Dr. Attiya Yasmin Javid

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Keywords : Cross Sectional Absolute Deviation, Geographical, Herding, Investor Behaviour
Supervisor: Attiya Yasmin Javid

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