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• W2759426192 abstract "Purpose This paper aims to investigate the herding behavior in the French stock market and its effect on the idiosyncratic conditional volatility at a sectoral level. Design/methodology/approach This sample covers all the listed companies in the French stock market, classified by sector, over four major crisis periods. The author modifies the cross-sectional absolute deviation (CSAD) model to include trading volume and investors sentiment as herding triggers. Furthermore, the author uses a modified GARCH model to investigate the effect of herding on conditional volatility. Findings Herding is present in the French market during crises, and it is present in only some sectors during the entire period. The main trigger for investors to embark into a collective herding movement differs from one sector to another. Furthermore, herding behavior has an inhibiting effect on market conditional volatility. Originality/value The author modifies the CSAD model to investigate the presence of herding in the French stock market at a sectoral level during turmoil periods. Furthermore, the particularly designed GARCH model provides new insights on the effect of herding and volume turnover on the conditional volatility." @default.
• W2759426192 created "2017-10-06" @default.
• W2759426192 creator A5084736758 @default.
• W2759426192 date "2017-11-13" @default.
• W2759426192 modified "2023-10-12" @default.
• W2759426192 title "Herd behavior in the French stock market" @default.
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• W2759426192 doi "https://doi.org/10.1108/raf-11-2016-0188" @default.
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