We investigate herding in eight African frontier stock markets between January 2002 and
July 2015, given the limited evidence on herding in frontier markets. Herding appears
significant throughout the 2002–2015 period for all markets, with smaller stocks found to
enhance its magnitude. Herding entails no clear asymmetries conditional on market
performance; conversely, it appears notably asymmetric when conditioned on market
volatility, as it is significant (or stronger) mainly during low volatility days, without this pattern …