Herding Behavior in Futures Market: An Empirical Analysis from IndiaReport as inadecuate




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This study tries to explore the existence of herdingbehavior of investors in an entirely new asset class, futures, in Indianfutures market. For empirical analysis, it uses data of exchanged traded equityfutures contracts, a part of futures and options segment of National StockExchange NSE, India from January 2011 to June 2016. Applying generalizedleast squares GLS regression model, the study found supporting evidences forexistence of herd behavior for the study period, especially duringmacroeconomic news releases, in periods of extremely low high trading volume and spillovers from othermarkets. This analysis of herd behavior is key in understanding the bandwagoneffect of investors, which results in inefficient asset pricing. As a policyimplication, it is highly relevant to regulatory institutions responsible forefficient functioning of the financial system.

KEYWORDS

Herding Behavior, Cross-Sectional Dispersion, Futures, Generalized Least Square

Cite this paper

Banerjee, A. and Padhan, P. 2017 Herding Behavior in Futures Market: An Empirical Analysis from India. Theoretical Economics Letters, 7, 1015-1028. doi: 10.4236-tel.2017.74069.





Author: Ameet Kumar Banerjee1*, Purna Chandra Padhan2

Source: http://www.scirp.org/



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