The main purposes of this quantitative study were to examine the existence of herding behavior among investors in Amman stock exchange (ASE) at market and sector level in addition to testing the behavior during the market rising and falling and examining whether the behavior existence is different before and after the global financial crisis of 2008. The theoretical base of the study was the behavioral finance which assumes that investors are not completely rational and they may follow others when taking investment decisions. The main enquires of the study were about the existence of herding in the Jordanian market, whether it's affected by conditions of market rising and falling, and whether it's affected by the financial crisis. A quantitative design was employed to achieve the purposes of this study which covers the period 2000 - 2018. Data were obtained from ASE website and analyzed using ordinary least squares method. The results indicated that herding is absent in the Jordanian market if tested at market level while it exists in services and industrial sectors if tested at sectors level. The financial crisis did not affect the presence of herding at market level while it did affect the behavior in services and industrial sectors. Moreover, the results revealed that market condition of rising and falling affected herding at market level but not at sectors level. It is also concluded that the global financial crisis changed the presence of herding behavior during conditions of rising and falling in market and in each sector.
A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns which may lead to increase their profits and community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor.
One variable that affects stocks prices in the financial markets is herding behavior. As the level of herding is not constant over time, its level may be different during some events. Herding may increase during religious events like Ramadan in the Muslim world causing volatility to increase and leading to unexplained stock prices. The purpose of this study was to test the effect of Ramadan on herding presence at market and sector levels. The study was based on the behavioral finance theory which considers mood and behavior of investors as variables that may affect the prices of stocks. The enquiry that the researcher tried to answer was whether the presence of herding in the market and sectors is affected by Ramadan. To achieve the study purpose, a quantitative study was conducted using daily data from Amman stock exchange for the period from 2000 to 2018. Collected data were analyzed using ordinary least squares (OLS) method. The Results of market-level analysis showed that market investors do not herd during and out of Ramadan. At sector-level, however, herding is absent during Ramadan and exists out of it in services and industrial sectors while it's absent in both times in the financial sector.
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