Herding behaviour heterogeneity under economic and political risks: Evidence from GCC

Ray Saadaoui Mallek, Mohamed Albaity and Philip Molyneux

Economic Analysis and Policy, 2022, vol. 75, issue C, 345-361

Abstract: This study examined the impact of economic and political risks on herding behaviour in 7 Gulf Cooperation Council (GCC) stock markets between 2004 and 2020. The results indicated that herding behaviour was apparent in the lower quantiles while anti-herding behaviour manifested in the upper quantiles. Economic and political risk either increased or decreased herding behaviour. In the lower quantiles, economic risk either strengthened or weakened herding behaviour, while only in the upper quantiles was anti-herding behaviour strengthened. However, political risk either weakened or strengthened herding in the lower quantiles, while in the upper quantiles, anti-herding behaviour was either strengthened or weakened. Policymakers and supervisory authorities concerned with potential stock market integration should not simply focus on unifying regulations in their stock markets. Rather, they should invest in raising awareness and establishing transparency.

Keywords: Economic risk rating; Political risk rating; Herding; Quantile regression (search for similar items in EconPapers)
JEL-codes: G15 G40 G41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:75:y:2022:i:c:p:345-361

DOI: 10.1016/j.eap.2022.05.015

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