Determinants of Herding Behavior in The Time Of COVID-19: The Case of Egyptian Stock Market Sectors

Abstract

This paper attempts to research in two parts, the first part aims to study the Herding Behavior in the sectors of the Egyptian Stock Exchange, when the second part aims to study the factors that affect the Herding Behavior according to the identification of those factors. Factors based on the presentation of previous literature related to herd behavior, and these factors are represented in the exchange rate, Stock trading volumes as an indicator of Liquidity, stock market returns, and indicators of the spread of the Corona virus represented in the number of cumulative cases and deaths according to the population in Egypt. During the period from 1/3/2020 to 31/7/2020. Sectors are five sectors of 76 companies, that have dispersion decrease (CSSD), and the sectors are (Basic Resources, Banks, Travel & Leisure, Health Care & Pharmaceuticals, Food, Beverages and Tobacco). The results of the multiple regression models for the sectors in which herd behavior appeared were as follows: - Basic resources determination coefficient (R2) (52.24%), and the variables determining herd behavior in the sector are variables (Corona virus Cumulative Cases, Cumulative Corona virus deaths).- Banks determination coefficient (R2) (66.85%), and the variables determining herd behavior in the sector are variables (Stock Market Return, Sector Trading Volumes, Corona virus Cumulative Cases, Cumulative Corona virus deaths).- Travel & Leisure determination coefficient (R2) (49.04%), and the variables determining herd behavior in the sector are variables (Stock Market Return, Exchange Rate, Sector Trading Volumes, Corona virus Cumulative Cases, Cumulative Corona virus deaths).- Health & Care Pharmaceuticals determination coefficient (R2) (41.84%), and the variables determining herd behavior in the sector are variables (Exchange Rate, Corona virus Cumulative Cases, Cumulative Corona virus deaths).- Food, Beverages and Tobacco determination coefficient (R2) (58.87%), and the variables determining herd behavior in the sector are variables (Stock Market Return, Sector Trading Volumes, Corona virus Cumulative Cases, Cumulative Corona virus deaths).