Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market

Imed Medhioub, Mustapha Chaffai

Research output: Contribution to journalJournal articlepeer-review

Abstract

This paper investigates the impact of oil price changes on herding behaviour in the Gulf Cooperation Council (GCC) stock market. For this purpose, a sectoral analysis was employed. Based on a combination of the methodologies of Ulussever and Demirer (Cent Bank Rev 17:77–89, 2017) and Medhioub and Chaffai (Int J Financ Stud 7(65):1–11, 2019) and using daily prices for the five GCC sectors from 6 July 2014 to 31 December 2019, the results showed that the impact of changes in oil price movements on herding behaviour differs among sectors and subperiods. Further, we discovered that some sectors herd around the oil price returns during falling and that oil return dispersions have a dominant influence on some sectors during downward and/or upward periods.

Original languageEnglish
Pages (from-to)43-50
Number of pages8
JournalJournal of Asset Management
Volume22
Issue number1
DOIs
StatePublished - Feb 2021

Keywords

  • GARCH model
  • GCC countries
  • GCC stock market
  • Herding behaviour
  • Oil price
  • Quantile regression
  • Sectoral analysis

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