HomeAbstract of 11th-icmefInvestor Herding in BRICS Equity Markets: Harmonized Evidence from CSAD/CSSD, Market States, and Robustness Tests

Investor Herding in BRICS Equity Markets: Harmonized Evidence from CSAD/CSSD, Market States, and Robustness Tests

  • Jul 1, 2026
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Abstract Book of the 11th International Conference on Management, Economics and Finance

Year: 2026

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Investor Herding in BRICS Equity Markets: Harmonized Evidence from CSAD/CSSD, Market States, and Robustness Tests

Dr. Jahanzaib Alvi

ABSTRACT:

Investor herding in equity markets remains a central issue in behavioral finance, particularly in large emerging economies where informational frictions, market sentiment, and institutional heterogeneity may amplify collective trading behavior. This study investigates the existence and conditions of investor herding in BRICS equity markets Brazil, Russia, India, China, and South Africa using extensive panels of listed firms and benchmark index returns. Herding is examined through cross-sectional return dispersion measures within the CSAD and CSSD frameworks augmented by dynamic, asymmetric, tail-event, volatility-regime, rolling-window, and robustness specifications. The empirical results do not support the presence of persistent and unconditional herding as a generalized BRICS-wide phenomenon. In most full-sample estimations, return dispersion increases during periods of large market movements, indicating heterogeneous beliefs, uneven information assimilation, and segmented investor responses rather than coordinated imitation. However, the evidence becomes more nuanced once market conditions and alternative diagnostics are incorporated. China exhibits the most consistent signs of state-dependent herding, particularly during declining market phases and across a notable proportion of rolling-window estimations. In addition, factor-adjusted and quantile-based analyses identify conditional herding signals in Russia. The study therefore contributes not by proposing a novel herding mechanism, but by offering a harmonized cross-country BRICS comparison showing that herding is episodic, context-dependent, and specification-sensitive, rather than a stable feature of all five markets. These findings establish a more rigorous benchmark for future research on the transmission, drivers, and market implications of herding in major emerging economies.

Keywords: Herding; BRICS; Cross-sectional dispersion; Market states; Behavioral finance