An Exploratory Study of Herd Behaviour in Vietnamese Stock Market: A New Method

Abstract

This research examines the presence of herd behavior in Vietnamese Stock Market from 2006 to 2012. Based on two methods suggested by Christie and Huang (1995); and Chang, Cheng, and Khorana (2000), this research work proposes a new probability approach; that is on market index return and market dispersion to capture herd behavior. This new method enables this study to detect herding in a given trading day. The study adopts daily data from a main center of Vietnamese Stock Market. The existence of herd is found during the whole period as using the statistics methods. To be more concrete, herding days are explored via the new probability method in this work.