This study investigates sectoral and market-wide herding behaviour in Bursa Malaysia by examining the influence of market returns, realized investor sentiment, market liquidity and analyst recommendations. Using high-frequency intraday data from 239 listed firms spanning January 2020 to January 2024, herding is measured through the cross-sectional absolute deviation (CSAD) method. Fixed-effects panel regressions and quantile regressions are employed to capture both average and distributional effects, with Prais–Winsten corrections addressing heteroskedasticity and serial correlation. The results reveal that market-wide herding intensifies during downturns and in periods of heightened volatility and sentiment. Liquidity emerges as a key amplifier of herding, particularly in stressed market states, while analyst recommendation dispersion shows limited moderating impact. Sectoral analysis uncovers significant heterogeneity: herding is most pronounced in financials, consumer staples and technology, while healthcare and real estate demonstrate more dispersed, fundamentals-based trading. These findings underscore the asymmetric and conditional nature of herding behaviour across sectors and market regimes. By integrating sentiment, liquidity and informational variables within a unified framework, this study contributes to behavioural finance literature and offers policy-relevant insights for managing investor overreaction and systemic vulnerabilities in an emerging market context.
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