Testing for herding in the Athens Stock Exchange during the crisis period

•We examine herd behavior in the Athens Stock Exchange during the recent crisis.•There is evidence of herding under different market states.•There is herding in the high quantiles of the cross sectional return dispersion.•We document the impact of size effect on herding estimations.

This paper investigates herding behavior in the Athens Stock Exchange focusing on the recent crisis period. We employ a survivor bias free dataset of all listed stocks from 2007 to May 2015. We apply the cross sectional dispersion approach and provide results that extend and are comparable with previous studies regarding the Greek stock market. The empirical results indicate the presence of herding under different market states. Employing the quantile regression method, there is herding in the high quantiles of the cross sectional return dispersion. Finally, we document the impact of size effect on herding estimations.