SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET
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 portfoli...
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| Format: | Article |
| Language: | English |
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Nicolaus Copernicus University in Toruń
2021-02-01
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| Series: | Copernican Journal of Finance & Accounting |
| Subjects: | |
| Online Access: | https://apcz.umk.pl/CJFA/article/view/33340 |
| _version_ | 1797721455214985216 |
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| author | Mostafa Hussein Abd-Alla |
| author_facet | Mostafa Hussein Abd-Alla |
| author_sort | Mostafa Hussein Abd-Alla |
| collection | DOAJ |
| description | 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 and 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 and 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. |
| first_indexed | 2024-03-12T09:33:34Z |
| format | Article |
| id | doaj.art-e00b7c11f63a42bb95f6c61463b10903 |
| institution | Directory Open Access Journal |
| issn | 2300-1240 2300-3065 |
| language | English |
| last_indexed | 2024-03-12T09:33:34Z |
| publishDate | 2021-02-01 |
| publisher | Nicolaus Copernicus University in Toruń |
| record_format | Article |
| series | Copernican Journal of Finance & Accounting |
| spelling | doaj.art-e00b7c11f63a42bb95f6c61463b109032023-09-02T13:52:10ZengNicolaus Copernicus University in ToruńCopernican Journal of Finance & Accounting2300-12402300-30652021-02-0193SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKETMostafa Hussein Abd-Alla0Ain Shams UniversityThis 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 and 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 and 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.https://apcz.umk.pl/CJFA/article/view/33340COVID-19 crisisherding behaviournon-linear modelstate space modelEgyptian stock market |
| spellingShingle | Mostafa Hussein Abd-Alla SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET Copernican Journal of Finance & Accounting COVID-19 crisis herding behaviour non-linear model state space model Egyptian stock market |
| title | SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET |
| title_full | SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET |
| title_fullStr | SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET |
| title_full_unstemmed | SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET |
| title_short | SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET |
| title_sort | sentimental herding the role of covid 19 crisis in the egyptian stock market |
| topic | COVID-19 crisis herding behaviour non-linear model state space model Egyptian stock market |
| url | https://apcz.umk.pl/CJFA/article/view/33340 |
| work_keys_str_mv | AT mostafahusseinabdalla sentimentalherdingtheroleofcovid19crisisintheegyptianstockmarket |