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Does herding behavior exist in Chinese stock markets
This paper examines the presence of herd formation in Chinese markets using both individual firm- and sector-level data.We analyze the behavior of return dispersions during periods of unusually large
Do investors herd in emerging stock markets?: Evidence from the Taiwanese market
This paper has three main contributions to the literature on investor herds. First, it extends investor herding studies to an emerging yet relatively sophisticated Taiwanese stock market at the
Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets
This paper proposes a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets – Abu Dhabi, Dubai, Kuwait, Qatar and
The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective
This paper examines the informational efficiency of crude oil spot and futures markets with respect to OPEC conference and U.S. Strategic Petroleum Reserve (SPR) announcements. We employ the event
Geopolitical risks and stock market dynamics of the BRICS
This paper examines the effect of geopolitical uncertainty on return and volatility dynamics in the BRICS stock markets via nonparametric causality-in-quantiles tests. The effect of geopolitical
An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey
This paper examines evidence for the possible existence of the "daily effect" in the Istanbul Stock Exchange (ISE). In addition to ISE daily closing index returns, excess index returns over the
Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?
This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive
What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors
The main goal of this paper is to formally establish the volatility-herding link in the developing stock markets of the oil-rich GCC countries by examining how market volatility affects herd behavior
Industry herding and momentum strategies
This paper evaluates the impact of industry herding on return momentum. While the findings support that winner industries outperform loser industries in subsequent months, we find that the