Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market

Imed Medhioub and Mustapha Chaffai ()
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Mustapha Chaffai: Department of Management, High Business School, Sfax University

No 1324, Working Papers from Economic Research Forum

Abstract: This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010) and using daily prices for the GCC Islamic sectors from September 2013 to October 2018, results showed evidence of herding among investors in banking, insurance, hotels, restaurants, and foods sectors for the GCC Islamic stock market during the falling period when we consider a quantile regression analysis. In addition, we found that conventional return dispersions have a dominant influence on the Islamic GCC stock market during both falling and rising market periods in all sectors. We also found evidence of herd around the conventional sectors during down market period only in banking, hotel, restaurant, and food sectors. There is evidence of herd around the conventional sector during up market period for insurance and industrial sectors.

Pages: 14 pages
Date: 2019-08-21, Revised 2019-08-21
New Economics Papers: this item is included in nep-ara, nep-fmk, nep-ias and nep-isf
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Citations: View citations in EconPapers (4)

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Journal Article: Islamic Finance and Herding Behavior Theory: A Sectoral Analysis for Gulf Islamic Stock Market (2019)
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