Herding in Imperial Russia: Evidence from the St. Petersburg Stock Exchange (1865-1914)

Abstract

We present seminal empirical evidence on market-wide herding from historical markets drawing on a unique database for the St. Petersburg stock exchange for the 1865 – 1914 period. Our findings indicate the presence of herding in Imperial Russia’s largest equity market, which tends to vary among industries and grow stronger during months of negative performance and declining volatility. Controlling for the 1893-reform that prompted wider social participation in equity trading, we find that herding surfaces exclusively in the post-reform years, with no evidence of herding arising pre-reform. Our results confirm extant narrative evidence on the presence of herd behaviour in pre-20th century markets and showcase that the behaviour of investors in historical stock exchanges exhibits patterns similar to those of modern-day ones.