Do Invertors Herd: Empirical Evidence from Pakistan Stock Exchange Market and in its Major Sectors

Muhammad Jamil, Ghulam Ilyas, Muhammad Iqbal and Zubair Tanveer

Abstract

The study is to investigate the response of stockholders about investment activities in Pakistan Stock Exchange and its major segments. Researchers have used Cross[1]Sectional Standard Deviation (CSSD) and Cross-Sectional Absolute Deviation (CSAD) approaches to evaluate herding behaviour in aforesaid market by collecting daily data on stock price from 2007 to 2014. The study finds significant evidence of the herding behaviour for the different sectors at different time in a given market. Under stress conditions of the market there are more chances that investors do herd whereas in thriving situation it has a low tendency to herd. Similarly, herding activities have different trends in bullish and bearish market conditions.