Herding in frontier markets: Evidence from African stock exchanges
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Journal of International Financial Markets, Institutions & Money
2024
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| Online Access: | http://dx.doi.org/10.1016/j.intfin.2016.11.001 https://scholar.mzumbe.ac.tz/handle/123456789/1005 |
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| author | Komba, Gabriel Vitus Guney, Yilmaz Kallinterakis, Vasileios |
| author_facet | Komba, Gabriel Vitus Guney, Yilmaz Kallinterakis, Vasileios |
| author_sort | Komba, Gabriel Vitus |
| collection | DSpace |
| description | Nil |
| format | Article |
| id | oai:41.59.85.69:123456789-1005 |
| institution | Mzumbe University |
| language | en_US |
| publishDate | 2024 |
| publisher | Journal of International Financial Markets, Institutions & Money |
| record_format | dspace |
| spelling | oai:41.59.85.69:123456789-10052024-07-31T09:52:19Z Herding in frontier markets: Evidence from African stock exchanges Komba, Gabriel Vitus Guney, Yilmaz Kallinterakis, Vasileios herding frontier markets asymmetric behaviour Africa Nil We investigate herding in eight African frontier stock markets between January 2002 and July 2015, given the limited evidence on herding in frontier markets. Herding appears significant throughout the 2002-2015 period for all markets, with smaller stocks found to enhance its magnitude. Herding entails no clear asymmetries conditional on market performance; conversely, it appears notably asymmetric when conditioned on market volatility, as it is significant (or stronger) mainly during low volatility days, without this pattern, however, surviving when accounting for the 2007-2009 crisis. The US and South African markets motivate herding on a small number of occasions only, while the return dynamics of a regional economic initiative’s member markets are found to induce herding in each other very rarely, thus demonstrating that investors’ behaviour in markets with low integration in the international financial system is not significantly affected by non-domestic factors. Private 2024-07-31T09:52:14Z 2024-07-31T09:52:14Z 2017 Article APA http://dx.doi.org/10.1016/j.intfin.2016.11.001 https://scholar.mzumbe.ac.tz/handle/123456789/1005 en_US application/pdf Journal of International Financial Markets, Institutions & Money |
| spellingShingle | herding frontier markets asymmetric behaviour Africa Komba, Gabriel Vitus Guney, Yilmaz Kallinterakis, Vasileios Herding in frontier markets: Evidence from African stock exchanges |
| title | Herding in frontier markets: Evidence from African stock exchanges |
| title_full | Herding in frontier markets: Evidence from African stock exchanges |
| title_fullStr | Herding in frontier markets: Evidence from African stock exchanges |
| title_full_unstemmed | Herding in frontier markets: Evidence from African stock exchanges |
| title_short | Herding in frontier markets: Evidence from African stock exchanges |
| title_sort | herding in frontier markets evidence from african stock exchanges |
| topic | herding frontier markets asymmetric behaviour Africa |
| url | http://dx.doi.org/10.1016/j.intfin.2016.11.001 https://scholar.mzumbe.ac.tz/handle/123456789/1005 |
| work_keys_str_mv | AT kombagabrielvitus herdinginfrontiermarketsevidencefromafricanstockexchanges AT guneyyilmaz herdinginfrontiermarketsevidencefromafricanstockexchanges AT kallinterakisvasileios herdinginfrontiermarketsevidencefromafricanstockexchanges |