Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257663 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 4 [Article No.:] 65 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-11
Publisher: 
MDPI, Basel
Abstract: 
This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010), results showed evidence of herding among investors in major sectors for the Gulf Cooperation Council (hereinafter GCC) Islamic stock market during falling periods. In addition, we found that conventional return dispersions have a dominant influence during both falling and rising market periods. We also found evidence of herding around the conventional sectors during down market periods only in banking, hotel and restaurant sectors. There is evidence of herding around the conventional sectors during up market periods for insurance and industrial sectors.
Subjects: 
GARCH model
GCC countries
herding behavior
Islamic stock market
Quantile regression
sectoral analysis
JEL: 
G11
G12
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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