...) regression, panel data methods and quantile regression (QR) to estimate the models. Findings This study demonstrates an average inverse relationship between PTV and CC returns. However, this relationship exhibits asymmetry across different quantiles, indicating that investor reactions vary based...

... spanning from June 2015 to May 2020. Quantile regression specifications of Chang et al.’s (2000) absolute deviation method have been used to locate herding bias. Dummy regression models have also been deployed to examine herd activity during skewed, crises and COVID-19 phases. Findings...

... change concerning the bloc under study. Design/methodology/approach The current empirical analysis employs daily, weekly and monthly data points to estimate relevant herding parameters. Quantile regression specifications of Chang et al. (2000)'s dispersion method have been applied to detect...