Testing investors’ herding behavior in Baltic States
Testing investors’ herding behavior in Baltic States

Summary/Abstract: This paper examines investors’ herding behavior within Baltic countries using the cross-sectional absolute deviations of stock returns. We test herding behavior at industry level by using daily data on stock prices from January 2, 2003 to December 31, 2013 and we investigate for the potential asymmetric effects of herding behavior under high and low volatility. We find evidence of herding in several industries over the studied period and our results confirm that the global financial crisis affected herding behavior on Latvian and Lithuanian stock markets.

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