... and components of investors’ behavior are overlooked. The present study tries to investigate herding behavior in six major stock markets across the world using the cross-sectional absolute deviation (CSAD) methodology. The study aims to foster a deeper understanding of irrationality in investment decisions using...

... the spillovers across different markets. Moreover, to explore herding behavior, the authors used a modified version of the CSAD measure of Chang et al. (2000) including extreme market movements. Finally, to study the link between these two phenomena, the authors estimated a DCC-GARCH model. Findings...

.... (2000) measure to calculate herding that is based on cross-section absolute dispersion of stock returns (CSAD). We further analyse the nature of the same in different market regimes, that is up market, down market, high volatile market, low volatile market etc. Findings Applying different...