Herding Behavior in the Stock Market: An Empirical Analysis of the Egyptian Exchange
AbstractThis paper examines herding behavior in the Egyptian stock market using the CH model developed by Christie and Huang (1995) and the CCK model developed by Chang et al. (2000). We use daily returns data of the 20 most traded stocks in the Egyptian Exchange in addition to the daily returns of the market index EGX 100 during a period of five years from January 2006 till December 2010. The paper is an attempt towards thorough examination of herding behavior in the Middle East and Africa region which has been investigated only as an entire region and not disaggregated into the specific countries. The results show that there is no herding present in the Egyptian stock market.
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Bibliographic InfoPaper provided by The German University in Cairo, Faculty of Management Technology in its series Working Papers with number 37.
Length: 17 pages
Date of creation: Jan 2014
Date of revision:
Herd behavior; Egyptian stock market; behavioral finance;
Find related papers by JEL classification:
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-24 (All new papers)
- NEP-ARA-2014-01-24 (MENA - Middle East & North Africa)
- NEP-FMK-2014-01-24 (Financial Markets)
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