Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises is a short-lived phenomenon. Herding was highest during global financial crisis (only China affected). There no European debt COVID. With regard relationship between volatility CSAD (cross sectional absolute deviation)/herding, lower (movement in specific direction) brings about less volatility. However, high amplifies (reduces CSAD), especially China. Russia South Africa are unresponsive levels (low/high) herding. also observe heterogeneity. Different measures have different effects on markets. limited evidence suggest that (based principal component) Granger causes herding/CSAD. period market variant unrelated crises. The index has short-lived, effect CSAD/herding (during COVID only) for all countries except In addition, causality analysis indicates two-way CSAD/herding,