Table 8 Examination of herding behavior...

Table 8

Examination of herding behavior in the public equity fund market

	CSSD	CSSD	CSAD	CSAD	CSAD	CSAD	CSAD
$D_{L}$ (2.5%)	−0.000109		0.00950
$D_{L}$ (2.5%)	(0.00767)		(0.0137)
$D_{U}$ (2.5%)	0.0268***		0.0357**
$D_{U}$ (2.5%)	(0.00767)		(0.0137)
$D_{L}$ (5%)		−0.000299		−0.000296
$D_{L}$ (5%)		(0.00621)		(0.00634)
$D_{U}$ (5%)		0.0158**		0.0149**
$D_{U}$ (5%)		(0.00621)		(0.00634)
$R_{M}$					0.111***
$R_{M}$					(0.0280)
$R_{M}^{2}$					1.069***
$R_{M}^{2}$					(0.283)
$R_{M (U P)}$						0.267*
$R_{M (U P)}$						(0.137)
$R_{M (U P)}^{2}$						−0.124
$R_{M (U P)}^{2}$						(1.032)
$R_{M (D O W N)}$							0.147
$R_{M (D O W N)}$							(0.129)
$R_{M (D O W N)}^{2}$							−0.383
$R_{M (D O W N)}^{2}$							(0.859)
Constant	0.0261***	0.0257***	0.0231***	0.0227***	0.0198***	0.0173***	0.0139***
Constant	(0.00145)	(0.00145)	(0.00148)	(0.00147)	(0.00148)	(0.00341)	(0.00305)
Observations	87	87	87	87	87	57	30
R-squared	0.080	0.127	0.079	0.132	0.278	0.277	0.125

	CSSD	CSSD	CSAD	CSAD	CSAD	CSAD	CSAD
$D_{L}$ (2.5%)	−0.000109		0.00950
$D_{L}$ (2.5%)	(0.00767)		(0.0137)
$D_{U}$ (2.5%)	0.0268***		0.0357**
$D_{U}$ (2.5%)	(0.00767)		(0.0137)
$D_{L}$ (5%)		−0.000299		−0.000296
$D_{L}$ (5%)		(0.00621)		(0.00634)
$D_{U}$ (5%)		0.0158**		0.0149**
$D_{U}$ (5%)		(0.00621)		(0.00634)
$R_{M}$					0.111***
$R_{M}$					(0.0280)
$R_{M}^{2}$					1.069***
$R_{M}^{2}$					(0.283)
$R_{M (U P)}$						0.267*
$R_{M (U P)}$						(0.137)
$R_{M (U P)}^{2}$						−0.124
$R_{M (U P)}^{2}$						(1.032)
$R_{M (D O W N)}$							0.147
$R_{M (D O W N)}$							(0.129)
$R_{M (D O W N)}^{2}$							−0.383
$R_{M (D O W N)}^{2}$							(0.859)
Constant	0.0261***	0.0257***	0.0231***	0.0227***	0.0198***	0.0173***	0.0139***
Constant	(0.00145)	(0.00145)	(0.00148)	(0.00147)	(0.00148)	(0.00341)	(0.00305)
Observations	87	87	87	87	87	57	30
R-squared	0.080	0.127	0.079	0.132	0.278	0.277	0.125

Note(s): Table 8 shows the coefficients of the panel regression result of the equation below. Detailed variable definitions are in Table 1. Standard errors are in parentheses. ***, ** and * denote significance at the 1, 5 and 10% level, respectively

${C S S D}_{t} o r {C S A D}_{t} = β_{0} + β_{1} D_{t}^{L} + β_{2} D_{t}^{H} + e_{t}$

${C S A D}_{t} = β_{0} + β_{1} R_{m, t} + β_{2} R_{m, t}^{2} + e_{t}$

Source(s): Authors' work

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