Table A5. Analysis of herding behavior... | Emerald Publishing

Table A5.

Analysis of herding behavior during up and down markets

Sample	Position	Variable	Coefficient	Standard error	R-squared	Adjusted R-squared
Whole market	Up market	Abs M R	(3.471)**	1.668	0.035	0.034
		Abs (MR)²	−0.151	0.274	0.035	0.034
	Down market	Abs M R	(0.836)*	0.303	0.0139	0.0136
		Abs (MR)²	(0.290)*	0.063	0.0139	0.0136
Shariah-compliant	Up market	Abs M R	0.504	0.031	0.205	0.204
		Abs (MR)²	(−0.013)**	0.005	0.205	0.204
	Down market	Abs M R	(−0.438)*	0.033	0.1587	0.1584
		Abs (MR)²	−0.005	0.006	0.1587	0.1584
Conventional stocks	Up market	Abs M R	0.482	0.030	0.2186	0.2183
		Abs (MR)²	−0.0068	0.0064	0.2186	0.2183
	Down market	Abs M R	(0.415)*	0.043	0.1682	0.1680
		Abs (MR)²	0.003	0.012	0.1682	0.1680

Sample	Position	Variable	Coefficient	Standard error	R-squared	Adjusted R-squared
Whole market	Up market	Abs M R	(3.471)**	1.668	0.035	0.034
		Abs (MR)²	−0.151	0.274	0.035	0.034
	Down market	Abs M R	(0.836)*	0.303	0.0139	0.0136
		Abs (MR)²	(0.290)*	0.063	0.0139	0.0136
Shariah-compliant	Up market	Abs M R	0.504	0.031	0.205	0.204
		Abs (MR)²	(−0.013)**	0.005	0.205	0.204
	Down market	Abs M R	(−0.438)*	0.033	0.1587	0.1584
		Abs (MR)²	−0.005	0.006	0.1587	0.1584
Conventional stocks	Up market	Abs M R	0.482	0.030	0.2186	0.2183
		Abs (MR)²	−0.0068	0.0064	0.2186	0.2183
	Down market	Abs M R	(0.415)*	0.043	0.1682	0.1680
		Abs (MR)²	0.003	0.012	0.1682	0.1680

Note:

HAC standard errors and covariance (Bartlett kernel, Newey–West fixed bandwidth = 10.000); * and **represent significant at 1% and 5% levels, respectively