  Herd behavior is an important economic phenomenon, especially in the context
of the recent financial crises. In this paper, herd behavior in global stock
markets is investigated with a focus on intercontinental comparison. Since most
existing herd behavior indices do not provide a comparative method, we propose
a new herd behavior index and demonstrate its desirable properties through
simple theoretical models. As for empirical analysis, we use global stock
market data from Morgan Stanley Capital International to study herd behavior
especially during periods of financial crises in detail.
