Does herding exist in lottery stocks? Evidence from the Indian stock market
In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2020-02-01
|
| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/157 |
| Summary: | In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX and skewness and find that the herd behaviour is present among highly idiosyncratic stocks. This sheds light on why herding is not detected in the prior studies as it may be concentrated among stocks with certain characteristics. Further, it provides evidence of adverse herding.
|
|---|---|
| ISSN: | 2253-5799 2253-5802 |