Handbook of Frontier Markets

Chapter 10

Are There Herding Patterns in the European Frontier Markets?

N. Blasco^*

P. Corredor^**

S. Ferreruela^**    University of Zaragoza, Zaragoza, Spain^**    Public University of Navarre, Pamplona, Spain

Abstract

This chapter attempts to determine whether there was herding behavior in the nine frontier markets included in the MSCI EFM Central and East Europe and CIS Index during the period 2011–14. Although the characteristics of these markets could suggest a strong mimetic behavior, the results do not seem to confirm this. On the one hand, using different methodologies, we find clear evidence of herding (at an individual market level) only within the Estonian market, although some other markets also show evidence of herd behavior in some extreme ...