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

Home Page
About
Submit A Journal
Submit A Conference
Submit Paper/Book
- Submit a Preprint
- Submit a Book
Contact

Sosyoekonomi
Volume:24 Issue:27
Sentimental Herding: The Role of Regional and Global Shocks in Egyptian and Saudi Stock Markets

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

Pages : 2-9

View : 32 | Download : 6

Publication Date : 2016-01-22

Article Type : Research Paper

Abstract :In this study, the existence of market-wide herding for Egypt and Saudi stock markets is investigated using state-space methodology developed by Hwang and Salmon insert ignore into journalissuearticles values(2004);. The objective is not just to provide evidence for herding, but also evaluate the effect of regional and global shocks on herding behavior for these markets. Results show that herding exists only in Egypt. Moreover, for herd parameter in Egypt, mortgage crisis and Egyptian military takeover are the only significant factors. As expected, these factors cause fading effect on herd parameter, strengthening adverse herding. Contrary to expected, oil return or oil return volatility has no impact on herd parameter.
Keywords :

ORIGINAL ARTICLE URL

* There may have been changes in the journal, article,conference, book, preprint etc. informations. Therefore, it would be appropriate to follow the information on the official page of the source. The information here is shared for informational purposes. IAD is not responsible for incorrect or missing information.