دانلود رایگان مقاله تجزیه و تحلیل تسلیحات پویا در یک بازار مرزی

abstract

We use constant coefficient and time-varying parameter approaches to examine herding in the context of a frontier market. Our sample comprises of all companies listed on the Trinidad and Tobago Stock Exchange from January 2001 to December 2014. We find significant evidence of herding across the market, which is more prominent for smaller stocks. Microstructures, including liquidity and volatility, intensify herd behavior, except for larger firms. Additional analyses show that herding is present in both up and down markets, but is stronger during rising markets. The time-varying analysis, based on a state-space Kalman filter, further establishes that herding, though quite prevalent, is not a static feature of the market but evolves throughout the sample period. Specifically, it oscillates between greater herding to anti-herd behavior, as investors identify themselves with crises and better information access respectively.

5.0 Conclusion

This paper examines herd behavior in a frontier market, the TTSE. Frontier markets have not only been popular with international investors for their possible diversification potential, but their unique characteristics provide a suitable setting for investigating herding. We are motivated by a paucity of studies on herd behavior in frontier markets and through this paper, attempt to make a contribution in terms of studying herding in the TTSE by using both a constant coefficient approach and a time-varying approach.