Is There a Herding Behavior in the Moroccan Financial Market? A Quantile Regression Approach

We try in this article to detect and measure the presence of the herding behavior in the Moroccan exchange market using a quantile regression method. The authors seek not only to detect herding on overall market conditions but also to analyze its presence on different states of the market. The data used in this study consists of daily closing prices of MASI as well as trading data of a sample of most actively traded companies in the Moroccan stock exchange market. The results of the study suggest the existence of a strong herding bias which gets more pronounced in times of financial stress. The results and conclusions drafted in this research paper could help understand the dynamics and mechanisms of herding in the local market of Morocco using a newly constructed model, hence enabling a more thorough analysis of herding under all market conditions.