Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market?
This study empirically examines the herding behavior of the Indian stock market investors during the heightened geopolitical tensions between Russia and Ukraine in 2022. An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nif...
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| Veröffentlicht in: | Theoretical and practical research in economic fields 2023-12, Vol.14 (2), p.484-498 |
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| creator | KHAN, Tabassum NATCHIMUTHU, Natchimuthu TA, Krishna |
| description | This study empirically examines the herding behavior of the Indian stock market investors during the heightened geopolitical tensions between Russia and Ukraine in 2022.
An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nifty index was analyzed using Multifractal Detrended Fluctuation Analysis (MFDFA) to compute the 5th-order Hurst exponent (Hq (5)) that detects herding behavior.
The study's empirical results revealed the presence of profound herding behavior during the intensified Russia-Ukraine geopolitical event window. The study contributes to the existing literature on herding behavior by examining the impact of a geopolitical event on the Indian stock market. Additionally, the study utilizes MFDFA to compute Hurst exponents, a relatively new approach to detecting herding behavior in financial markets.
The findings of this study may assist investors and policymakers in understanding the impact of geopolitical events on financial markets and the potential for herding behavior among investors during times of heightened uncertainty. The study's results demonstrate the interconnectedness of global events and financial markets, highlighting the need for policymakers to consider the potential social and economic consequences of geopolitical events. |
| doi_str_mv | 10.14505/tpref.v14.2(28).24 |
| format | Article |
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An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nifty index was analyzed using Multifractal Detrended Fluctuation Analysis (MFDFA) to compute the 5th-order Hurst exponent (Hq (5)) that detects herding behavior.
The study's empirical results revealed the presence of profound herding behavior during the intensified Russia-Ukraine geopolitical event window. The study contributes to the existing literature on herding behavior by examining the impact of a geopolitical event on the Indian stock market. Additionally, the study utilizes MFDFA to compute Hurst exponents, a relatively new approach to detecting herding behavior in financial markets.
The findings of this study may assist investors and policymakers in understanding the impact of geopolitical events on financial markets and the potential for herding behavior among investors during times of heightened uncertainty. The study's results demonstrate the interconnectedness of global events and financial markets, highlighting the need for policymakers to consider the potential social and economic consequences of geopolitical events.</description><identifier>ISSN: 2068-7710</identifier><identifier>EISSN: 2068-7710</identifier><identifier>DOI: 10.14505/tpref.v14.2(28).24</identifier><language>eng</language><publisher>Craiova: ASERS Ltd</publisher><subject>Behavior ; Central banks ; COVID-19 ; Crude oil ; Economic growth ; Exports ; Geopolitics ; International finance ; International trade ; Investments ; Investor behavior ; Investors ; Literature reviews ; Macroeconomics ; Organic chemicals ; Pandemics ; Policy making ; Securities markets ; Stock exchanges ; Volatility</subject><ispartof>Theoretical and practical research in economic fields, 2023-12, Vol.14 (2), p.484-498</ispartof><rights>Copyright ASERS Ltd Winter 2023</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><orcidid>0000-0001-5564-5111 ; 0000-0002-7852-7158 ; 0000-0002-2461-7801</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,12836,27915,27916</link.rule.ids></links><search><creatorcontrib>KHAN, Tabassum</creatorcontrib><creatorcontrib>NATCHIMUTHU, Natchimuthu</creatorcontrib><creatorcontrib>TA, Krishna</creatorcontrib><title>Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market?</title><title>Theoretical and practical research in economic fields</title><description>This study empirically examines the herding behavior of the Indian stock market investors during the heightened geopolitical tensions between Russia and Ukraine in 2022.
An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nifty index was analyzed using Multifractal Detrended Fluctuation Analysis (MFDFA) to compute the 5th-order Hurst exponent (Hq (5)) that detects herding behavior.
The study's empirical results revealed the presence of profound herding behavior during the intensified Russia-Ukraine geopolitical event window. The study contributes to the existing literature on herding behavior by examining the impact of a geopolitical event on the Indian stock market. Additionally, the study utilizes MFDFA to compute Hurst exponents, a relatively new approach to detecting herding behavior in financial markets.
The findings of this study may assist investors and policymakers in understanding the impact of geopolitical events on financial markets and the potential for herding behavior among investors during times of heightened uncertainty. The study's results demonstrate the interconnectedness of global events and financial markets, highlighting the need for policymakers to consider the potential social and economic consequences of geopolitical events.</description><subject>Behavior</subject><subject>Central banks</subject><subject>COVID-19</subject><subject>Crude oil</subject><subject>Economic growth</subject><subject>Exports</subject><subject>Geopolitics</subject><subject>International finance</subject><subject>International trade</subject><subject>Investments</subject><subject>Investor behavior</subject><subject>Investors</subject><subject>Literature reviews</subject><subject>Macroeconomics</subject><subject>Organic chemicals</subject><subject>Pandemics</subject><subject>Policy making</subject><subject>Securities markets</subject><subject>Stock exchanges</subject><subject>Volatility</subject><issn>2068-7710</issn><issn>2068-7710</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2023</creationdate><recordtype>article</recordtype><sourceid>7UB</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNpNkF9LwzAUxYMoOOY-gS8BH9SH1uQ2TdIn0flng4mg23NImtRl03YmbcFvb9l88L6cyzmHe-GH0DklKWU5yW_aXXBV2lOWwhXI6xTYERoB4TIRgpLjf_spmsS4IcPknBYgR2j54C1-62L0-jLied3r6JsaNxVebYP2tRs825UOz1ywvv7A926te98E7Gvcrvex1zV-b5tyi1902Lr29gydVPozusmfjtHq6XE5nSWL1-f59G6RlFRyljhhuagKq5mkYCXNDADRGTe50BVjmWCE2spYaoyzzIBgBdeQlVqKwuSlzsbo4nB3F5rvzsVWbZou1MNLBQXknIMUbGhlh1YZmhgHVGoX_JcOP4oStSeo9gTVQFCBAqkUsOwXJjNktA</recordid><startdate>20231201</startdate><enddate>20231201</enddate><creator>KHAN, Tabassum</creator><creator>NATCHIMUTHU, Natchimuthu</creator><creator>TA, Krishna</creator><general>ASERS Ltd</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7UB</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BYOGL</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PYYUZ</scope><scope>Q9U</scope><orcidid>https://orcid.org/0000-0001-5564-5111</orcidid><orcidid>https://orcid.org/0000-0002-7852-7158</orcidid><orcidid>https://orcid.org/0000-0002-2461-7801</orcidid></search><sort><creationdate>20231201</creationdate><title>Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market?</title><author>KHAN, Tabassum ; 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An intensified Russia-Ukraine geopolitical event window was constructed, and the high-frequency trading data (intraday) of the Nifty index was analyzed using Multifractal Detrended Fluctuation Analysis (MFDFA) to compute the 5th-order Hurst exponent (Hq (5)) that detects herding behavior.
The study's empirical results revealed the presence of profound herding behavior during the intensified Russia-Ukraine geopolitical event window. The study contributes to the existing literature on herding behavior by examining the impact of a geopolitical event on the Indian stock market. Additionally, the study utilizes MFDFA to compute Hurst exponents, a relatively new approach to detecting herding behavior in financial markets.
The findings of this study may assist investors and policymakers in understanding the impact of geopolitical events on financial markets and the potential for herding behavior among investors during times of heightened uncertainty. The study's results demonstrate the interconnectedness of global events and financial markets, highlighting the need for policymakers to consider the potential social and economic consequences of geopolitical events.</abstract><cop>Craiova</cop><pub>ASERS Ltd</pub><doi>10.14505/tpref.v14.2(28).24</doi><tpages>15</tpages><orcidid>https://orcid.org/0000-0001-5564-5111</orcidid><orcidid>https://orcid.org/0000-0002-7852-7158</orcidid><orcidid>https://orcid.org/0000-0002-2461-7801</orcidid><oa>free_for_read</oa></addata></record> |
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| subjects | Behavior Central banks COVID-19 Crude oil Economic growth Exports Geopolitics International finance International trade Investments Investor behavior Investors Literature reviews Macroeconomics Organic chemicals Pandemics Policy making Securities markets Stock exchanges Volatility |
| title | Did Russia's Invasion of Ukraine Induce Herding Behavior in the Indian Stock Market? |
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