Herding in frontier markets: Evidence from African stock exchanges
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2024
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| author | Komba, Gabriel Vitus Komba, Gabriel Vitus Yilmaz Guneya, Vasileios Kallinterakisb |
| author_facet | Komba, Gabriel Vitus Komba, Gabriel Vitus Yilmaz Guneya, Vasileios Kallinterakisb |
| author_sort | Komba, Gabriel Vitus |
| collection | DSpace |
| description | Nil |
| format | Article |
| id | oai:41.59.85.69:123456789-1009 |
| institution | Mzumbe University |
| language | en_US |
| publishDate | 2024 |
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| spelling | oai:41.59.85.69:123456789-10092024-07-31T11:16:34Z Herding in frontier markets: Evidence from African stock exchanges Komba, Gabriel Vitus Komba, Gabriel Vitus Yilmaz Guneya, Vasileios Kallinterakisb frontier markets African stock exchanges 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 2024-07-31T11:16:31Z 2024-07-31T11:16:31Z 2016 Article APA https://scholar.mzumbe.ac.tz/handle/123456789/1009 en_US application/pdf JEL classification |
| spellingShingle | frontier markets African stock exchanges herding frontier markets asymmetric behaviour Africa Komba, Gabriel Vitus Komba, Gabriel Vitus Yilmaz Guneya, Vasileios Kallinterakisb 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 | frontier markets African stock exchanges herding frontier markets asymmetric behaviour Africa |
| url | https://scholar.mzumbe.ac.tz/handle/123456789/1009 |
| work_keys_str_mv | AT kombagabrielvitus herdinginfrontiermarketsevidencefromafricanstockexchanges AT kombagabrielvitus herdinginfrontiermarketsevidencefromafricanstockexchanges AT yilmazguneya herdinginfrontiermarketsevidencefromafricanstockexchanges AT vasileioskallinterakisb herdinginfrontiermarketsevidencefromafricanstockexchanges |