LAUSR

ABSTRACT This paper aims to examine the existence of herding behavior in the Moroccan Stock Exchange for the period 2007–2017. Thus, we analyze the existence of herding behavior in the overall market and in each one of the four portfolios created according to firms’ capitalizations. We also estimate the impact of liquidity, volatility and asymmetric market states on herding behavior. Results obtained show the existence of herding behavior in the overall market and in all size-based portfolios. Also, results show a positive impact of liquidity and volatility on investors’ herding behavior for the four portfolios and for the overall market.