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    Dissertation: (Special Emphasis On Herding Behaviour) "

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    Prateek Verma
    This document is a dissertation submitted by Prateek Verma to Amity Business School in partial fulfillment of the requirements for a Master of Business Administration degree. The dissertation analyzes herding behavior in capital markets, with a special emphasis on BRICS nations. The dissertation consists of an introduction on behavioral finance and how it differs from traditional finance. It then reviews relevant literature on herding behavior, particularly in emerging and frontier markets. The research objectives are to analyze the existence of herding behavior in BRICS countries, identify investor approaches, and understand investment purposes and risks in each BRICS nation. The methodology chapter outlines the appropriate research path, including problem and objective formulation, data collection, and presentation of results

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    Dissertation: (Special Emphasis On Herding Behaviour) "

    Uploaded by

    Prateek Verma
    31 views9 pages
    This document is a dissertation submitted by Prateek Verma to Amity Business School in partial fulfillment of the requirements for a Master of Business Administration degree. The dissertation analyzes herding behavior in capital markets, with a special emphasis on BRICS nations. The dissertation consists of an introduction on behavioral finance and how it differs from traditional finance. It then reviews relevant literature on herding behavior, particularly in emerging and frontier markets. The research objectives are to analyze the existence of herding behavior in BRICS countries, identify investor approaches, and understand investment purposes and risks in each BRICS nation. The methodology chapter outlines the appropriate research path, including problem and objective formulation, data collection, and presentation of results

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    This document is a dissertation submitted by Prateek Verma to Amity Business School in partial fulfillment of the requirements for a Master of Business Administration degree. The dissertation analyzes herding behavior in capital markets, with a special emphasis on BRICS nations. The dissertation consists of an introduction on behavioral finance and how it differs from traditional finance. It then reviews relevant literature on herding behavior, particularly in emerging and frontier markets. The research objectives are to analyze the existence of herding behavior in BRICS countries, identify investor approaches, and understand investment purposes and risks in each BRICS nation. The methodology chapter outlines the appropriate research path, including problem and objective formulation, data collection, and presentation of results

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    © All Rights Reserved
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    31 views9 pages

    Dissertation: (Special Emphasis On Herding Behaviour) "

    Uploaded by

    Prateek Verma
    This document is a dissertation submitted by Prateek Verma to Amity Business School in partial fulfillment of the requirements for a Master of Business Administration degree. The dissertation analyzes herding behavior in capital markets, with a special emphasis on BRICS nations. The dissertation consists of an introduction on behavioral finance and how it differs from traditional finance. It then reviews relevant literature on herding behavior, particularly in emerging and frontier markets. The research objectives are to analyze the existence of herding behavior in BRICS countries, identify investor approaches, and understand investment purposes and risks in each BRICS nation. The methodology chapter outlines the appropriate research path, including problem and objective formulation, data collection, and presentation of results

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    of 9

    DISSERTATION

    On

    “THE EFFECT OF BEHAVIOURAL FINANCE ON CAPITAL MARKETS.: BRICS


    NATIONS

    (SPECIAL EMPHASIS ON HERDING BEHAVIOUR)”

    By

    Prateek Verma

    A001110719042

    MBA Class of 2021

    Under the Supervision of

    Dr. T. V. Raman

    In Partial Fulfilment of the Requirements for the Degree of Master of Business


    Administration

    At

    AMITY BUSINESS SCHOOL

    AMITY UNIVERSITY UTTAR PRADESH

    SECTOR 125, NOIDA - 201303, UTTAR PRADESH, INDIA


    CHAPTER 1: INTRODUCTION

    Behavioural finance is the endeavour to consider the phycological conduct of speculators and
    the business sectors and how are they impacted. Behavioural finance hypotheses examine
    enthusiastic attributes to clarify abstract variables and nonsensical peculiarities in budgetary
    business sectors. It concedes that mental attributes, (for example, hazard avoidance, lament,
    pomposity) assume a significant part in budgetary administration and venture dynamic.
    Thusly, budgetary shortcomings could be determined which could prompt enhancements in
    money related dynamic and development of riches.

    So as to utilize Behavioural finance by and by, it is critical to see how Behavioural finance
    varies from a conventional account and a portion of the hypothetical points of view that are
    applicable to comprehend the distinctions. Conduct Finance contrasts from the conventional
    account, which depends on theories about how financial specialists and markets ought to
    carry on. At the end of the day,

    Behavioural finance contrasts from conventional money in that it centres around how
    speculators and markets act practically speaking as opposed to in principle. By zeroing in on
    real conduct, social specialists have seen that people settle on venture choices in manners and
    with results that contrast from the methodologies and results of customary account.

    Behavioural finance is a unique field in learning how psychological factors affect the
    investors investment decisions. Now a day’s investment decisions are made by the influence
    of different information available to investors in the market or even forecasting are becoming
    illusion in the real financial markets. It is very clearly visible that different changes in the
    market such as price volatility, ups and downs in the economic and financial situations effect
    the mindset of the investors. Most of the individuals are risk averse and the one thing which
    keep rotating in their mind is fear of losing the money.
    Herding Behaviour

    What is Herd Instinct?

    Herd instinct in account is where speculators follow what they see different financial
    specialists and investors are doing, instead of their own examination. As it were, a speculator
    showing crowd sense will incline toward the equivalent or comparative ventures put together
    exclusively with respect to the way that numerous others are purchasing the protections.

    This research aims to research the existence of herding behaviour in BRICS countries (Brazil,

    Russia, India, China, and South Africa) stocks market and uneven grouping conduct in 1997-
    2017 by utilizing every day information of the stock cost. This examination points
    additionally to assist the financial specialists with knowing the expected danger in each
    BRICS nation as their reference to do the speculation choices. By utilizing the CSAD
    strategy (Chang et al, 2000), the outcomes show there is a presence of grouping conduct in all
    period and lopsidedly in India, China, and South Africa and blended proof in

    Brazil and Russia. Herding behaviour occurs when the level of market return is positive and
    negative implies that the investors tend to respond to the gain than facing the loss, that is the
    reason the investors have a tendency to mimic others in order to save their value of the
    portfolio.

    When herding behaviour occurs at a high level of volatility it implies the level of uncertainty
    in the countries are really high, therefore the investors tend to follow the market movement
    and mimic others. Herding behaviour occurs at a low level of volatility implies that it is
    insufficient information provided by the market, therefore the investors neglect their prior
    information and tend to follow the market movement as the references to their investment
    decisions

    Keywords: herding behaviour, BRICS, CSAD


    CHAPTER 2: LITERATURE REVIEW

    Literature review is an essential part for every research work, as it assesses and analyse the
    relevant literature for identifying the areas which need strengthening in the field of study.
    Accordingly, ample literature review was carried out from the famous published literature
    available on the most considerable research papers, articles and journal.

    Herding in Frontier Markets: Evidence from African Stock Exchanges


    Journal of International Financial Markets Institutions and Money
    DOI: 10.1016/j.intfin.2016.11.001

    Authors:

     Yilmaz Guney (Coventry university)


     Bill Kallinterakis (university of Liverpool)
     Gabriel Komba (Mzumbe University)

    We investigate herding in eight African frontier stock markets between January 2002
    and July 2015, given the limited evidence on herding in frontier markets. Herding
    appears significant throughout the 2002-2015 period for all markets, with smaller
    stocks found to enhance its magnitude. Herding entails no clear asymmetries
    conditional on market performance; conversely, it appears notably asymmetric when
    conditioned on market volatility, as it is significant (or stronger) mainly during low
    volatility days, without this pattern, however, surviving when accounting for the
    2007-2009 crisis. The US and South African markets motivate herding on a small
    number of occasions only, while the return dynamics of a regional economic
    initiative’s member-markets are found to induce herding in each other very rarely,
    thus demonstrating that investors’ behaviour in markets with low integration in the
    international financial system is not significantly affected by non-domestic factors.1

    https://www.researchgate.net/profile/Yilmaz_Guney/publication/309494058_Herding_in_Frontier_Markets_E
    vidence_from_African_Stock_Exchanges/links/5c3c7255a6fdccd6b5ab5cf6/Herding-in-Frontier-Markets-
    Evidence-from-African-Stock-Exchanges.pdf
    An empirical analysis of herd behaviour in global stock markets

    Journal of Banking & Finance,

    DOI: 2010, vol. 34, issue 8, 1911-1921

    Authors:

     Thomas Chiang
     Dazhi Zheng

    This paper examines herding behaviour in global markets. By applying daily data for
    18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding
    in advanced stock markets (except the US) and in Asian markets. No evidence of
    herding is found in Latin American markets. Evidence suggests that stock return
    dispersions in the US play a significant role in explaining the non-US market's
    herding activity. With the exceptions of the US and Latin American markets, herding
    is present in both up and down markets, although herding asymmetry is more
    profound in Asian markets during rising markets. Evidence suggests that crisis
    triggers herding activity in the crisis country of origin and then produces a contagion
    effect, which spreads the crisis to neighbouring countries. During crisis periods, we
    find supportive evidence for herding formation in the US and Latin American
    markets.2

    Herding behaviour in the Chinese and Indian stock markets


    Journal of Asian Economics,
    DOI: 2011, vol. 22, issue 6, 495-506

    Authors:

     Paulo Lao
     Harminder Singh

    2
    https://econpapers.repec.org/article/eeejbfina/
    The existence of herding behaviour challenges the validity of the “efficient market
    hypothesis”. This study examines herding behaviour in the Chinese and Indian stock
    markets; our findings

    suggest that herding behaviour exists in both. The level of herding depends on market
    conditions. In the Chinese market, herding behaviour is greater when the market is falling
    and the trading volume is high. On the other hand, in India the study finds that it occurs
    during up-swings in market conditions. Herding behaviour is more prevalent during large
    market movements in both markets. In relative terms, a lower prevalence of herding
    behaviour was detected in the Indian stock market.3

    To be added further ...

    3
    https://econpapers.repec.org/article/eeeasieco/
    CHAPTER 3: OBJECTIVE OF THE STUDY

    The study was conducted taking into consideration the following three main objectives-

    1. Analyse the existence of herding behaviour in BRICS countries


    2. To identify investors preferred approach to investing.
    3. To study the purpose of investment for individual investors
    4. To know the potential risk in each BRICS countries as their reference to do the
    investment decisions
    CHAPTER 4: RESEARCH METHODOLOGY

    Research methodology is the path through which researchers need to conduct their research
    and analyse the need for the research done. It shows the path through which researchers
    formulate their problem and objective and present the result from the data obtained during the
    study, and some appropriate result may be obtained.

    This investigation use test subjects of organizations recorded on the BRICS stock trades, to
    be specific BOVESPA (Brazil), MOEX (Russia), BSN (India), Shanghai Composite Index
    (China), and FTSE South Africa (South Africa). The period utilized in this investigation all in
    all is January 1, 1997 to December 29, 2017, with the accompanying subtleties; Brazil from
    31 December 1996 to 29 December 2017, Russia begins from 18 January 2002 to 25
    September 2017, India begins from 30 December 1997 to 29 December 2017, China begins
    from 3 July 1997 to 25 August 2017, and South Africa begins from 31 December 1996 to 29
    November 2016.

    To address the key research objectives, the research paper has used both qualitative and
    quantitative method.

    Data type: Primary Data & Secondary Data

    Sampling area: India

    Test for research analysis will be CSAD (cross section absolute dispersion) proposed by
    Chang et al.

    Descriptive and Inferential test will be used.

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