An Examination of Herd Behavior in Four Mediterranean Stock Markets

This paper examines herd behaviour in extreme market conditions using daily data from the Greek, Italian, Portuguese and Spanish stock markets for the years 1998-2008. We test for the presence of herding as suggested by Chang, Cheng, and Khorana (2000). Moreover, we examine the existence of asymmetric herding behaviour associated with market returns, trading volume, and return volatility. Finally, we investigate the presence of herd behaviour during the global financial crisis of 2008.