Testing of Herd Behavior In african Stock Markets During COVID-19 Pandemic

Essai de vérification du comportement mimétique dans les marchés boursiers africains au cours de la crise de covid-19

Mohamed Es-Sanoun (), Jude Gohou and Mounir Benboubker
Additional contact information
Mohamed Es-Sanoun: USMBA - Université Sidi Mohamed Ben Abdellah

Post-Print from HAL

Abstract: In this paper, we aimed to examine the presence of mimetic behavior in African markets. To accomplish this, we utilized the model developed by Chang Cheng and Khorana (2000) and employed a non-linear regression specification using the "Cross-Sectional Absolute Deviation" (CSAD) method. Our objective was to detect the presence of mimetic behavior in the African financial market before and during the COVID-19 pandemic. The dataset for this study consisted of a set of companies listed on five African stock exchanges, namely Morocco, Nigeria, South Africa, West Africa, and Tunisia. The study period spanned from January 1, 2017, to May 31, 2022, resulting in a total of 1345 daily observations. We obtained the data from the official website of each respective exchange. Our findings indicate the presence of mimetic behavior in the studied markets, leading us to conclude that these markets are not informationally efficient.

Keywords: Behavioral finance; herding behavior; asymmetric herding; African financial markets; COVID-19. (search for similar items in EconPapers)
Date: 2023-06-28
Note: View the original document on HAL open archive server: https://hal.science/hal-04144289v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in African Scientific Journal, 2023, ⟨10.5281/zenodo.8086707⟩

Downloads: (external link)
https://hal.science/hal-04144289v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04144289

DOI: 10.5281/zenodo.8086707

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().