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- W4220761521 startingPage "134" @default.
- W4220761521 abstract "We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the relationship between volatility and CSAD (cross sectional absolute deviation)/herding, a lower CSAD (movement in a specific direction) brings about less volatility. However, a high volatility amplifies herding (reduces CSAD), especially in China. Russia and South Africa are unresponsive to volatility levels (low/high) and herding. We also observe volatility heterogeneity. Different volatility measures have different effects on different markets. There is limited evidence to suggest that sentiment (based on principal component) Granger causes herding/CSAD. Herding is a period and market variant and unrelated to crises. The U.S. ‘fear’ index has a short-lived, limited effect on CSAD/herding (during COVID only) for all countries except China. In addition, Granger causality analysis indicates a two-way relationship between the U.S. ‘fear’ index and CSAD/herding, unrelated to crises." @default.
- W4220761521 created "2022-04-03" @default.
- W4220761521 creator A5044430618 @default.
- W4220761521 creator A5074743331 @default.
- W4220761521 date "2022-03-11" @default.
- W4220761521 modified "2023-10-01" @default.
- W4220761521 title "Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)" @default.
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- W4220761521 doi "https://doi.org/10.3390/jrfm15030134" @default.
- W4220761521 hasPublicationYear "2022" @default.
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