Does Portfolio’s Beta in Financial Market Affected by Diversification? Evidence from Amman Stock Exchange

Matar, Ali

doi:10.5539/ijbm.v11n11p101

Cited by 1 publication

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References 19 publications

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“…Beta of the stock with the market ( ): is the sensitivity of the rate of return of the stock to the change in the rate of return for the market (Dzaja & Aljinovic, 2013). This variable can be calculated using the following equation (Matar, 2016):…”

Section: Variables Definitionsmentioning

confidence: 99%

Remeasuring Sectoral Herding in the Financial Markets

Elshqirat¹

2020

IBR

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Herding behavior was concluded to exist in some sectors and under some market conditions in the Jordanian stock market when measured using the cross-sectional absolute deviation. The purpose of this study was to retest the existence of the sectoral herding using the cross-sectional dispersion of betas and compare the results with those reached using the measure of the cross-sectional absolute deviation. Behavioral finance theory represents the main base on which this study was built. In this study, the researcher tried to answer questions related to whether herding behavior exists in the Jordanian market and its sectors if measured using cross-sectional dispersion of betas and whether results will be different from those reached using other measures. In this quantitative study, data from Amman stock exchange were used and the period covered was from 2000 to 2018. These data were used to calculate the cross-sectional dispersion of betas which was tested using t-test, Kruskal–Wallis test, Mann-Whitney U test, and Wilcoxon Signed-Rank test. Results indicated that herding behavior existed in market and in each sector at the same level which was not affected by the financial crisis. Furthermore, the study revealed that herding level was the same when the market (sector) was rising and when it was falling and this similarity has not been changed by the occurrence of the global financial crisis. Finally, results indicated that herding was at its lowest level in the entire market and in the industrial sector during the time of financial crisis. These results are different from those of the study conducted in Jordan using cross-sectional absolute deviation which implies that using different herding measures yields different results.

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Section: Variables Definitionsmentioning

confidence: 99%

Remeasuring Sectoral Herding in the Financial Markets

Elshqirat¹

2020

IBR

View full text Add to dashboard Cite

show abstract

Does Portfolio’s Beta in Financial Market Affected by Diversification? Evidence from Amman Stock Exchange

Cited by 1 publication

References 19 publications

Remeasuring Sectoral Herding in the Financial Markets

Remeasuring Sectoral Herding in the Financial Markets

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