Herding and Anti-Herding Behaviour in the UK, French and German Stock Markets Before and During the Covid Pandemic

Abstract

This paper studies herding and anti-herding behaviour in three European stock markets before and during the Covid-19 pandemic by employing both static and dynamic analysis. We examine four different questions related to herding behaviour: (i) Did herding behaviour increase during the pandemic? (ii) Does herding behaviour respond differently in up and down market conditions? (iii) Is herding behaviour related to the volume of trading activity? and (iv) Does herding behaviour increase in periods of high market volatility? We find that, contrary to much of the existing literature, there is very little evidence of herding activity, and if anything, we find the evidence points to anti-herding behaviour during the Covid-19 pandemic.