Momentum Profits and Herding Behaviour in Emerging Asian Equity Markets and Real Estate Investment Trusts

Abstract

This study examines momentum profits and herding behaviour in emerging Asian markets for equities and real estate investment trusts (REITs) from 1990 to 2020. Herding behaviour was measured and examined via cross-sectional absolute deviation (CSAD) and quantile regression (QR). Market states were found to influence momentum with consistent market trends. Herding is prevalent in most markets except Malaysia. The findings support behavioural theories and challenge the weak efficient market hypothesis (EMH) in emerging Asian markets.