DO INVESTORS HERD IN FRONTIER STOCK MARKETS? EMPIRICAL EVIDENCE FROM VIETNAMESE STOCK MARKET

This paper provides further evidence on herd behavior in the Vietnamese stock market - a frontier stock market. By modifying and employing the non-linear regression models proposed by Chang et al. (2000), the study found evidence of strong herd behavior in all industrial sectors, Hochiminh, and Hanoi stock exchange. Besides, we use a modified model to capture any impact of international stock markets on investor behavior in the Vietnamese market. The results show that herd behavior found in all market portfolios are affected by the U.S stock market. Alternatively, events in Hong Kong stock market only have a relatively effect on Hochiminh and Hanoi stock exchange. However, no evidence of herding was reported. Finally, the results strongly suggest that investors tend to herd in both up and down market scenarios.