Herding behaviour and sentiment: evidence from emerging markets

IF 3.8 Q2 BUSINESS

EuroMed Journal of Business Pub Date : 2024-02-14 DOI:10.1108/emjb-08-2023-0209

Dorra Messaoud, Anis Ben Amar

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引用次数: 0

Abstract

Purpose

Based on the theoretical framework, this paper analyzes the sentiment-herding relationship in emerging stock markets (ESMs). First, it aims to examine the effect of investor sentiment on herding. Second, it seeks the direction of causality between sentiment and herding time series.

Design/methodology/approach

The present study applies the Exponential Generalized Auto_Regressive Conditional Heteroskedasticity (EGARCH) model to capture the volatility clustering of herding on the financial market and to investigate the role of the investor sentiment on herding behaviour. Then the vector autoregression (VAR) estimation uses the Granger causality test to determine the direction of causality between the investor sentiment and herding. This study uses a sample consisting of stocks listed on the Shanghai Composite index (SSE) (348 stocks), the Jakarta composite index (JKSE) (118 stocks), the Mexico IPC index (14 stocks), the Russian Trading System index (RTS) (12 stocks), the Warsaw stock exchange General index (WGI) (106 stocks) and the FTSE/JSE Africa all-share index (76 stocks). The sample includes 5,020 daily observations from February 1, 2002, to March 31, 2021.

Findings

The research findings show that the sentiment has a significant negative impact on the herding behaviour pointing out that the higher the investor sentiment, the lower the herding. However, the results of the present study indicate that a higher investor sentiment conducts a higher herding behaviour during market downturns. Then the outcomes suggest that during the crisis period, the direction is one-way, from the investor sentiment to the herding behaviour.

Practical implications

The findings may have implications for universal policies of financial regulators in EMs. We have found evidence that the Emerging investor sentiment contributes to the investor herding behaviour. Therefore, the irrational investor herding behaviour can increase the stock market volatility, and in extreme cases, it may lead to bubbles and crashes. Market regulators could implement mechanisms that can supervise the investor sentiment and predict the investor herding behaviour, so they make policies helping stabilise stock markets.

Originality/value

The originality of this paper lies in investigate the sentiment-herding relationship during the Surprime crisis and the Covid-19 epidemic in the EMs.

查看原文本刊更多论文

羊群行为和情绪：新兴市场的证据

目的本文基于理论框架，分析了新兴股票市场（ESMs）中的情绪-羊群效应关系。首先，本文旨在研究投资者情绪对羊群效应的影响。本研究采用指数广义自回归条件异方差（EGARCH）模型来捕捉金融市场上羊群行为的波动集群，并研究投资者情绪对羊群行为的作用。然后，利用格兰杰因果检验对向量自回归（VAR）进行估计，以确定投资者情绪与羊群行为之间的因果关系方向。本研究使用的样本包括上海综合指数（SSE）（348 只股票）、雅加达综合指数（JKSE）（118 只股票）、墨西哥 IPC 指数（14 只股票）、俄罗斯交易系统指数（RTS）（12 只股票）、华沙证券交易所综合指数（WGI）（106 只股票）和富时/JSE 非洲全股指数（76 只股票）。样本包括从 2002 年 2 月 1 日至 2021 年 3 月 31 日的 5,020 个每日观测值。研究结果研究结果表明，情绪对羊群行为有显著的负面影响，指出投资者情绪越高，羊群行为越低。然而，本研究结果表明，在市场低迷时期，投资者情绪越高，羊群行为越严重。研究结果表明，在危机期间，从投资者情绪到羊群行为是单向的。我们发现有证据表明，新兴投资者情绪助长了投资者羊群行为。因此，非理性的投资者羊群行为会加剧股市波动，在极端情况下，可能会导致泡沫和崩盘。市场监管机构可以实施能够监督投资者情绪和预测投资者羊群行为的机制，从而制定有助于稳定股市的政策。原创性/价值本文的原创性在于研究了新兴市场次贷危机和 Covid-19 流行期间的情绪-羊群关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

EuroMed Journal of Business BUSINESS-

CiteScore

9.80

自引率

19.20%

发文量

期刊介绍： The EuroMed Journal of Business (EMJB) is the premier publication facilitating dialogue among researchers from Europe and the Mediterranean. It plays a vital role in generating and disseminating knowledge about various business environments and trends in this region. By offering an up-to-date overview of emerging business practices in specific countries, EMJB serves as a valuable resource for its readers. As the official journal of the EuroMed Academy of Business, EMJB is committed to reflecting the economic growth seen in the European-Mediterranean region. It aims to be a focused and targeted business journal, highlighting environmental opportunities, threats, and marketplace developments in the area. Through its efforts, EMJB promotes collaboration and open dialogue among diverse research cultures and practices. EMJB serves as a platform for debating and disseminating research findings, new research areas and techniques, conceptual developments, and practical applications across various business segments. It seeks to provide a forum for discussing new ideas in business, including theory, practice, and the issues that arise within the field.