Publication: The Relationship of Aggregate Herd Behavior and Retail Investor Attention: A Multinomial Logistic Regression
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Issued Date
2025-01-01
Resource Type
ISSN
26300931
eISSN
26510529
Scopus ID
2-s2.0-85216291093
Journal Title
Thailand and the World Economy
Volume
43
Issue
1
Start Page
155
End Page
163
Rights Holder(s)
SCOPUS
Bibliographic Citation
Thailand and the World Economy Vol.43 No.1 (2025) , 155-163
Suggested Citation
Wanidwaranan P., Padungsaksawasdi C., Wongkantarakorn J. The Relationship of Aggregate Herd Behavior and Retail Investor Attention: A Multinomial Logistic Regression. Thailand and the World Economy Vol.43 No.1 (2025) , 155-163. 163. Retrieved from: https://hdl.handle.net/20.500.14740/20181
Corresponding Author(s)
Other Contributor(s)
Abstract
This paper investigates the relationship between aggregate market herding and investor attention in seven selected equity markets over the period of 2004-2019. The multinomial logistic regression employed in this study provides a more direct, comprehensive, and straightforward test than other methodologies found in existing studies, as it demonstrates a true occurrence of herding. Investor attention is positively (negatively) related to (anti-)herd behavior, in which information obtained from internet searches is associated with rational and unintentional herding. Thus, internet search improves stock market efficiency. Nonetheless, the role of investor attention is weaker during negative market returns and global financial crisis periods because investors are less attentive to their psychological discomfort explained by the Ostrich effect. The results call for policymakers to gear to the digital economy.