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Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market

Author

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  • Imed Medhioub

    (Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Muhammad Ibn Saud Islamic University)

  • Mustapha Chaffai

    (Department of Management, High Business School, Sfax University)

Abstract

This study examines herding behavior in four sectors of the Gulf Islamic stock markets. Based on the methodology of Chiang and Zheng (2010) and using daily prices for the GCC Islamic sectors from September 2013 to October 2018, results showed evidence of herding among investors in banking, insurance, hotels, restaurants, and foods sectors for the GCC Islamic stock market during the falling period when we consider a quantile regression analysis. In addition, we found that conventional return dispersions have a dominant influence on the Islamic GCC stock market during both falling and rising market periods in all sectors. We also found evidence of herd around the conventional sectors during down market period only in banking, hotel, restaurant, and food sectors. There is evidence of herd around the conventional sector during up market period for insurance and industrial sectors.

Suggested Citation

  • Imed Medhioub & Mustapha Chaffai, 2019. "Islamic finance and herding behavior theory: a sectoral analysis for Gulf Islamic stock market," Working Papers 1324, Economic Research Forum, revised 21 Aug 2019.
    • Handle: RePEc:erg:wpaper:1324
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    Cited by:

    1. Turki Rashed Alshammari & Jean-Noël Ory, 2023. "The Impact of Religious Announcements on Stock Prices and Investment Decisions on the Saudi Stock Exchange," Post-Print hal-04105704, HAL.
    2. Imed Medhioub & Mustapha Chaffai, 2021. "Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 43-50, February.
    3. Vijay Kumar Shrotryia & Himanshi Kalra, 2021. "Analysis of Sectoral Herding through Quantile Regression: A Study of S&P BSE 500 Stocks," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 20(1), pages 1-16, June.
    4. Viacheslav M. Shavshukov & Natalia A. Zhuravleva, 2020. "Global Economy: New Risks and Leadership Problems," IJFS, MDPI, vol. 8(1), pages 1-17, February.

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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