Oil speculation and herding behavior in emerging stock markets

Çakan, Esin; Demirer, Rıza; Gupta, Rangan; Marfatia, Hardik A.

doi:10.1007/s12197-018-9427-0

Cited by 27 publications

(22 citation statements)

References 31 publications

(41 reference statements)

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“…Studies investigating herding phenomena have made their appearance earlier and this issue has attracted more attention lately. Pindyck and Rotemberg (1990) , Cakan et al. (2019) , and Júnior et al.…”

Section: Studies About Herding Phenomena In Traditional Financial Assmentioning

confidence: 99%

“…Studies investigating herding phenomena have made their appearance earlier and this issue has attracted more attention lately. Pindyck and Rotemberg (1990), Cakan et al (2019), andJúnior et al (2019) constitute academic papers that look into this nexus. One of the initial papers has been Pindyck and Rotemberg (1990) that identify co-movements among the prices of raw commodities and argue that these commodities are seemingly unrelated.…”

Section: Herding Phenomena In Commodity Marketsmentioning

confidence: 99%

“…In a somewhat different vein, Cakan et al (2019) adopt firm-level data about Russia, Brazil and Turkey and reveal that there are frequent alterations between herding and non-herding conditions in these markets. Herding is more obvious in the case of Russia.…”

Section: Herding Phenomena In Commodity Marketsmentioning

confidence: 99%

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Herding behaviour in digital currency markets: An integrated survey and empirical estimation

Kyriazis

2020

Heliyon

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This paper reviews the empirical literature on the highly popular phenomenon of herding behaviour in the markets of digital currencies. Furthermore, a comparison takes place with outcomes from earlier studies about traditional financial assets. Moreover, we empirically investigate herding behaviour of 240 cryptocurrencies during bull and bear markets. The present survey suggests that empirical findings about whether herding phenomena have made a significant appearance or not in cryptocurrency markets are split. The Cross-sectional absolute deviations (CSAD) and Cross-sectional standard deviations (CSSD) approaches for measuring herding tendencies are found to be the most popular. Different behaviour is detected in bull periods compared to bear markets. Nevertheless, evidence from primary studies indicates that herding is stronger during extreme situations rather than in normal conditions. However, our empirical estimations reveal that herding behaviour is evident only in bull markets. These findings cast light on and provide a roadmap for investment decisions with modern forms of liquidity.

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Section: Studies About Herding Phenomena In Traditional Financial Assmentioning

confidence: 99%

Section: Herding Phenomena In Commodity Marketsmentioning

confidence: 99%

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Herding behaviour in digital currency markets: An integrated survey and empirical estimation

Kyriazis

2020

Heliyon

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“…They reported that the value relevance of accounting information is significantly lower in periods defining herding behavior. The latest study by Cakan et al (2019) tested herding in the oil and stock markets among emerging Investors herding in emerging economies economies of Russia, Brazil and Turkey from 2005 to 2015 reported evidence of herding in all three economies; moreover, Russia and Brazil are more prevalent in herding behavior. A recent study on the relationship between herding and liquidity in the Vietnamese stock market by Vo and Phan (2019) showed that herding is more pronounced under high and medium liquidity conditions.…”

Section: Literature Reviewmentioning

confidence: 99%

Do investors herd in emerging economies? Evidence from the Indian equity market

Ansari¹,

Ansari

2021

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PurposeThe purpose of this study is to empirically examine the presence of herding behavior of Indian investors using daily sample data drawn from the Standard and Poor's (S&P) Bombay Stock Exchange-500 Index over the period 2007–2018.Design/methodology/approachThe study employs the model proposed by Chang et al. (2000), taking stock return dispersion as a measure to capture herding. The empirical results demonstrate the absence of herding behavior in all market states, that is, normal, up and down market conditions for the overall period.FindingsContrastingly, the study found negative herding behavior, which underlines that individuals are taking the decision away from the market consensus. The subperiod analysis corroborates the negative herding behavior. The results remain invariant across large, mid and small-capitalization firms except in one year, that is, 2009 for small firms. While using liquidity and sentiment as variables to examine herding, the study finds some evidence of herding behavior for high market liquidity state and sentiment. The findings of negative herding shed new light on herding behavior in the Indian stock market.Originality/valueThis pattern of behavior may indicate irrationality of investor behavior and the presence of noise traders who mistrust market-wide information. Behavioral factors such as overconfidence may explain this pattern of behavior.

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“…However, only a few studies focus on the oil market as a driver of herding behavior in such markets. More specifically, a significant effect of oil price on herding is found in the GCC stock markets (Balcilar et al , 2013, 2014; Ulussever and Demirer, 2017), American industries (Ben Mabrouk and Litimi, 2018), Moscow Exchange (Indārs et al , 2019) and Russia, Brazil, and Turkey (Cakan et al , 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric effect of oil prices on herding in commodity markets

Youssef

Mokni

2020

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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 dynamic nature of investor behavior in commodity markets, which oscillates between antiherding during the normal period and herding during and after the global financial crisis of 2008. Furthermore, results highlight that the asymmetric impact of oil shocks on herding differs across commodity sectors and periods. Additionally, herding seems to be more pronounced when the oil market declines, which may be due to the pessimistic investors' sentiments.Practical implicationsThis study provides insight into what factors influence herd behavior in commodity markets. The understanding of factors driving herding aids investors to avoid the impact of this behavior and its consequencesOriginality/valueTo the authors’ knowledge, this study is the first to examine whether the level of herding depends on the oil price fluctuations, as well as the asymmetric effect of the oil price on herding behavior in commodity markets.

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Oil speculation and herding behavior in emerging stock markets

Cited by 27 publications

References 31 publications

Herding behaviour in digital currency markets: An integrated survey and empirical estimation

Herding behaviour in digital currency markets: An integrated survey and empirical estimation

Do investors herd in emerging economies? Evidence from the Indian equity market

Asymmetric effect of oil prices on herding in commodity markets

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