Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market?

Title

Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market?

Creator

Khan T.; Natchimuthu N.; Krishna T.A.

Description

This study empirically examines the herding behavior of the Indian stock market investors during the heightened geopolitical tensions between Russia and Ukraine in 2022. An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nifty index was analyzed using Multifractal Detrended Fluctuation Analysis (MFDFA) to compute the 5th-order Hurst exponent (Hq (5)) that detects herding behavior. The study's empirical results revealed the presence of profound herding behavior during the intensified Russia-Ukraine geopolitical event window. The study contributes to the existing literature on herding behavior by examining the impact of a geopolitical event on the Indian stock market. Additionally, the study utilizes MFDFA to compute Hurst exponents, a relatively new approach to detecting herding behavior in financial markets. The findings of this study may assist investors and policymakers in understanding the impact of geopolitical events on financial markets and the potential for herding behavior among investors during times of heightened uncertainty. The study's results demonstrate the interconnectedness of global events and financial markets, highlighting the need for policymakers to consider the potential social and economic consequences of geopolitical events. 2023 The Author(s).

Source

Theoretical and Practical Research in the Economic Fields, Vol-14, No. 2, pp. 484-498.

Date

2023-01-01

Publisher

ASERS Publishing House

Subject

event window; geopolitical conflicts; herding behavior; Hurst exponent; MFDFA; multifractal; stock market; war

Coverage

Khan T., School of Commerce, Finance and Accountancy CHRIST (Deemed to be University), Bengaluru, India; Natchimuthu N., School of Commerce, Finance and Accountancy CHRIST (Deemed to be University), Bengaluru, India; Krishna T.A., Department of Professional Studies CHRIST (Deemed to be University), Bengaluru, India

Rights

All Open Access; Hybrid Gold Open Access

Relation

ISSN: 20687710

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.14505/tpref.v14.2(28).24

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