Abstract
This paper examines herd behavior in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of herd behavior for the years 1998-2007. Evidence of herd behavior over daily time intervals is much stronger, revealing the short-term nature of the phenomenon. When the testing period is broken into semi-annual sub-periods, herding is found during the stock market crisis of 1999. Investor behavior seems to have become more rational since 2002, owing to the regulatory and institutional reforms of the Greek equity market and the intense presence of foreign institutional investors.