No abstract

Purpose The purpose of this paper is to investigate herding behavior around the crude oil market and the stock market and the possible cross-herding behavior between the two markets. The analysis examines also the herding behavior during financial turmoil and includes the investor sentiment and market volatility. Design/methodology/approach The authors use a modified version of the cross-sectional standard deviation and the cross-sectional absolute deviation to include investor sentiment, financial crisis and market volatility. Findings The authors find that the volatility of the stock market reduces the herding behavior around the oil market and boosts that around the stock market. However, the investors’ sentiment reduces the herding around the stock market and boosts that around the crude oil market. Consequently, the authors can conclude that the herding behavior around the two markets moves inversely and the herding in each market is enhanced by the lack of information in the other market. Research limitations/implications This paper is limited to the herding of stocks around the crude oil market and ignores the possible herding of commodities around the oil market. Originality/value The originality of the paper rests on the study of the possible cross-herding behavior between the oil market and the stock market especially during financial turmoil.

This paper examines how fundamentals and time varying unsystematic risk can explore the origins of momentum strategies. Our data encompasses the monthly returns of listed stocks on the NASDAQ 100 index from 2002 to 2016. The results indicate that winners and losers are slanted towards small‐capitalization stocks with high systematic risk. Whereas only winners have growth and value the characteristics. Additionally, the results from the E‐GARCH‐M indicate that the speed of adjustment to volatility shocks is not the same for winners and losers. In fact, we find that the loser portfolios take a longer time to absorb the shocks and are more sensitive to bad than good Innovations. Finally, the results postulate that Momentum is significantly associated to time varying unsystematic risk, specifically for the (3/3) Strategy.

No abstract

No abstract