Herd Behavior and Firm-Specific Information
Thailand exhibits clear signs of aggregate herd behavior in its equity market, particularly during times of financial turbulence and negative market returns. The study finds that firm-specific information—measured through return residual, return skewness, and information discreteness—plays a pivotal role in shaping such behavior. Among the four metrics examined, return residual, which captures noise trading, exerts the strongest influence across all scenarios. Intentional herding is largely driven by low corporate transparency, heightened noise trading, significant asymmetric risk, and poor liquidity, while unintentional herding is linked to more transparent and informed trading environments. These findings underscore the importance of firm-level dynamics in understanding market behavior in emerging economies like Thailand, where retail investors dominate and market volatility is high.