Abstract
This paper aims at exploring the effect of financial crises which started in 2008
on the herding behaviour of market participants using the Spanish financial
market as a case. We conduct this study to Investigate Herd behaviour in
Financial Market of Spain an Ex-ante and Ex-post analysis of financial crises of
2008 considering daily returns of all stocks market index during market stress, a
period between 2002 and 2011. The 2008 financial crises which were triggered
by the inappropriate use of mortgages in the subprime market have led to
recessions among the major economies in the world. Considering that Spain is
one of the most affected countries by the financial meltdown, the Spanish
recession continued to deepen until this point in time and the consequences were
reflected in high volatility and pessimistic downward movement in the stock
market. We expect to find positive and significant coefficient values of the dummy
variables used to detect the extreme movements in the dispersions of the
individual stocks, where significant and negative beta coefficients would indicate
the presence of the herd formation. The study concludes that the Spanish market
investors, either before or after the crises, do not tend to abandon their private
information and form a herd hence making a rational investment decision.
Manzoor Ahmed, Muhammad Yasir Abbass, Sohrab Abbasi. (2015) Herd Behaviour in Extreme Conditions: an evidence from Spanish Market, Abasyn Journal of Social Sciences, Volume-08, Issue-1.
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