Cross-herding behavior between the stock market and the crude oil market during financial distress

BenMabrouk, Houda

doi:10.1108/mf-09-2017-0363

Cited by 12 publications

(4 citation statements)

References 84 publications

(119 reference statements)

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“…It asses the asymmetric risk and return relationship in financial markets (Bekiros et al, 2017). Information unavailability in the market most probably influences the herding behavior (Ben Mabrouk, 2018). Human nature has a common tendency to imitate, refer, and observe other's behavior during irregular conditions in the market (Yu et al, 2018).…”

Section: Herding Bias and Investment Decision Makingmentioning

confidence: 99%

Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions

Ahmed

Rasool²,

Saleem

et al. 2022

Sage Open

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This study aims to examine the direct and indirect links between behavioral biases and investor’s investment decisions via the mediating role of risk perception through structural equation modeling. The study is conducted among individual investors who are engaged in investment for several years in Pakistan Stock Exchange. Purposive sampling technique was used for data collection and the sample size was consisted of 450 questionnaires. The findings contribute that risk perception mediates between blue-chip stocks and investment decisions. Furthermore, risk perception does not play the mediating role between herding bias, disposition effect, and investment decisions. However, the disposition effect has a strong direct relationship with risk perception. The study is beneficial to individual investors who can make investment decisions by self-estimation rather than to follow the others’ opinion. The proper training and education to the investors is also an appropriate path to overcome these biases. Risk is the major factor that discourages investment decisions but blue-chip stocks are a major risk eliminating factor while building investment decisions. Most of the prior studies focused on behavioral biases and investment decisions of individual investors but this study contributed to the mediating effect of risk perception. Human capital, anomalies, computer literacy, and artificial technology could also be used as a mediator and moderator for future orientation.

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Section: Herding Bias and Investment Decision Makingmentioning

confidence: 99%

Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions

Ahmed

Rasool²,

Saleem

et al. 2022

Sage Open

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“…The fundamental analysis concerns the projected condition of the company in the future by showing the present and past conditions. This approach is used to assess the intrinsic value of these shares, and investors are used for investment with a long period of time (Anwar et al, 2018;BenMabrouk, 2018).…”

Section: Introductionmentioning

confidence: 99%

Micro Macro Economics Fundamental Factors and Indonesia Stock Exchange Return

Yusfiarto

2020

EkBis

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Stock investment has an attraction for investors because with investments in the form of shares, investors have the expectation of obtaining profits in the form of capital gains or stock dividends. To take into account the risk factors and produce a maximum level of profit, the stock purchase decision-making process requires careful analysis when determining its market value. Thus, in deciding investment in the stock market, prospective investors must first conduct an in-depth analysis of the company whose shares will be purchased. The fundamental analysis concerns the projected condition of the company in the future by showing the present and past situations. This approach is used to assess the intrinsic value of these shares, and investors are used for investment over a long period. The data used in this research are 22 infrastructure issuers on the Indonesia Stock Exchange from 2015-2018. The data is then processed by the econometrics method using Eviews and Microsoft Excel software with a panel data regression model or pooled regression. Hypothesis testing shows that fundamental macro-micro factors jointly affect the stock returns on infrastructure companies listed on the Indonesia Stock Exchange

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“…This result is entirely consistent with previous studies because they all confirm that in stress periods, markets change their behaviour. BenMabrouk (2018) finds evidence of transmission of herd behaviour that occurs in crisis period between oil and stock markets. Ghosh and Kanjilal (2016) show that cointegration between oil and the Indian stock market is higher after the GFC.…”

Section: Resultsmentioning

confidence: 99%

Further insights into the oil and equity market relationship

Belhassine

Bouzid

2019

SEF

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Purpose This paper aims to assess the asymmetric effects of oil price shocks and the impact of oil price volatility on the Eurozone’s supersector returns, with a particular emphasis on the impact of the subprime crisis and the euro debt crisis (EDC) on this relationship. Design/methodology/approach Empirical data consist of daily observations of the 19 EURO STOXX supersector indices and the Brent crude oil price index for the period January 2001 to August 2015. This paper uses a non-linear multifactor market model. This model accounts for heteroscedasticity and breakpoints that are identified by the Bai and Perron (1998, 2003) tests. Findings The results show that supersector returns are sensitive to oil price shocks. However, in most cases, their responsiveness to oil price volatility is not significant. The relationship between oil price shocks and supersector returns changes through time and depends on the sector. Financial turbulence affects the oil-stock market nexus. In most cases, the subprime crisis has had a positive impact on the oil-stock market relationship, whereas the EDC has had an overall negative effect. Before the subprime crisis, there is an evidence of asymmetric effects for some supersectors. Meanwhile, for most sectors, the asymmetric effects disappear after 2008. Originality/value The study improves understanding of the interaction between oil price risk and the Eurozone sector indices returns. Furthermore, it enables global investors to manage the risk inherent to the portfolio managers’ positions.

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Cross-herding behavior between the stock market and the crude oil market during financial distress

Cited by 12 publications

References 84 publications

Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions

Mediating Role of Risk Perception Between Behavioral Biases and Investor’s Investment Decisions

Micro Macro Economics Fundamental Factors and Indonesia Stock Exchange Return

Further insights into the oil and equity market relationship

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