HERDING BEHAVIOUR IN EMERGING MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE

被引：0
|
作者：
Imran, Rida [1 ]
Rafique, Amir [1 ]
Aslam, Faheem [1 ]
机构：
[1] COMSATS Univ Islamabad, Dept Management Sci, Islamabad, Pakistan
来源：
INTERNATIONAL TRANSACTION JOURNAL OF ENGINEERING MANAGEMENT & APPLIED SCIENCES & TECHNOLOGIES | 2020年 / 11卷 / 09期
关键词：
Stock returns; Fundamental factors; Non-fundamental factors; Financial momentum; Cross sectional absolute dispersion CSAD; Nonfinancial firms; OIL; VOLATILITY;
D O I：
10.14456/ITJEMAST.2020.181
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
To measure the extent of fundamental and non-fundamental herding behaviour in Pakistan stock exchange for the period 2012-2017, this study takes into account the relationship between stock returns, crude oil prices and multifactor assets pricing models such as size (SMB), value (HML) and momentum (MOM) using cross-sectional absolute dispersion (CSAD) of return for 67 non-financial firms. The study finds that there is evidence of non-fundamental herding and herding during political turbulence, but investors do not herd during a downward moment of oil prices. Disciplinary: Management Sciences (Financial Management). (C) 2020 INT TRANS J ENG MANAG SCI TECH.
引用
收藏
页数：10
相关论文
共 50 条
  • [1] Herding behaviour in an emerging market: Evidence from the Moscow Exchange
    Indars, Edgars Rihards
    Savin, Aliaksei
    Lubloy, Agnes
    [J]. EMERGING MARKETS REVIEW, 2019, 38 : 468 - 487
  • [2] Herding behaviour and the declining value relevance of accounting information: evidence from an emerging stock market
    Chaudhry, Muhammad Imran
    Sam, Abdoul G.
    [J]. APPLIED ECONOMICS, 2018, 50 (49) : 5335 - 5353
  • [3] Herding Behaviour in ESG Stock Index: Evidence from Emerging Markets
    Danila, Nevi
    [J]. GLOBAL BUSINESS REVIEW, 2023,
  • [4] Investor Behaviour and Herding: Evidence from the National Stock Exchange in India
    Poshakwale, Sunil
    Mandal, Anandadeep
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2014, 13 (02) : 197 - 216
  • [5] Political Instability and Herding Behaviour: Evidence from Egypt's Stock Market
    Mertzanis, Charilaos
    Allam, Noha
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2018, 17 (01) : 29 - 59
  • [6] INVESTOR BEHAVIOUR AND INVESTMENT DECISIONS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE
    Ali, Muhammad
    Ansari, Nayeem ul Hassan
    Chishty, Bilal Ahmed
    Puah, Chin-Hong
    Ashfaq, Muhammad
    [J]. ASIAN ACADEMY OF MANAGEMENT JOURNAL, 2023, 28 (02) : 1 - 28
  • [7] Herding in frontier stock markets: evidence from the Vietnamese stock market
    Nha Duc Bui
    Loan Thi Bich Nguyen
    Nhung Thi Tuyet Nguyen
    Titman, Gordon Frederick
    [J]. ACCOUNTING AND FINANCE, 2018, 58 : 59 - 81
  • [8] Investor herding behaviour of Chinese stock market
    Yao, Juan
    Ma, Chuanchan
    He, William Peng
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2014, 29 : 12 - 29
  • [9] Herding Behaviour on Stock Market: Analysis and Forecasting
    Svetlov, K., V
    [J]. EKONOMIKA I MATEMATICESKIE METODY-ECONOMICS AND MATHEMATICAL METHODS, 2019, 55 (02): : 81 - 97
  • [10] Herding behaviour generators in the Spanish stock market
    Blasco de las Heras, Natividad
    Corredor Casado, Pilar
    Ferreruela Garces, Sandra
    [J]. REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD-SPANISH JOURNAL OF FINANCE AND ACCOUNTING, 2009, 38 (142): : 265 - 291
12345