Herd Behavior In The Stock Market: An Emperical Research In Vietnam

Abstract

This research aims to analyze the phenomenon of herding behavior among investors in the Vietnamese stock market from 2017 to 2022. Using daily stock return data of 270 listed companies on the Ho Chi Minh Stock Exchange, the research employs the Cross-Sectional Absolute Deviation (CSAD) model to detect the presence of herding. Ordinary Least Squares regression and Quantile regression methods are adopted to examine herding tendencies in various market conditions. The findings from OLS regression confirm that herding exists in the Vietnamese equity market, particularly during periods of declining stock prices and high trading volumes. This indicates investors have a propensity to follow the crowd during downside movements and elevated market activity. Moreover, the results from Quantile regression provide further nuanced insights, revealing stronger herding behaviors occurring at the lower quantile distributions of stock returns compared to the upper quantiles. In other words, herding effects are more prominent among stocks exhibiting smaller deviations from the market. Overall, the study enhances the understanding of investor psychology and herd instincts under different market scenarios in Vietnam. The novel empirical evidence contributes meaningful additions to the growing academic literature studying behavioral factors influencing market decisions and outcomes.