We apply Return Dispersion Model by calculating CSAD (Cross-sectional standard deviation of return) and State Space Model to identify herding behavior in the period of pandemic (H1N1 and COVID-19). Employing data from TEJ and Data Stream, this paper examines whether the herding behavior is existing in Vietnam and Taiwan stock market, especially during pandemic influenza. We compare the differences in herding behavior between frontier and emerging markets by examining different industries across Vietnam and Taiwan stock market approaches. The results indicate solid evidence for investor herd configuration in the various industries of Vietnam and Taiwan. The herding impact in the industries will be greater than with the aggregate market. The different industries respond differently to influenza pandemic panics through uptrend and downtrend demonstrations. Up to 12 industries were found to have herding in Vietnam, while Taiwan had only 5 of 17 industries classified. Taiwan market, an emerging and herding-level market, has changed due to the impact of changing conditions such as epidemics, but not as strongly as in Vietnam. From there, we see that the disease is a factor that, not only creates anxiety from a health perspective, but also causes psychological instability for investors when investing in the market.

Abstract
1. Introduction
2. Literature Review
    2.1. Herding Behavior
    2.2. Historical Global Pandemic Influenza Review
3. Research Methodology
    3.1. Data
    3.2. Methodology
4. Empirical Results
    4.1. Return Dispersion Model Results
    4.2. State Space Model
5. Conclusions and Discussions
References

• Quang Thu LUU(Banking University of Ho Chi Minh City)
• Hien Thi Thu LUONG(Banking University of Ho Chi Minh City) Corresponding Author