Does speculation in the oil market drive investor herding in emerging stock markets?

Balcılar, Mehmet; Demirer, Rıza; Ulussever, Talat

doi:10.1016/j.eneco.2017.04.031

Cited by 62 publications

(55 citation statements)

References 42 publications

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“…For example, Galariotis et al (2016) find no evidence of herding in the bond market during the EU crisis, and Yarovaya et al (2020) do not provide evidence of herding in cryptocurrency markets during the COVID-19 pandemic crisis. While, studies on stock markets commonly document that during financial crises herding is amplified (see Balcılar et al, 2017 , Clements et al, 2017 , Economou et al, 2018 ). Differently from historical previous business cycle recessions and financial crises, which were essentially driven by structural causes (e.g., the Global Financial Crisis of 2008–2009) ( Sharif et al, 2020 ), the ongoing financial crisis was driven by a sudden, sharp COVID-19 shock.…”

Section: Hypotheses Developmentmentioning

confidence: 99%

From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions

Kizys

Tzouvanas

Donadelli

2021

International Review of Financial Analysis

107

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Section: Hypotheses Developmentmentioning

confidence: 99%

From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions

Kizys

Tzouvanas

Donadelli

2021

International Review of Financial Analysis

107

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“…For the purpose of conducting tests of herding behaviour, many studies have examined if the stock market also shows herding behaviour around the crude oil market ([ 43 , 44 ] Balcilar et al, 2014, 2017 [ 45 ]; Ulussever and Demirer, 2017) [ 21 ]. BenMabrouk and Litimi (2018) examined all domestic US firms listed on NYSE, AMEX and NASDAQ, from 2000 to 2017, and concluded that US industries display significant herding behaviour for both upturn/downturn extreme oil market returns, although herding behaviour is more prevalent during extreme downturns in oil prices.…”

Section: Literature Reviewmentioning

confidence: 99%

Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*

Chang

McAleer

Wang

2020

Renewable and Sustainable Energy Reviews

139

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Environmental change created worldwide interest in investing in renewable energy. Less reliance on fossil fuels would have a substantial influence on investors for alternative energy, especially renewable energy. The literature has concentrated on empirical studies of herding behaviour in finance, but not in renewable energy. This paper fills the gap by investigating herding in renewable energy, using daily closing prices in renewable and fossil fuel energy stock returns in the USA, Europe, and Asia, for March 24, 2000–May 29, 2020, which covers the Global Financial Crisis (GFC) (2007–2009), the coronavirus crises of SARS (2003). And the ongoing COVID-19 (2019–2020) pandemic. The paper shows that: (1) for low extreme oil returns, investors are more likely to display herding in the stock market; (2) for SARS and COVID-19, herding is more likely during extremely high oil returns after the GFC; and (3) herding is more likely during periods of extremely low oil returns during the coronavirus crises. These results suggest that after the GFC, investors are more sensitive to asset losses, so they will be more likely to display herding in the stock market. However, during SARS and COVID-19, investors panic so they may unwisely sell their assets. There are strong cross-sector herding spillover effects from US fossil fuel energy to renewable energy, especially before the GFC, while the US fossil fuel energy market has a significant influence on the Europe and Asia renewable energy returns during COVID-19. During SARS, which was not a pandemic, US fossil fuels only had an impact on US renewable energy returns.

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“…The methodology to detect herding follows number of studies including Chang et al (2000), Tan et al (2008), Demirer et al (2010Demirer et al ( , 2014, Chiang and Zheng (2010), Economou et al (2011), Balcilar et al (2013Balcilar et al ( , 2014Balcilar et al ( , 2017, Babalos et al (2013Babalos et al ( , 2015 and Balcilar and Demirer (2015), among others. Originally, developed by Christie and Huang (1995) and later improved by Chang et al (2000), the test employs return data across securities of similar characteristics.…”

Section: Methodsmentioning

confidence: 99%

“…We calculate daily returns for stocks (in domestic currency) as the first difference of the natural logarithm of the stock price. Oil returns are calculated using the Brent crude oil price as this type of oil represents the global benchmark (Balcilar et al, 2017). In addition to the tests over the whole sample period, we also perform a sub-period analysis following the break dates based on Bai and Perron (2003) structural break tests.…”

Section: Datamentioning

confidence: 99%

Oil speculation and herding behavior in emerging stock markets

et al. 2018

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This paper explores the relationship between stock and commodity markets from a novel perspective by examining the relationship between speculation in the oil market and investor herding in stock markets. Using firm level data from three energy importing and exporting nations, namely Russia, Brazil, and Turkey, we show that these markets often switch between herding and anti-herding states, while herding is more prevalent in the case of Russia. We also find that speculative activities in the global oil market significantly affect investors behavior in Russia and Brazil with greater oil speculation associated with herding in these markets. Our findings suggest that policy makers should watch measures of speculative activities in the commodity markets for possible signals in order to model and monitor investor behavior in their local markets.

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Does speculation in the oil market drive investor herding in emerging stock markets?

Cited by 62 publications

References 42 publications

From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions

From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions

Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19*

Oil speculation and herding behavior in emerging stock markets

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