Does Herding behavior exist in Indian Futures Market?

BABU JOSE

Abstract


Study aims to make clarity on the herding behavior of Indian futures market by considering near month daily closing return of S&P CNX Nifty 50 and its 15individual   near month futures stock return, applying CSAD model and OLS linear regression for the period of 2001-2018. The whole study period is divided as bull and bear market and makes separate analysis to find the presence of herding behavior in different market situations. The empirical results proved the absence of herding behavior in Indian futures market and very minimal level of mimic characteristics is seen in bear than bull market in India.


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ISSN : 2251-1547