International herding: Does it differ across sectors?

► We analyse the existence of herding on the global equity market. ► The patterns in cross-country index return are used to detect investor irrationality. ► There is no evidence of world-wide information cascades in national index returns. ► Herding, overconfidence or excess flight to quality are evident in some sectors. ► Global irrationality declines over time, and was lower during the recent crisis.