Herding Behaviour in the Indian Equity Market: Evidence from the NSE Chemical Sector

DOI

10.2991/978-94-6239-795-8_8How to use a DOI?

Keywords

Herding; CSAD; quantile regression; behavioural finance; chemical sector

Abstract

This study examines herding behaviour among NSE-listed chemical sector companies by using daily closing prices from 1 April 2015 to 31 March 2025. It is based on three models i.e., the traditional CSAD model, the extended Chiang and Zheng model, and a modified CSAD approach. Quantile regression is used to capture how investor behaviour changes across different market states. Further, a rolling-window extension tracks how it varies over time. The result shows the herding in the chemical sector occurs mainly at the lower quantiles of overall, bearish and extreme bearish market periods. However, the return dispersion increases during bullish, extreme bullish or normal phases. The rolling-window estimates show that this behaviour is mainly concentrates in the COVID-19 crisis and the 2022 commodity shock. It is largely absent during the 2016-2018 Supercycle and the post-2023 stabilisation. This study adds value in the field of behavioural finance. Herding in the chemical sector is episodic, asymmetric, and conditioned by the macroeconomic environment rather than continuously present. The study can be further extended by incorporating intraday data, market sentiment and the difference between institutional and retail investors.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Samapti Chatterjee
PY  - 2026
DA  - 2026/10/08
TI  - Herding Behaviour in the Indian Equity Market: Evidence from the NSE Chemical Sector
BT  - Proceedings of the International Conference on Advancing Economics (ICAE): Redefining Growth: Integrating Economy Society and Sustainability for a Resilient Future (ICAE 2026)
PB  - Atlantis Press
SP  - 118
EP  - 138
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-795-8_8
DO  - 10.2991/978-94-6239-795-8_8
ID  - Chatterjee2026
ER  -