Does herding behaviour vary in bull and bear markets? Perspectives from Egypt

Metwally, Ayman H.; Eldomiaty, Tarek Ibrahim; Abdel-Wahab, Lina Ahmed

doi:10.1504/ijbaf.2016.079876

Cited by 4 publications

(2 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Mainly, [15] examine herd behavior in the bullish and bearish market, along with volatility, with a market return to the Egyptian stock market. In which used both CH and CCK models of herding.…”

Section: Researchmentioning

confidence: 99%

Investigative Study of Investor’s Herding Behavior During Bullish and Bearish Market: A Case of Pakistan Stock Exchange

Hassan

Jamil

2021

EJBMR

View full text Add to dashboard Cite

This study investigates the influence of herd behavior on the Pakistan stock exchange indexes KSE-100 and KSE-30 during bullish and bearish markets. Using the daily market return from 2007 to 2020. We implement the method of main herding measures, Cross-sectional absolute deviation, and Cross-sectional standard deviation, to explore the influence of herd behavior in the emerging market of Pakistan. The results indicate the presence of market-wide herd behavior: (a) along with the different direction of market positive and negative return, (b) when trading volume high, (c) when stock market highly volatile, and (d) during and the post-financial crisis. Moreover, Investors don’t herd when low trading volume and low volatility. Our study fills the gap in the literature and contributes to academic relevance by exploring the influence of herd behavior among both bull and bear periods in markets of Pakistan, it also examines the possible asymmetric effects of herding related to the market with high-low trading volume and market volatility.

show abstract

Section: Researchmentioning

confidence: 99%

Investigative Study of Investor’s Herding Behavior During Bullish and Bearish Market: A Case of Pakistan Stock Exchange

Hassan

Jamil

2021

EJBMR

View full text Add to dashboard Cite

show abstract

“…The results also showed that the mortgage crisis and the political fluctuations that occurred on July 3, 2013, had a significant effect on herd behaviour, while oil revenues, oil price fluctuations and the Syrian conflict did not affect herd behaviour. Metwally et al (2016) investigated the presence of herd behaviour in the Egyptian stock market in the case of uptrend and downtrend of the market. The data used in their study consisted of daily closing prices, market returns, and interest rates as a risk-free rate of return, from January 2007 to December 2012.…”

Section: Empirical Literaturementioning

confidence: 99%

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

Abd-Alla¹,

Sobh²

2020

FAI

View full text Add to dashboard Cite

We test the impact of herding behaviour on the risk pricing in the Egyptian Stock Exchange (EGX) by adding an additional risk factor reflecting herding behaviour to the Fama and French three-factor model. We construct a portfolio to mimic an additional risk factor related to herding behaviour, in addition to the original risk factors in the Fama and French three-factor model. The three-factor model will be tested in its original form and re-tested after adding the herding behaviour factor. The study is based on Hwang and Salmon methodology, in which the state space approach based on Kaman’s filter was used to measure herding behaviour. We used monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. The results do not support Fama and French model before and after adding the herding behaviour factor, therefore, there is no effect of herding behaviour on the risk pricing in the Egyptian Stock Exchange.

show abstract

Examining the Herd Behavior of Different Asset Classes

Gouri¹,

Das²

2023

SSRN Journal

View full text Add to dashboard Cite

Does herding behaviour vary in bull and bear markets? Perspectives from Egypt

Cited by 4 publications

References 0 publications

Investigative Study of Investor’s Herding Behavior During Bullish and Bearish Market: A Case of Pakistan Stock Exchange

Investigative Study of Investor’s Herding Behavior During Bullish and Bearish Market: A Case of Pakistan Stock Exchange

The Impact of Herding on the Risk Pricing in the Egyptian Stock Exchange

Examining the Herd Behavior of Different Asset Classes

Contact Info

Product

Resources

About