Herd Behavior in the NASDAQ OMX Baltic Stock Market
(2015) NEKP03 20151Department of Economics
- Abstract
- This thesis investigates whether the stock market in the Baltic countries exhibit herd behavior during the period 2006-2014. A quantitative approach is used to see if investors show group oriented mentality in Estonia, Latvia, and Lithuania, and in the Baltics as whole. This is further complemented with a qualitative approach. The quantitative part is based on a market wide approach. The models proposed by Chang et al. (2000), Chiang and Zheng (2010) and Philippas et al. (2013) are used as major guidelines. Apart from testing herd behavior in the Baltic markets under different market conditions, the role of the US market is examined. In addition, the impact of investors’ sentiment on herd behavior is tested.
We find supportive evidence... (More) - This thesis investigates whether the stock market in the Baltic countries exhibit herd behavior during the period 2006-2014. A quantitative approach is used to see if investors show group oriented mentality in Estonia, Latvia, and Lithuania, and in the Baltics as whole. This is further complemented with a qualitative approach. The quantitative part is based on a market wide approach. The models proposed by Chang et al. (2000), Chiang and Zheng (2010) and Philippas et al. (2013) are used as major guidelines. Apart from testing herd behavior in the Baltic markets under different market conditions, the role of the US market is examined. In addition, the impact of investors’ sentiment on herd behavior is tested.
We find supportive evidence for herding formation mostly in Tallinn and Riga. Overall, Vilnius shows the least amount of herd behavior. When considering up and down days and substantial up and down days, we find mixed results. Notably, we do not find evidence of herding during the crisis in 2008. Further on, evidence suggests that investors in the Baltics are influenced by the US, but they do not herd around the US market. Deterioration of investors' sentiment is found to be related with herd behavior. Investors in Tallinn and Riga exhibit herd behavior when they are anxious about future market conditions. However, this relationship is not observed during turbulent periods. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/5469486
- author
- Pavlovska, Agnese LU and Berisha, Donjeta LU
- supervisor
-
- Hossein Asgharian LU
- Lu Liu LU
- organization
- course
- NEKP03 20151
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- The Baltic States, behavioral finance, herd behavior, cross-sectional absolute deviation, investors’ sentiment
- language
- English
- id
- 5469486
- date added to LUP
- 2015-06-29 13:03:53
- date last changed
- 2015-06-29 13:03:53
@misc{5469486,
abstract = {{This thesis investigates whether the stock market in the Baltic countries exhibit herd behavior during the period 2006-2014. A quantitative approach is used to see if investors show group oriented mentality in Estonia, Latvia, and Lithuania, and in the Baltics as whole. This is further complemented with a qualitative approach. The quantitative part is based on a market wide approach. The models proposed by Chang et al. (2000), Chiang and Zheng (2010) and Philippas et al. (2013) are used as major guidelines. Apart from testing herd behavior in the Baltic markets under different market conditions, the role of the US market is examined. In addition, the impact of investors’ sentiment on herd behavior is tested.
We find supportive evidence for herding formation mostly in Tallinn and Riga. Overall, Vilnius shows the least amount of herd behavior. When considering up and down days and substantial up and down days, we find mixed results. Notably, we do not find evidence of herding during the crisis in 2008. Further on, evidence suggests that investors in the Baltics are influenced by the US, but they do not herd around the US market. Deterioration of investors' sentiment is found to be related with herd behavior. Investors in Tallinn and Riga exhibit herd behavior when they are anxious about future market conditions. However, this relationship is not observed during turbulent periods.}},
author = {{Pavlovska, Agnese and Berisha, Donjeta}},
language = {{eng}},
note = {{Student Paper}},
title = {{Herd Behavior in the NASDAQ OMX Baltic Stock Market}},
year = {{2015}},
}