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.
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页数：10
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