Title: Herding behaviour in beta-based portfolios

Authors: N. Chitra Devi; M. Punniyamoorthy

Addresses: Hindustan Institute of Technology and Science, Hindustan University, Chennai, Tamilnadu, India ' National Institute of Technology, Tiruchirappalli, Tamilnadu, India

Abstract: Understanding the herding behaviour will be effective when investors have diversified portfolio but may not hold good if the portfolio consists of similar stocks (Ganesh et al., 2016). Considering the importance of studying the herding behaviour across the different portfolio, this research analyse the herding behaviour of the different set of portfolios such as high beta portfolio, medium beta portfolio and low beta portfolio formed on the basis of the magnitude of the beta values of capital asset pricing model. The presence of herding behaviour is analysed using the daily data of the companies listed in the Bombay Stock Exchange from April 2006 to March 2017. This paper illustrates that high beta portfolio exhibits no herding behaviour but medium and low beta portfolio shows significant herding behaviour. Consistent with the previous studies, the asymmetric response of herding behaviour also varies with the volatility of stocks.

Keywords: herding behaviour; beta-based portfolios; asymmetric effects.

DOI: 10.1504/IJMP.2020.106938

International Journal of Management Practice, 2020 Vol.13 No.3, pp.338 - 351

Received: 19 Sep 2018
Accepted: 01 Apr 2019

Published online: 28 Apr 2020 *

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