Sentimental Herding: The Role of Covid-19 Crisis in the Egyptian Stock Market

• Autorzy: Mostafa Hussein Abd-Alla
• Języki publikacji: EN

Abstrakty

EN

This study aims to investigate the existence of herding behaviour during COVID-19 crisis in the Egyptian stock market by using firm-level data and employing different testing methodologies. The study also investigates the existence of herding behaviour during COVID-19 crisis at the level of portfolios divided based on the size and the value factors. The study used the nonlinear model proposed by Chang, Cheng and Khorana (2000) and the state-space model developed by Hwang ans Salmon (2004) to measure herding behaviour. The study found that the nonlinear model proposed by (Chang et al., 2000) lead to results indicating evidence of herding during COVID-19 crisis. However, there was no evidence of herding behaviour during COVID-19 crisis when using the state-space model developed by Hwang ans Salmon (2004). As for the level of portfolios, the study found evidence of herding during COVID-19 crisis only when using (Chang et al., 2000) methodology, at the level of the portfolio of stocks with low and high (B/M) ratio and the portfolio of big stocks only during COVID-19 crisis. (original abstract)

Słowa kluczowe

EN

COVID-19; Herding behaviour; Stock market; State space model; Financial crisis

PL

COVID-19; Zachowania stadne; Giełda papierów wartościowych; Model przestrzeni stanu; Kryzys finansowy

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2020
• Tom: 9
• Numer: nr 3
• Strony: 9--23

Twórcy

autor

Mostafa Hussein Abd-Alla

• Ain Shams University, Egypt

Bibliografia

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Identyfikatory

DOI

10.12775/CJFA.2020.009