Does speculation in the oil market drive investor herding in net exporting nations?
Download full text from publisher
References listed on IDEAS
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992.
"The impact of institutional trading on stock prices,"
Journal of Financial Economics,
Elsevier, vol. 32(1), pages 23-43, August.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Scholarly Articles 27692662, Harvard University Department of Economics.
- Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015.
"Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries,"
Elsevier, vol. 49(C), pages 132-140.
- Riza Demirer & Shrikant P. Jategaonka & Ahmed Khalifa, 2014. "Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries," Working Papers 858, Economic Research Forum, revised Nov 2014.
- repec:hrv:faseco:33077905 is not listed on IDEAS
- Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
- Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
- Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
- Sushil Bikhchandani & Sunil Sharma, 2001. "Herd Behavior in Financial Markets," IMF Staff Papers, Palgrave Macmillan, vol. 47(3), pages 1-1.
- Hirose, Takehide & Kato, Hideaki Kiyoshi & Bremer, Marc, 2009. "Can margin traders predict future stock returns in Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 41-57, January.
- El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
- Richard W. Sias, 2004. "Institutional Herding," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 165-206.
- Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
- Pierdzioch, Christian & Rülke, Jan Christoph & Stadtmann, Georg, 2010.
"New evidence of anti-herding of oil-price forecasters,"
Elsevier, vol. 32(6), pages 1456-1459, November.
- Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2010. "New Evidence of Anti-Herding of Oil-Price Forecasters," WHU Working Paper Series - Economics Group 10-04, WHU - Otto Beisheim School of Management.
- Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
- Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2012. "Does herding affect volatility? Implications for the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 311-327, July.
- Elie Bouri & Riza Demirer, 2016. "On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(1), pages 63-82, April.
- Devenow, Andrea & Welch, Ivo, 1996. "Rational herding in financial economics," European Economic Review, Elsevier, vol. 40(3-5), pages 603-615, April.
- Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 797-817.
- Vassilios Babalos & Stavros Stavroyiannis, 2015. "Herding, anti-herding behaviour in metal commodities futures: a novel portfolio-based approach," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4952-4966, October.
- Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid, 2014. "Oil price risk exposure: The case of the U.S. Travel and Leisure Industry," Energy Economics, Elsevier, vol. 41(C), pages 117-124.
- Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2013. "Investor herds and regime-switching: Evidence from Gulf Arab stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 295-321.
- Froot, Kenneth A & Scharftstein, David S & Stein, Jeremy C, 1992.
" Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation,"
Journal of Finance,
American Finance Association, vol. 47(4), pages 1461-1484, September.
- Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1990. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," NBER Working Papers 3250, National Bureau of Economic Research, Inc.
- Lin, Anchor Y. & Swanson, Peggy E., 2008. "Foreigners' perceptions of U.S. markets: Do foreigners exhibit herding tendencies?," Journal of Economics and Business, Elsevier, vol. 60(3), pages 179-203.
- Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015. "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 46-60.
- Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 123-142, April.
- John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December.
- Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter, 2009. "Do German security analysts herd?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 3-29, March.
- Choi, Nicole & Sias, Richard W., 2009. "Institutional industry herding," Journal of Financial Economics, Elsevier, vol. 94(3), pages 469-491, December.
- Demirer, Riza & Kutan, Ali M. & Chen, Chun-Da, 2010. "Do investors herd in emerging stock markets?: Evidence from the Taiwanese market," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 283-295, November.
- Chan, Leo H. & Nguyen, Chi M. & Chan, Kam C., 2015. "A new approach to measure speculation in the oil futures market and some policy implications," Energy Policy, Elsevier, vol. 86(C), pages 133-141.
- Celiker, Umut & Chowdhury, Jaideep & Sonaer, Gokhan, 2015. "Do mutual funds herd in industries?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 1-16.
- Teraji, Shinji, 2003. "Herd behavior and the quality of opinions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 32(6), pages 661-673, December.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
More about this item
KeywordsHerd behavior; Equity return dispersion; Crude Oil; Speculative ratio; Markov switching.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-04-09 (All new papers)
- NEP-ALL-2016-04-16 (All new papers)
- NEP-ARA-2016-04-09 (MENA - Middle East & North Africa)
- NEP-ENE-2016-04-09 (Energy Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:emu:wpaper:15-29.pdf. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mehmet Balcilar). General contact details of provider: http://edirc.repec.org/data/deemuty.html .