Does herding exist in lottery stocks? Evidence from the Indian stock market
In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2020-02-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/157 |
| _version_ | 1811245113028902912 |
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| author | Aleem Ansari Tariq Aziz Valeed Ahmad Ansari |
| author_facet | Aleem Ansari Tariq Aziz Valeed Ahmad Ansari |
| author_sort | Aleem Ansari |
| collection | DOAJ |
| description | In this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX and skewness and find that the herd behaviour is present among highly idiosyncratic stocks. This sheds light on why herding is not detected in the prior studies as it may be concentrated among stocks with certain characteristics. Further, it provides evidence of adverse herding. |
| first_indexed | 2024-04-12T14:35:19Z |
| format | Article |
| id | doaj.art-81de6b493e2549d0b9f6541d741bcef4 |
| institution | Directory Open Access Journal |
| issn | 2253-5799 2253-5802 |
| language | English |
| last_indexed | 2024-04-12T14:35:19Z |
| publishDate | 2020-02-01 |
| publisher | Tuwhera Open Access Publisher |
| record_format | Article |
| series | Applied Finance Letters |
| spelling | doaj.art-81de6b493e2549d0b9f6541d741bcef42022-12-22T03:29:07ZengTuwhera Open Access PublisherApplied Finance Letters2253-57992253-58022020-02-01910.24135/afl.v9i0.157Does herding exist in lottery stocks? Evidence from the Indian stock marketAleem Ansari0Tariq Aziz1Valeed Ahmad Ansari2Aligarh Muslim UniversityAligarh Muslim UniversityAligarh Muslim UniversityIn this paper, we investigate the presence of herd behaviour among lottery stocks using Max, skewness and idiosyncratic volatility in the Indian stock market during the period January 2000 to December 2018. We demonstrate that the herd behaviour is non-existent across proxies of lottery-stocks MAX and skewness and find that the herd behaviour is present among highly idiosyncratic stocks. This sheds light on why herding is not detected in the prior studies as it may be concentrated among stocks with certain characteristics. Further, it provides evidence of adverse herding.https://ojs.aut.ac.nz/applied-finance-letters/article/view/157 |
| spellingShingle | Aleem Ansari Tariq Aziz Valeed Ahmad Ansari Does herding exist in lottery stocks? Evidence from the Indian stock market Applied Finance Letters |
| title | Does herding exist in lottery stocks? Evidence from the Indian stock market |
| title_full | Does herding exist in lottery stocks? Evidence from the Indian stock market |
| title_fullStr | Does herding exist in lottery stocks? Evidence from the Indian stock market |
| title_full_unstemmed | Does herding exist in lottery stocks? Evidence from the Indian stock market |
| title_short | Does herding exist in lottery stocks? Evidence from the Indian stock market |
| title_sort | does herding exist in lottery stocks evidence from the indian stock market |
| url | https://ojs.aut.ac.nz/applied-finance-letters/article/view/157 |
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