2020
DOI: 10.1108/mf-01-2020-0028
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Asymmetric effect of oil prices on herding in commodity markets

Abstract: PurposeThis study aims to test the presence of herding behavior in commodity markets, including energy, metals and agriculture. Additionally, the authors investigate the possible asymmetric effect of oil price changes on the herding behavior in these markets.Design/methodology/approachThe authors examine herding based on the cross-sectional absolute deviation (CSAD) model in a static and time-varying perspective.FindingsBy using daily data over the period 2003–2017, the authors’ findings firstly support the dy… Show more

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Cited by 11 publications
(6 citation statements)
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“…Some other studies have concentrated on commodity markets, as Demirer et al (2015) , who provide evidence of herding in the grains sector during the high volatility state. In the same line, Youssef and Mokni, 2020 , Youssef, 2020 report that investors in commodity markets mimic their peers during and after the global financial crisis.…”
Section: Literature Reviewmentioning
confidence: 90%
“…Some other studies have concentrated on commodity markets, as Demirer et al (2015) , who provide evidence of herding in the grains sector during the high volatility state. In the same line, Youssef and Mokni, 2020 , Youssef, 2020 report that investors in commodity markets mimic their peers during and after the global financial crisis.…”
Section: Literature Reviewmentioning
confidence: 90%
“…Therefore, all our objectives have been fulfilled. Since this methodology is novel and proven [ 18 , 35 ] and no other study period has been this vast and inclusive in nature, therefore this study would most certainly add incremental knowledge to the existing literature.…”
Section: Resultsmentioning
confidence: 99%
“…Furthermore, Zhang et al (2008) discovered that there is a causal relationship between the US dollar exchange rates and oil prices, precisely, US dollar's devaluation proved to be a significant factor influencing the worldwide oil prices. In the same way, many researches revealed the existence of bidirectional causality between oil prices and exchange rates Jiang et al, 2020;Prasad Bal & Narayan Rath, 2015;Reboredo, 2012;Youssef & Mokni, 2021). Yet, contradicting conclusions also arise within these bidirectional causality results, mostly over the short run and the long-run.…”
Section: Introductionmentioning
confidence: 90%