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Dergiler / Sosyoekonomi / 2016 / Cilt: 24 - Sayı: 27

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

Ali GÜVERCİN
Sayfa
2–9
Yayın Tarihi
2016-01-22
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Contrary to expected, oil return or oil return volatility has no impact on herd parameter.

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez: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 (2004).
📊
Temel Bulgular & Veri:Moreover, for herd parameter in Egypt, mortgage crisis and Egyptian military takeover are the only significant factors.
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Sonuç & Katkı:Contrary to expected, oil return or oil return volatility has no impact on herd parameter.
🔬Tür:Araştırma Makalesi
📍Kapsam:2004 Verileri
⚙️Değişkenler:Alan Parametreleri

Özet

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 (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.

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 (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.

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Bu Makaleye Atıf Yap

GÜVERCİN, A. (2016). Sentimental Herding: The Role of Regional and Global Shocks in Egyptian and Saudi Stock Markets. Sosyoekonomi, Cilt: 24 - Sayı: 27, 2–9. https://ajindex.com/articles/139506

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Kaynakça (15)

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