Does Regime-Dependent Volatility Drive Dynamism in Investor Herding?
The existing literature on herding often uses the static model to test herd behaviour in the Indian market context. Hence, the objective of this paper is to investigate the dynamic herd behaviour for S&P BSE 500 from 2009-2023 using the Markov Regime Switching model. Results exhibit the occurren...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Management & Finance, University of Colombo
2024-06-01
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| Series: | Colombo Business Journal |
| Subjects: | |
| Online Access: | https://mgmt.cmb.ac.lk/cbj/wp-content/uploads/2024/07/3.-CBJ-2023-FIN-3-V15I1-Regime-Dependent-Volatility.pdf |
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