This study investigates the extent to which herding towards the market consensus for
Russian stocks is driven by fundamental and non-fundamental factors. We find evidence
that investors on the Moscow Exchange herd without any reference to fundamentals during
unanticipated financial crises coupled with high uncertainty, in falling markets,
and during days with extreme upward oil price movements. In contrast, in periods of
high liquidity and on days of international sanction announcements during the Ukrainian
crisis, herding behaviour is merely driven by fundamentals. In Russia, macroeconomic
news releases induce both information-related herding and herding without any reference
to fundamentals. These results suggest that motives of investors' herding behaviour
vary under specific market conditions such as market trends, liquidity, uncertainty,
arrival of new information, and oil price volatility.
