Further evidence on the herd behavior in Vietnam stock market

Abstract

This paper examines the presence of herd behavior in Vietnam stock market using a sample of 299 companies listed on the Ho Chi Minh City Stock Exchange covering the time period 2005–2015. The study employs the herding measures proposed by Christie and Huang (1995) and Chang et al. (2000). We provide a comprehensive analysis using daily, weekly and monthly frequency. The results indicate the evidence of herding over the whole period studied. Moreover, the results are robust when we split the data into three sub-periods including pre-crisis, during crisis and post-crisis. Asymmetric effect is also evidenced under various market conditions and trading volume.