Investor herds and regime-switching: Evidence from Gulf Arab stock markets

► Three market regimes (low, high and extreme or crash volatility) are detected in the frontier Gulf Cooperation Council stock markets. ► Herding behavior is present in all six GCC markets under the crash and high volatility market regimes. ► The regime transmission order follows the sequence “Low, Crash and High (LCH)” which is different from the LHC order documented for advanced stock markets. ► The findings of the cross-herding model also demonstrate herding comovements and not spillovers and are also robust to the cross-GCC volatility shocks.