This study empirically examines herd behavior for fast moving consumer goods (FMCG) sector stocks under varied market return conditions and the period during the global financial crisis and its aftermath. We examine the sample of stocks trading on the Nifty FMCG Index of the Indian equity market from January 2008 up to December 2018 using the dispersion measure of cross sectional absolute deviation and examine its relationship with the market return to explore herd phenomenon. Quantile regression estimate is used and the results of the study validate rational asset pricing models as the sector does not display herding. In contrast, anti-herd behavior at lower and median quantile values is observed. A possible reason can be the non-cyclical nature of the industry where investors rely more on the fundamentals rather than crowd chasing. We also findthe absence of herd phenomenon during the market asymmetries of bull and bear phases, extreme movements, the period of the global financial crisis, and afterward. We further examine herding under the impact of the information technology (IT) industry and conclude that significant return movements in IT sector impact dispersions in the FMCG industry. Also, there is a co-varying risk between the two sectors confirming the spillover in an integrated market.

1. Introduction
2. Literature Review
    2.1. Herding in Financial Markets
    2.2. Studies on Herding at Sector Level
3. Significance of the Study
4. Research Objectives
5. Data and Methodology
    5.1. Data
    5.2. Methodology
6. Empirical Results and Discussion
7. Conclusion and Implications
References

• Ashish KUMAR(University School of Management Studies, Guru Gobind Singh Indraprastha University) Corresponding Author
• Bharti BHARTI(University School of Management Studies, Guru Gobind Singh Indraprastha University)