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Edgars Rihards Indārs

is an Account Manager in the Corporate Client department in SEB bank Latvia. He holds a Diploma of Bachelor of Social Sciences in Economics (2017). In fall of 2016, he was a visiting bachelor student at Pompeu Fabra University under four-month Erasmus program. His research interests are essentially focused on impact of behavioral finance on securities markets.

Ágnes Lublóy

is an Associate Professor in the Department of Finance and Accounting at Stockholm School of Economics in Riga. Ágnes holds a Master of Science in Finance and a Ph.D in Business Administration, both from Corvinus University of Budapest. She wrote her Ph.D dissertation on the systemic risk implications of the Hungarian interbank market. From 2005 to 2007, she was a Junior Fellow and later a Research Fellow with the Institute for Advanced Study at Collegium Budapest. Between 2004 and 2007, Ágnes worked on three distinct research projects related to financial networks at Magyar Nemzeti Bank, the central bank of Hungary. After receiving a two-year post-doctoral fellowship from AXA Research Fund in 2011, Ágnes turned her research focus to health economics (patient-sharing networks in healthcare).
finance.uni-corvinus.hu/agnes_lubloy
www.sseriga.edu/en/contacts/staff-directory/lubloy-agnes.html

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Edgars Rihards Indārs, Ágnes Lublóy, and Alexei Savin: Herding Behaviour in an emerging market: Evidence from Moscow Exchange

The authors examine herding towards the market– a type of investor behaviour, which leads investors to mimic each other’s actions and results in lower-than-efficient dispersion of asset returns. This paper focuses on establishing whether herding exists in Russian stock market. Moreover, the authors examine liquidity, oil price, calendar effects and information environment as factors potentially associated with its emergence. Contrary to most of the studies in the field, the authors differentiate between rational and irrational forms of herding, and empirically show the importance of this distinction.
 To study herding phenomenon in the context of Moscow Exchange, the authors examine the relationship between market returns and dispersion of individual asset returns for the period of April 4, 2008 – December 30, 2015. The authors find evidence of regular herding in Moscow Exchange, especially during the days with negative market returns, extreme upward oil price movements and periods of turmoil, e.g. annexation of Crimea in 2014. The authors also find significant evidence of spurious herding during the days of important macroeconomic news releases, sanctions announcements and high-liquidity days. The results presented in the paper shall be of particular interest for investors in stocks traded on Moscow Exchange and relevant regulatory institutions.

Last modified: 2018.11.30.