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Herding Behavior in the Stock Market: An Empirical Analysis of the Egyptian Exchange

Dalia El-Shiaty () and Ahmed Badawi
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Dalia El-Shiaty: Faculty of Management Technology, The German University in Cairo
Ahmed Badawi: American University of the Middle East

No 37, Working Papers from The German University in Cairo, Faculty of Management Technology

Abstract: This paper examines herding behavior in the Egyptian stock market using the CH model developed by Christie and Huang (1995) and the CCK model developed by Chang et al. (2000). We use daily returns data of the 20 most traded stocks in the Egyptian Exchange in addition to the daily returns of the market index EGX 100 during a period of five years from January 2006 till December 2010. The paper is an attempt towards thorough examination of herding behavior in the Middle East and Africa region which has been investigated only as an entire region and not disaggregated into the specific countries. The results show that there is no herding present in the Egyptian stock market.

Keywords: Herd behavior; Egyptian stock market; behavioral finance (search for similar items in EconPapers)
JEL-codes: G02 G10 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2014-01
New Economics Papers: this item is included in nep-ara and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

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http://mgt.guc.edu.eg/wpapers/037elshiaty_badawi2014.pdf First version, 2014 (application/pdf)

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