Herding in ASEAN Stock Markets and COVID-19

Abstract

Using the constituent stock data that comprise the chosen stock market indices, we investigate stock market herding in ASEAN stock markets and investigate if the ongoing COVID-19 epidemic affects the herding behavior. We examine whether investors in the following stock markets—Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam—display any herding behavior using the absolute dispersion or CSAD measure. Overall, our research suggests that herding behavior appears to be more common in ASEAN stock markets only when return volatility is low. The Vietnamese stock market appears to exhibit more "consistent" herding behavior among the ASEAN stock markets, particularly during the COVID-19 period. Consequently, our results imply that herding is not a common occurrence in the ASEAN stock markets and that investors in these markets exhibit greater irrationality during periods of low return volatility than they do under other market conditions.