Herding behaviours and trading volume: evidence from Amman Stock Exchange Online publication date: Wed, 20-Jul-2022
by Buthiena Kharabsheh; Mohammad Al-Gharaibeh; Suleiman Almasri
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 12, No. 3, 2022
Abstract: The purpose of this paper is to examine the presence of herding behaviour in Amman Stock Exchange (ASE). Specifically, it aims to provide empirical evidence on the relationship between herding behaviour, trading volume and market liquidity levels. Using a free float share index consisting of 100 companies, the present study employs the approach developed by Chang et al. (2000). It presents an analysis of herding in relation to trading volume and liquidity relationships performed by OLS, VAR estimation and Granger causality tests. Results of daily data analysis for the period 2006 to 2017 indicate strong evidence of herding behaviour in ASE, particularly during the crisis period. The results also proved that there is a strong correlation between herding and trading volume in both directions, and intensification of herding in periods of medium or high market liquidity, but no evidence of herding at low liquidity levels.
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