Authors: Haifa Hammami; Younes Boujelbene
Addresses: Faculty of Economics and Management of Sfax, Department of Accounting and Finance, Road of Menzel Chaker Km 4.5, 3013 Sfax, Tunisia ' Faculty of Economics and Management of Sfax, Department of Applied Economics, Road of Aerodrome Km 4, 1013-3018 Sfax, Tunisia
Abstract: In this paper, we investigate herding behaviour in the Tunisian stock market. Moreover, we intend to analyse whether the herding behaviour and the economic and financial fundamentals increase the occurrence probability of stock market booms and busts. On the one hand, our results indicate that herding behaviour is more pronounced during periods of stock market boom and bust. On the other hand, our findings suggest that herding behaviour contributes to an increase in the occurrence probability of stock market booms. Furthermore, the economic and financial fundamentals play a key role in the emergence of Tunisian stock market boom-bust cycles.
Keywords: stock markets; boom and bust; boom-bust cycles; herding behaviour; economic fundamentals; financial fundamentals; ordered logit model; Tunisia; stock market booms; stock market busts; occurrence probability.
International Journal of Data Science, 2016 Vol.1 No.3, pp.259 - 275
Received: 11 Jan 2014
Accepted: 16 Jun 2014
Published online: 12 Apr 2016 *