Herding in Middle Eastern frontier markets: are local and global factors important?

dc.citation.epage17en_US
dc.citation.spage3en_US
dc.contributor.authorDemir, Nazmien_US
dc.contributor.authorSolakoğlu, M. Nihaten_US
dc.contributor.editorAndrikopoulos, P.
dc.contributor.editorGregoriou, G. N.
dc.contributor.editorKallinterakis, V.
dc.date.accessioned2018-04-12T13:37:47Z
dc.date.available2018-04-12T13:37:47Z
dc.date.issued2016en_US
dc.departmentDepartment of Banking and Financeen_US
dc.description.abstractIn this study we look for sentimental herding in a sample of frontier markets in the Middle East, using a state-space approach. The stock markets we consider are Oman, Bahrain, Qatar, and Kuwait. We use daily data to estimate monthly betas from a market model and test to see whether estimated monthly betas are biased, which would indicate the existence of herding or adverse herding. We also analyze the effect of extreme global and local events, and market conditions, on herding behavior. For extreme global market conditions we use major events such as the 2007-08 global financial crisis, as well as extreme variations in market returns. Furthermore, given the significance of petroleum in these markets, extreme price changes in spot-oil prices are also used for extreme market conditions. As for local events, we also test to see if events during the so-called Arab Spring in the region-eg, the Syrian internal war and Egyptian political movements-have had any impact on herd behavior. We find the existence of herding and adverse herding in Kuwait and Qatar, but not in Bahrain and Oman, revealing that market category is not a determinant of herding. In addition, our results show that while herding in Kuwait is influenced by local and global factors, herding in Qatar is influenced by oil returns and oil return volatility. © 2016 Elsevier Inc. All rights reserved.en_US
dc.identifier.doi10.1016/B978-0-12-809200-2.00001-4en_US
dc.identifier.eisbn9780128092002
dc.identifier.isbn9780128094914
dc.identifier.urihttp://hdl.handle.net/11693/37784
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.ispartofHandbook of frontier markets: evidence from Middle East North Africa and International comparative studies
dc.relation.isversionofhttp://dx.doi.org/10.1016/B978-0-12-809200-2.00001-4en_US
dc.relation.isversionofhttps://doi.org/10.1016/C2015-0-05851-8
dc.subjectC12en_US
dc.subjectC31en_US
dc.subjectCross-sectional volatilityen_US
dc.subjectFrontier marketen_US
dc.subjectG12en_US
dc.subjectG14en_US
dc.subjectHerdingen_US
dc.subjectState-space modelen_US
dc.titleHerding in Middle Eastern frontier markets: are local and global factors important?en_US
dc.typeBook Chapteren_US
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