Title: Herding behaviours and trading volume: evidence from Amman Stock Exchange

Authors: Buthiena Kharabsheh; Mohammad Al-Gharaibeh; Suleiman Almasri

Addresses: Department of Banking and Finance, Faculty of Economics and Administrative Sciences, Yarmouk University, Shafiq Irshidat St' Irbid, Jordan ' Department of Banking and Finance, Faculty of Economics and Administrative Sciences, Yarmouk University, Shafiq Irshidat St' Irbid, Jordan '

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.

Keywords: herding; behaviour al finance; trading volume; liquidity; Jordan; financial crisis; Granger causality tests; Amman Stock Exchange; ASE; free float index.

DOI: 10.1504/AAJFA.2022.124253

Afro-Asian Journal of Finance and Accounting, 2022 Vol.12 No.3, pp.345 - 365

Received: 21 Aug 2018
Accepted: 02 May 2019
Published online: 20 Jul 2022 *

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