Thursday, 17 March 2011: 14:30
This paper examines herd behaviour in extreme market conditions using daily data for all publicly traded US equity REITs. Employing the Chang et al (2000) approach, we document significant evidence of herding within the equity REITs market. By applying the robust method of quantile regression, we find supporting evidence of the herding hypothesis. Moreover, we examine the presence of asymmetric herding behaviour associated with market returns. Our results show that herding is present in the US equity REITs, especially during periods of declining prices. Finally, we investigate whether herd behaviour became more intense during the global financial crisis of 2007-2008.