Nguyen Huu Manh, Bakry Walid, Vuong Thi Huong Giang
Department of Accounting and Finance, Nha Trang University, Nha Trang, Viet Nam.
School of Business, Western Sydney University, NSW, Australia.
J Behav Exp Finance. 2023 Jun;38:100807. doi: 10.1016/j.jbef.2023.100807. Epub 2023 Mar 24.
This paper examines the presence of herd behavior in the Vietnamese stock market using the cross-sectional absolute deviation (CSAD) method and by applying quantile regression (QR). We detect herd behavior in the Vietnamese stock market from January 2016 to May 2022. Herd behavior is less pronounced for bullish markets, yet more prominent under other market conditions. Importantly, the paper provides insight into the herd phenomenon during COVID-19's fourth wave outbreak in Vietnam. We discover that during the fourth wave outbreak, investors on the Hanoi Stock Exchange (HNX) do not engage in herding. However, herd behavior does manifest on the Ho Chi Minh Stock Exchange (HOSE) with falling stock prices engendering pessimistic herd selling. Knowledge of this empirical evidence of herd behavior in the Vietnamese stock market should prove useful to investors in determining the intrinsic value of stocks, and to policymakers wishing to enhance the efficiency of the equity market.
本文运用横截面绝对偏差（CSAD）方法并应用分位数回归（QR），研究越南股票市场中的羊群行为。我们发现2016年1月至2022年5月期间越南股票市场存在羊群行为。牛市期间羊群行为不太明显，但在其他市场条件下更为突出。重要的是，本文深入探讨了越南新冠疫情第四波爆发期间的羊群现象。我们发现，在第四波疫情爆发期间，河内证券交易所（HNX）的投资者没有出现羊群行为。然而，胡志明证券交易所（HOSE）确实出现了羊群行为，股价下跌引发了悲观的羊群式抛售。越南股票市场羊群行为的这一实证证据，对于投资者确定股票内在价值以及希望提高股票市场效率的政策制定者而言，应该是有用的。
