Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market - Economic Research Forum (ERF)

Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market

Imed Medhioub and Mustapha Chaffai


Date:
July, 2019

NO.
1324

Length:
14 pages

Publisher:
Economic Research Forum

Topic:
G1. General Financial Markets

This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010) and using daily prices for the GCC Islamic sectors from September 2013 to October 2018, results showed evidence of herding among investors in banking, insurance, hotels, restaurants, and foods sectors for the GCC Islamic stock market during the falling period when we consider a quantile regression analysis. In addition, we found that conventional return dispersions have a dominant influence on the Islamic GCC stock market during both falling and rising market periods in all sectors. We also found evidence of herd around the conventional sectors during down market period only in banking, hotel, restaurant, and food sectors. There is evidence of herd around the conventional sector during up market period for insurance and industrial sectors.

Authors

Imed Medhioub

Assistant Professor at the Department of Finance and Investment, Imam University in Riyadh


Authors

Mustapha Chaffai

Assistant Professor at the Department of Management and Finance, Business Higher School of Sfax


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