Authors: Ayman H. Metwally; Tarek Eldomiaty; Lina Ahmed Abdel-Wahab
Addresses: Arab Academy for Science, Technology & Maritime Transport, Graduate School of Business, P.O. Box 2033, Elhorria, Alexandria, Miami, Egypt ' Misr International University, Faculty of Business Administration and International Trade, P.O. Box1 – Postal Code 11341, Cairo, Egypt ' Arab Academy for Science, Technology & Maritime Transport, Graduate School of Business, P.O. Box 2033, Elhorria, Alexandria, Miami, Egypt
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.
Keywords: herding behaviour; asymmetric herding; bull markets; bear markets; emerging markets; Egypt; market efficiency; trading volume; trading volatility; information dissemination; financial information; uncertainty; stock mispricing; market destabilisation.
International Journal of Behavioural Accounting and Finance, 2016 Vol.6 No.1, pp.26 - 53
Received: 05 Feb 2016
Accepted: 02 Jun 2016
Published online: 19 Oct 2016 *