A case study for intercontinental comparison of herd behavior in global stock markets

Woojoo Lee, Yang Ho Choi, Changki Kim, Jae Youn Ahn

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2 Scopus citations


Measuring market fear is an important way of understanding fundamental economic phenomena related to financial crises. There have been several approaches to measure market fear or panic level in a financial market. Recently, herd behavior has gained its popularity as important economic phenomena explaining the fear in the financial market. In this paper, we investigate herd behavior in global stock markets with a focus on intercontinental comparison. While various risk measures are available for the detection of herd behavior in the market, we use the standardized herd behavior index in Dhaene et al. (Insurance: Mathematics and Economics, 50, 357-370, 2012b) and Lee and Ahn (Dependence Modeling, 5, 316-329, 2017) for the comparison of herd behaviors in global stock markets. A global stock market data from Morgan Stanley Capital International is used to study herd behavior especially during periods of financial crises.

Original languageEnglish
Pages (from-to)185-197
Number of pages13
JournalCommunications for Statistical Applications and Methods
Issue number2
StatePublished - 1 Mar 2018

Bibliographical note

Funding Information:
Woojoo Lee was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education (NRF-2016R1D1A1B03936100). This research was supported by a grant from the Asian Institute of Corporate Governance (AICG) at Korea University. Jae Youn Ahn was supported by a National Research Foundation of Korea (NRF) grant funded by the Korean Government (NRF-2017R1D1A1B03032318).

Publisher Copyright:
© 2018 The Korean Statistical Society, and Korean International Statistical Society.


  • Comonotonicity
  • Global stock market
  • Herd behavior


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