Herding Behavior in the S&P 500: A Comprehensive Analysis from 2019 to 2022

This paper analyzes the existence of herding behavior in the Standard and Poor’s 500 (S&P 500) index. We utilize the Cross-Sectional Absolute Deviation (CSAD) model and linear regressions to identify herding on a monthly and yearly basis as well as during the entire time frame of January 1, 2019 to December 30, 2022, the time period of our study. This timeframe holds particular significance as it includes the COVID-19 pandemic, the following bull market, and the rapid rise in inflation and interest rates towards the end of the study period. By analyzing these significant events, we aim to understand if and how these events triggered herding behavior in the U.S. stock market. Our findings indicate that on a monthly basis, herding existed in 5 of the 48 months, on a yearly basis, herding existed in 2020 only, and for the entire time frame, herding was not significant enough to be detected.