HERDING BEHAVIOUR AND SIZE OF THE FIRMS: EVIDENCE FROM THE INDIAN STOCK MARKET

This paper examines the relationship between herding behaviour and firm size in Indian stock market using a sample of listed companies on National Stock Exchange of India during the 2003 – 2017. The study applied the methodology proposed by the Chang, Cheng and Khorana (2000), to examine the herding behaviour at asymmetric nature, i.e., rising and declining movements for daily and weekly data for different firm size i.e., small cap, mid cap and large-cap stocks. To capture the global financial crisis effect on herding behaviour the study time frequency divided into three phases, i.e., pre financial crisis during the financial crisis and post financial crisis and then examined the herding behaviour in Indian stock market. Also, the study applied the ADF statistics to check the unit root for the observations.