Herding behavior in African stock markets: A state-space assessment during times of crisis

This study investigates the dynamics of herding behavior across 17 African stock markets from 2009 to 2022, encompassing major crises such as the European debt crisis, the Arab Spring, the Ebola outbreak, Brexit, COVID-19, and the Russia-Ukraine conflict. Employing state-space models, we find significant and persistent herding patterns across all markets. The timevarying herding dynamics reveal slightly negative, albeit statistically significant, herding during normal times. Contrary to conventional expectations, herding does not intensify during crises. Instead, investors tend to focus on fundamentals rather than following the crowd. These results provide novel insights into the behavior of African stock markets under stress.