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Indices Herding Behavior and Its Impact on Listed Real Estate and Two Other Asset Classes: A Case of Developed versus Emerging Markets

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

Author

Listed:
  • Sibongile Zwane
Abstract
The literature on indices herding behavior among bonds, equities, and real estate is very scant. When one compares developed and emerging markets, specifically the United States, the United Kingdom, Taiwan, and South Africa, such studies are hard to find. This study uses principal component analysis to extract and illustrate parameters driving herding investment behavior for the indices of the mentioned countries. Thereafter, the vector autoregressive model is used for robustness tests. The results reveal the following: First, governmental relationships and similarities among countries influenced herding behavior in the selected capital markets indices. Second, most of the herding occurs in the bond indices for the four countries. Finally, the robustness results reveal spillover opportunities in between and across countries irrespective of the index analyzed. The results are generalizable as they are consistent with prior studies such as Zaremba et al. (2021).

Suggested Citation

  • Sibongile Zwane, 2024. "Indices Herding Behavior and Its Impact on Listed Real Estate and Two Other Asset Classes: A Case of Developed versus Emerging Markets," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 101, pages 3329-3368, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0101
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    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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