Table 6 Herding behavior—GARCH

Constant

0.013^a (0.000)

0.015^a (0.000)

0.012^a (0.000)

0.013^a (0.000)

0.016^a (0.000)

0.012^a (0.000)

0.016^a (0.000)

0.012^a (0.000)

0.012^a (0.000)

0.015^a (0.000)

0.012^a (0.000)

0.012^a (0.000)

\(\left| {R_{m,t} } \right|\)

0.561^a (0.000)

0.427^a (0.000)

0.633^a (0.000)

0.565^a (0.000)

0.129^a (0.005)

0.643^a (0.000)

0.418^a (0.000)

0.650^a (0.000)

0.661^a (0.000)

0.438^a (0.000)

0.648^a (0.000)

0.637^a (0.000)

\(R_{m,t}^{2}\)

−2.505^a (0.000)

−0.983^a (0.000)

−3.202^a (0.000)

−2.442^a (0.000)

−0.148 (0.625)

−3.332^a (0.000)

−0.823^a (0.000)

−3.354^a (0.000)

−3.472^a (0.000)

−1.014^a (0.000)

−3.375^a (0.000)

−3.333^a (0.000)

\(R_{m,t}^{2} * Bubble_{t}\)

1.355^a (0.000)

0.572^c (0.063)

1.784^a (0.000)

1.104^a (0.000)

8.256^a (0.000)

1.799^a (0.000)

−1.664 (0.658)

1.894^a (0.003)

1.991 (0.760)

0.475 (0.564)

1.924^b (0.039)

1.904^a (0.000)

ARCH (1,1)

2.244^a (0.000)

2.309^a (0.000)

2.241^a (0.000)

2.206^a (0.000)

0.113^a (0.000)

2.205^a (0.000)

2.250^a (0.000)

2.156^a (0.000)

2.185^a (0.000)

2.197^a (0.000)

2.212^a (0.000)

2.240^a (0.000)

GARCH (1,1)

0.015 (0.505)

0.016 (0.465)

0.047^c (0.076)

0.025 (0.340)

0.941^a (0.000)

0.017 (0.513)

0.013 (0.511)

0.019 (0.486)

0.024 (0.406)

0.015 (0.494)

0.023 (0.437)

0.014 (0.573)

Wald

366.29^a (0.000)

448.39^a (0.000)

323.4^a (0.000)

343.9^a (0.000)

604.6^a (0.000)

323.9^a (0.000)

485.7^a (0.000)

299.6^a (0.000)

298.5^a (0.000)

435.5^a (0.000)

309.8^a (0.000)

329.6^a (0.000)