Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market

Financial Innovation

Table 5 Herding behavior during high and low market volataity

Volatility	Constant	\|R_m,t\|	[R_m,t]²	Adj. R²	F-Statistic
High Volatility (Eq. 9)	0.0156 (55.73)^***	0.5504 (11.72)^***	−1.6275 (− 1.215)	0.4089	(409.9)^***
Low Volatility (Eq. 10)	0.0144 (63.75)^***	0.6116 (12.97)^***	−1.771 (− 1.010)	0.3215	(499.1)^***

***means that variable is significant at 1% level of significance. () contains the t-statistics