Medhioub, Imed and Chaffai, Mustapha,(2018), Islamic finance and herding behavior: an application to Gulf Islamic stock markets. , Review of Behavioral Finance, UNSPECIFIED
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Abstract
Purpose – The purpose of this paper is to examine the herding behavior in GCC Islamic stock markets.
Design/methodology/approach – The authors followed the methodology developed by Chiang and Zheng
(2010) to test herding behavior. Cross-sectional tests have been considered in this paper. The authors use both
OLS and GARCH estimations to examine herding behavior by using a sample of GCC Islamic stock markets.
Findings – By applying monthly data for the period between January 2006 and February 2016 for
five Islamic GCC stock returns (Bahrain, Kuwait, Qatar, Saudi Arabia and UAE), results suggest a significant
evidence of herd behavior in Saudi and Qatari Islamic stock markets only. When the authors take into account
the existence of asymmetry in herd behavior between down- and up-market periods, evidence of herding
behavior during down market periods in the case of Qatar and Saudi Arabia was found. In addition, the
authors found that Kuwaiti and Emirates Islamic stock markets herd with the local conventional stock
market, showing the interdependencies between Islamic and conventional markets.
Research limitations/implications – In this paper, the authors found an absence of herding behavior
in some Islamic stock markets (Bahrain, Kuwait and Emirates). This is not the result of Shariah guidelines in
these Islamic markets, but this is mainly due to the weak oscillations of returns which are very close to zero.
In our future research, the authors could apply daily data and compare the results to those obtained in this
paper by using monthly data.
Originality/value – This paper provides a practical framework in order to analyze the herding behavior
concept for GCC Islamic stock markets. Its originality consists of linking the herding behavior to ethics and
morality to verify whether the properties and guidelines of Islam are respected in Islamic stock markets.
To the best of the authors’ knowledge, no other paper has treated the case of herding behavior in Islamic stock
markets and taking into account the possible influence of the conventional market on the Islamic
stock market that may impact herding behavior.
Keywords : | GARCH, Herding behaviour, Islamic stock market, Ethics and morality, UNSPECIFIED |
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Journal or Publication Title: | Review of Behavioral Finance |
Volume: | 10 |
Number: | 2 |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Users 15 not found. |
Date Deposited: | 20 Dec 2019 02:58 |
Last Modified: | 20 Dec 2019 02:58 |
URI: | https://repofeb.undip.ac.id/id/eprint/520 |