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Herding behaviours and trading volume: evidence from Amman Stock Exchange

Author

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  • Buthiena Kharabsheh
  • Mohammad Al-Gharaibeh

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.

Suggested Citation

  • Buthiena Kharabsheh & Mohammad Al-Gharaibeh, 2022. "Herding behaviours and trading volume: evidence from Amman Stock Exchange," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 12(3), pages 345-365.
    • Handle: RePEc:ids:afasfa:v:12:y:2022:i:3:p:345-365
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