Herding behavior in the commodity markets of the Asia-Pacific region

Most academic literature on herding in the commodity markets considers developed economies. In this paper, we extend the literature by focusing on the commodity markets of major economies in the Asia-Pacific region (China, India, Indonesia, Japan, Malaysia, Singapore, Taiwan, and Thailand). Using static and dynamic models, we show that herding is heterogenous across the Asian economies and differs under various market and liquidity conditions. There is evidence of up/down market herding asymmetry. Herding is more pronounced during high volatility periods. Notably, herding varies with time and seems to be affected by volatility.

Automated summary

This paper expands the existing literature on herding behavior in commodity markets by focusing on major economies in the Asia-Pacific region. The study shows that herding behavior is heterogeneous across Asian economies and varies under different market and liquidity conditions. There is evidence of up/down market herding asymmetry, with herding being more pronounced during periods of high volatility. Notably, herding behavior varies with time and appears to be influenced by volatility.