Do all shocks produce embedded herding and bubble? An empirical observation of the Indian stock market
- Title
- Do all shocks produce embedded herding and bubble? An empirical observation of the Indian stock market
- Creator
- Khan T.; Suresh G.
- Description
- Herding has a history of igniting large, irrational market ups and downs, usually based on a lack of fundamental support. Intuitively, most herds start with an external shock. This empirical study seeks to detect shock-induced herding and the creation of nascent bubbles in the Indian stock market. Initially, the multifractal form of the detrended fluctuation analysis was applied. Then the Reformulated Hurst exponent for the Bombay stock exchange (BSE) was determined using Kantelhardt's calibration. The investigation found evidence of high-level herding and a bubble in 2012, with a high value of Hurst Exponent (0.7349). The other years of the research period (2011, 2013, 2016, 2018, 2020-2021) observed mild to significant herding with comparatively lower Hurst values. The results confirm that herding behavior occurs during a crisis and harsh situations emitting shocks. The study concludes that shock-based herding is prevalent in all six shocks: the economic meltdown, commodities and currency devaluation, geo-political problems, the Central Bank's decision on liquidity management, and the Pandemic. Additionally, the years following the Financial Crisis and the years of the Pandemic are when herding and bubble are prominent. Tabassum Khan, Suresh G., 2022.
- Source
- Investment Management and Financial Innovations, Vol-19, No. 3, pp. 346-359.
- Date
- 2022-01-01
- Publisher
- LLC CPC Business Perspectives
- Subject
- econophysics; Hurst exponent; market shocks; multifractal; persistence
- Coverage
- Khan T., School of Commerce, Finance and Accountancy, CHRIST (Deemed to be University), India; Suresh G., School of Commerce, Finance and Accountancy, CHRIST (Deemed to be University), India
- Rights
- All Open Access; Gold Open Access
- Relation
- ISSN: 18104967
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Khan T.; Suresh G., “Do all shocks produce embedded herding and bubble? An empirical observation of the Indian stock market,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 28, 2025, https://archives.christuniversity.in/items/show/15306.