• Đoàn Anh Tuấn Faculty of Economics and Business Administration, Dalat University, Viet Nam
  • Hoàng Mai Phương Faculty of Economics and Business Administration, Dalat University, Viet Nam




Asymmetry, Herding behavior, Stock return dispersion, Vietnamese Stock market


Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015. We find that herding behavior is present in both Ho Chi Minh and Hanoi Stock Exchanges. Importantly, the results show an asymmetry in level of herding behavior in which the herding effect appears to be stronger during falling markets than during rising markets. The study also highlights important policy implications that can help to reduce investors’ complicated nonlinear reactions in the Vietnamese Stock market.


Download data is not yet available.


Banerjee, A. V. (1992). A simple-model of herd behavior. Quarterly Journal of Economics, 107(3), 797-817.

Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100, 992-1026.

Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24, 1651-1679.

Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 51, 31-37.

Clement, M. B., & Tse, S. Y. (2005). Financial analyst characteristics and herding behavior in forecasting. Journal of Finance, 60, 307-341.

Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40, 603-615.

Đoàn, A. T. (2010). Nâng cao tính hiệu quả của Thị trường chứng khoán Việt Nam. Tạp chí Kinh tế & Dự báo, 16, 17-19.

Gleason, C. A., & Lee, C. M. C. (2003). Analyst forecast revisions and market price discovery. The Accounting Review, 78, 193-225.

Hồ, Q. T. (2007). Tài chính hành vi: Nghiên cứu ứng dụng tâm lý học vào tài chính. Tạp chí Kinh tế Phát triển, 3, 27-30.

Hong, H., Kubik, J. D., & Solomon, A. (2000). Security analysts' career concerns and herding of earnings forecasts. Rand Journal of Economics, 31, 121-144.

Kallinterakis, V. (2007). Herding and the thin trading bias in a start-up market: Evidence from Vietnam. Working paper. Retrieved from https://papers.ssrn.com/sol3/ papers.cfm?abstract_id=1105976

Kim, O., & Verrecchia, R. E. (1997). Pre-announcement and event-period private information. Journal of Accounting & Economics, 24(3), 395-419.

Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32, 23-44.

Lê, Đ. C. (2007). Tài chính hành vi và những bất thường của Thị trường chứng khoán Việt Nam. Tạp chí Phát triển Kinh tế, 201, 6-9.

My, T. N., & Truong, H. H. (2011). Herding behaviour in an emerging stock market: Empirical evidence from Vietnam. Research Journal of Business Management, 5(2), 51-76.

Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. American Economic Review, 80, 465-479.

Trần, T. H. L. (2010). Hành vi bầy đàn trên Thị trường chứng khoán Việt Nam, một số nguyên nhân và giải pháp. Tạp chí Tài chính & Phát triển, 5, 18-25.

Trueman, B. (1994). Analyst forecasts and herding behavior. Review of Financial Studies, 7, 97-124.

Wermers, R. (1999). Mutual fund herding and the impact on stock prices. Journal of Finance, 54, 581-622.



Volume and Issues


Economics and Management

How to Cite

Tuấn, Đoàn A., & Phương, H. M. (2017). EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET. Dalat University Journal of Science, 7(1), 96-108. https://doi.org/10.37569/DalatUniversity.7.1.152(2017)