Does herding behaviour vary in bull and bear markets? Perspectives from Egypt Online publication date: Wed, 19-Oct-2016
by Ayman H. Metwally; Tarek Eldomiaty; Lina Ahmed Abdel-Wahab
International Journal of Behavioural Accounting and Finance (IJBAF), Vol. 6, No. 1, 2016
Abstract: This paper aims at examining the existence of herding behaviour in two opposite market condition: bullish and bearish. The paper extends Christie and Huang (1995) and Chang et al. (2000) methods. The sample includes daily and monthly data of Egyptian listed companies from January 2007-December 2012. The results show that: a) firms exhibit herding behaviour when the market is down; b) the Egyptian market is inefficient during bull and bear markets; c) there is asymmetric effects of trading volume and volatility on herding behaviour. The paper contributes to the literature as it shows the determinants of herding behaviour in a small market where dissemination of financial information is relatively slow and uncertainty is relatively high, thus herding differs during bull and bear movements. The paper carries practical implications in terms of detecting mispricing of stocks and market destabilisation.
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