Herding during different types of crises: The COVID-19 health crisis and Russia-Ukraine political crisis

We analysed herding behaviour in the recent pandemic and conflict. We employed the crosssectional dispersion of daily stock returns to estimate herding's intensity in the Saudi stock market. We conducted all analyses for the entire sample and four sub-samples. Additionally, we investigate the existence of the asymmetry in the investors' responses; whether there are differences between up and down markets and between high-volatility and low-volatility days. We found that herding did not occur in the pre-COVID-19, occurred in the during-COVID-19, disappeared in the post-COVID-19 and did not occur during the Russia-Ukraine conflict. Robustness checks confirm our finding that herding manifested in the during-COVID-19 period. Additionally, no difference exists between bearish and bullish or high-and low-volatility days, pushing aside the asymmetry in the investors' responses. This study may raise investors' awareness of their cognitive bias's influence on their decisions, improving market efficiency by increasing the rationality of investors' decisions.