Description

• Title:
  SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET
• Creator:
  Abd-Alla, Mostafa Hussein
• Description:
  This study aims to investigate the existence of herding behaviour during COVID-19 crisis in the Egyptian stock market by using firm-level data and employing different testing methodologies. The study also investigates the existence of herding behaviour during COVID-19 crisis at the level of portfolios divided based on the size and the value factors. The study used the nonlinear model proposed by Chang, Cheng and Khorana (2000) and the state-space model developed by Hwang and Salmon (2004) to measure herding behaviour. The study found that the nonlinear model proposed by Chang et al. (2000) lead to results indicating evidence of herding during COVID-19 crisis. However, there was no evidence of herding behaviour during COVID-19 crisis when using the state-space model developed by Hwang and Salmon (2004). As for the level of portfolios, the study found evidence of herding during COVID-19 crisis only when using (Chang et al., 2000) methodology, at the level of the portfolio of stocks with low and high (B/M) ratio and the portfolio of big stocks only during COVID-19 crisis.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2021 Copernican Journal of Finance & Accounting
• Date:
  2021.02.27
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Copernican Journal of Finance & Accounting; Vol. 9 No. 3 (2020); 9-23;
  Copernican Journal of Finance & Accounting; Tom 9 Nr 3 (2020); 9-23;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.009/28316
• Subject:
  COVID-19 crisis;
  herding behaviour;
  non-linear model;
  state space model;
  Egyptian stock market;
  G01;
  G41
• Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.009
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text