Does speculation in the oil market drive investor herding in net exporting nations?
Riza Demirer and
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Talat Ulussever: Department of Economics and Finance, College of Industrial Management,King Fahd University of Petroleum & Minerals
No 15-29, Working Papers from Eastern Mediterranean University, Department of Economics
This paper examines whether speculation in the global oil market contributes to herd behavior in the stock markets of net exporting nations. Using firm level data from the Gulf Arab stock markets, we show that investors display herd behavior during periods of high volatility while anti-herding is prevalent during calm markets. Anti-herding in the stock market is also found to be positively related to speculative activities in the global oil market as investors use signals from the oil market in their trades by trading away from the market consensus. We argue that traders take the speculative signals from the oil market as a sign of positive expectations and try to generate superior profits by going against the crowd in their local market.
Keywords: Herd behavior; Equity return dispersion; Crude Oil; Speculative ratio; Markov switching. (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Pages: 34 pages
New Economics Papers: this item is included in nep-ara and nep-ene
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-29.pdf First version, 2016 (application/pdf)
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