Abstract

This paper examines the existence of herd behaviour in fifteen (15) global stock markets, which consist of Developed Markets (Canada, Hong Kong, Japan, Singapore and the United Kingdom), Advanced Emerging Markets (Brazil, Malaysia, Mexico, Poland and South Africa) and Secondary Emerging Markets (Chile, China, Indonesia, the Philippines and Russia) by using Cross Sectional Absolute Deviation (CSAD) method of Chiang and Zheng (2010). It also seeks to explore the impact of social factors such as prosperity, education, ageing society, industry orientation and gender on the existence of market-wide herding. The findings of this paper indicate that herd behaviour exists in Singapore (Developed Market), Mexico, Poland and South Africa (Advanced Emerging Markets) and China and the Philippines (Secondary Emerging Markets). No evidence of herding is observed for Canada, Hong Kong, Japan, United Kingdom, Brazil, Malaysia, Chile, Indonesia and Russia. Ageing society is also found to have significant impact on the existence of herd behaviour. Nonetheless, prosperity, education, industry orientation and gender are found to be insignificant to herding. This study sheds some light on whether social factors determine herding behaviour in the 15 selected stock markets.