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Sentimental Herding: The Role of Regional and Global Shocks in Egyptian and Saudi Stock Markets

Ali Güverci̇n

Sosyoekonomi Journal, 2016, issue 24(27)

Abstract: In this study, the existence of market-wide herding for Egypt and Saudi stock markets is investigated using state-space methodology developed by Hwang and Salmon (2004). The objective is not just to provide evidence for herding, but also evaluate the effect of regional and global shocks on herding behavior for these markets. Results show that herding exists only in Egypt. Moreover, for herd parameter in Egypt, mortgage crisis and Egyptian military takeover are the only significant factors. As expected, these factors cause fading effect on herd parameter, strengthening adverse herding. Contrary to expected, oil return or oil return volatility has no impact on herd parameter.

Keywords: Sentimental Herding; State-Space Model; Cross-Sectional Volatility; Emerging Market. (search for similar items in EconPapers)
JEL-codes: C12 C13 C30 G14 (search for similar items in EconPapers)
Date: 2016
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