Sentimental Herding: The Role of Regional and Global Shocks in Egyptian and Saudi Stock Markets

Güvercin, Ali

doi:10.17233/se.53541

Cited by 6 publications

(5 citation statements)

References 13 publications

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“…The Markov Switching model of Balcilar et al (2013) shows that herding is more pronounced during periods of excess volatility states in the Gulf Cooperation Council (GCC) countries. Finally, Güvercin (2016) finds that there was significant herding in the Egyptian stock market during the period of the Egyptian military takeover of the country by the Army in 2013.…”

Section: Literature Reviewmentioning

confidence: 99%

OPECmeetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

et al. 2020

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We investigate the influence of oil market volatility and hand‐picked OPEC meetings data on herding tendency in the Saudi equity market. Our results show the presence of significant herding behaviour in the Saudi market; surprisingly this herding behaviour is independent of oil market volatility. Importantly, we find herding on and around the OPEC meeting days however this is only limited to a period of high global uncertainty that is, during the Global Financial Crisis period (GFC) of 2008–2010. However, when we filter out factor‐based herding in the Saudi equities, we also find persistent herding in the post GFC period. These results are consistent when we assess the impact of OPEC meetings using event windows of one to 5 days before and after the announcement. In consideration of the crucial role of OPEC in determining the oil prices, we explain our results of Saudi market herding on and around OPEC meeting days for the prior announcement ambiguity and corrections before, on and after the announcements on global supply. Our results show that this tendency has originated during the GFC, has persisted in the post‐GFC in the Saudi equities and surprisingly, is largely found absent in the periods when the Saudi equity market witnessed bullish market conditions. Our results are robust after accounting for common factor return variations in equity returns, the unconditional and conditional estimates of the volatility in oil prices and several event windows around OPEC meeting days.

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Section: Literature Reviewmentioning

confidence: 99%

OPECmeetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

et al. 2020

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“…CSAD measure of herding was utilized in many studies including Cakan and Balagyozyan (2014); Demirer, Kutan, and Zhang (2014); Mobarek, Mollah, and Keasey (2014); Gavriilidis, Kallinterakis, and Tsalavoutas (2016); Filip, Pochea, and Pece (2015); Demirer and Zhang (2018); and Akinsomi, Coskun, and Gupta (2018). Moreover, many researchers used the measure of Hwang and Salmon (Güvercı̇n, 2016;Krokida, Spyrou, & Tsouknidis, 2017;Lin, (2017); Teng, 2018). The measures of the second group, Lakonishoket al (1992) and Sias (2004), were also used in many studies to measure herding behavior (Boyd, Buyuksahin, Haigh, & Harris, 2016;Cai, Han, Li, & Li, 2019;Choi, 2016;Fang, Lu, Yau, & Lee, 2017;Popescu & Xu, 2018).…”

Section: Measures Of Herding Behaviormentioning

confidence: 99%

Remeasuring Sectoral Herding in the Financial Markets

Elshqirat¹

2020

IBR

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Herding behavior was concluded to exist in some sectors and under some market conditions in the Jordanian stock market when measured using the cross-sectional absolute deviation. The purpose of this study was to retest the existence of the sectoral herding using the cross-sectional dispersion of betas and compare the results with those reached using the measure of the cross-sectional absolute deviation. Behavioral finance theory represents the main base on which this study was built. In this study, the researcher tried to answer questions related to whether herding behavior exists in the Jordanian market and its sectors if measured using cross-sectional dispersion of betas and whether results will be different from those reached using other measures. In this quantitative study, data from Amman stock exchange were used and the period covered was from 2000 to 2018. These data were used to calculate the cross-sectional dispersion of betas which was tested using t-test, Kruskal–Wallis test, Mann-Whitney U test, and Wilcoxon Signed-Rank test. Results indicated that herding behavior existed in market and in each sector at the same level which was not affected by the financial crisis. Furthermore, the study revealed that herding level was the same when the market (sector) was rising and when it was falling and this similarity has not been changed by the occurrence of the global financial crisis. Finally, results indicated that herding was at its lowest level in the entire market and in the industrial sector during the time of financial crisis. These results are different from those of the study conducted in Jordan using cross-sectional absolute deviation which implies that using different herding measures yields different results.

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“…The study also considered herd behaviour as an additional risk factor. Güverciṅ (2016) investigated the presence of herd behaviour at both the Egyptian and Saudi stock markets. The study also aimed to assess the impact of regional and global shocks (such as the mortgage crisis, the political volatility that occurred on July 3, 2013, oil price fluctuations and the civil war) on herd behaviour at these markets.…”

Section: Empirical Literaturementioning

confidence: 99%

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

Abd-Alla¹,

Sobh²

2020

FAI

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We test the impact of herding behaviour on the risk pricing in the Egyptian Stock Exchange (EGX) by adding an additional risk factor reflecting herding behaviour to the Fama and French three-factor model. We construct a portfolio to mimic an additional risk factor related to herding behaviour, in addition to the original risk factors in the Fama and French three-factor model. The three-factor model will be tested in its original form and re-tested after adding the herding behaviour factor. The study is based on Hwang and Salmon methodology, in which the state space approach based on Kaman’s filter was used to measure herding behaviour. We used monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. The results do not support Fama and French model before and after adding the herding behaviour factor, therefore, there is no effect of herding behaviour on the risk pricing in the Egyptian Stock Exchange.

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Sentimental Herding: The Role of Regional and Global Shocks in Egyptian and Saudi Stock Markets

Cited by 6 publications

References 13 publications

OPECmeetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

OPECmeetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

Remeasuring Sectoral Herding in the Financial Markets

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

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