The evolution of financial markets is influenced by the speculative bubbles and by the occurance of financial crisis. The speculative bubbles are formed on the markets when take place an unsustainable growth in the price of a financial asset, which leads to a high level of instability and to the rise of financial crashes. One of the cause of speculative bubbles is the herding behavior of investors characterized by trading in the same direction on the market, the same stocks, in the same period of time, or when they ignore the private information and trades similar with other investors, which may lead to incorrect trading decision. The aim of this paper is to test the existence of herding behavior on the Romanian stock market and the impact of the subprime financial crisis on the behavior of investors. We have analyzed the Romanian stock market on sector level by using firm level data. The statistical methodology used in this paper was proposed by Chang et al. (2000) and uses the cross sectional absolute deviation of returns (CSAD) as a measure of return dispersion.The results indicate the existence of herding behavior of investors in various sectors, both for upper and lower markets. We also conclude that during the subprime crisis, is no evidence of herding, due to the fact that the impact of the crisis was transmitted globally.