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Herding and the Thin Trading Bias in a Start-Up Market: Evidence from Vietnam

Research in behavioural finance has denoted the significant presence of herd behaviour in emerging capital markets. However, although the latter are typified by substantial levels of thin trading, its impact over the measurement of herding has been the subject of very little attention. We address this issue in the context of the Vietnamese market and our results indicate that correcting for thin trading leads to the depression of the herd's significance. Our findings are suggestive of thin trading introducing a bias over herding estimations which we interpret through existing literature evidence related to the illiquid structures of emerging markets.