Abstract
This paper uses the daily stock returns from January 2010 to September 2015 to
investigate the presence of herding behavior and its dynamics on the South African
financial sector. The paper makes use of the median as an alternative proxy to the
mean in estimating market average returns. We found evidence in support of herding
behaviour in the general financials and the real estate sectors of the Johannesburg
Stock Exchange (JSE) during normal market period. Investors in the banking and
the insurance sectors were found to show rational investment decisions during
all market periods.