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Herding behavior in the Egyptian stock market
This paper tests for the existence of herding behavior in the Egyptian stock market using daily and monthly data of listed companies on the Egyptian stock Exchange. We follow the methodology of Christie and Huang (1995) and Chang, Cheng, and Khorana (2000) to test for the presence of herding behavio...
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| Format: | Thesis |
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AUC Knowledge Fountain
2014
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| _version_ | 1867613417189146624 |
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| access_status_str | Open Access |
| author | Allam, Noha |
| author_browse | Allam, Noha |
| author_facet | Allam, Noha |
| author_sort | Allam, Noha |
| collection | Thesis |
| dc_rights_str_mv | The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. |
| description | This paper tests for the existence of herding behavior in the Egyptian stock market using daily and monthly data of listed companies on the Egyptian stock Exchange. We follow the methodology of Christie and Huang (1995) and Chang, Cheng, and Khorana (2000) to test for the presence of herding behavior in general, during up and down times (times of stress in the market), and during bearish and bullish market phases. We also split the sample into pre-revolution and post-revolution periods to test the effect of 25th January, 2011 revolution on herding behavior in the market. We found that: first, the Egyptian stock market exhibits herding behavior in general and weak adverse herding in stressful conditions; second, prolonged effects of adverse herding exist in up markets only and herding behavior is a short-lived phenomenon; third, no evidence of herding behavior during bull and bear markets was noticed; fourth, during the pre-revolution period, in pre-post revolution analysis, herding existed in the Egyptian stock market in general and weak adverse herding existed during times of market stress as well as during bullish market phases, however no evidence of herding behavior during bearish market phases was observed; fifth, interestingly, during post-revolution period, adverse herding exists in all market states; stressful conditions, in general, and during bullish and bearish phases; and finally, after modifying the model for multicollinearity and autocorrelation, no evidence of herding behavior in the Egyptian stock market in general for all tested periods was recorded. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2259 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:48.888Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-2259 Herding behavior in the Egyptian stock market Allam, Noha This paper tests for the existence of herding behavior in the Egyptian stock market using daily and monthly data of listed companies on the Egyptian stock Exchange. We follow the methodology of Christie and Huang (1995) and Chang, Cheng, and Khorana (2000) to test for the presence of herding behavior in general, during up and down times (times of stress in the market), and during bearish and bullish market phases. We also split the sample into pre-revolution and post-revolution periods to test the effect of 25th January, 2011 revolution on herding behavior in the market. We found that: first, the Egyptian stock market exhibits herding behavior in general and weak adverse herding in stressful conditions; second, prolonged effects of adverse herding exist in up markets only and herding behavior is a short-lived phenomenon; third, no evidence of herding behavior during bull and bear markets was noticed; fourth, during the pre-revolution period, in pre-post revolution analysis, herding existed in the Egyptian stock market in general and weak adverse herding existed during times of market stress as well as during bullish market phases, however no evidence of herding behavior during bearish market phases was observed; fifth, interestingly, during post-revolution period, adverse herding exists in all market states; stressful conditions, in general, and during bullish and bearish phases; and finally, after modifying the model for multicollinearity and autocorrelation, no evidence of herding behavior in the Egyptian stock market in general for all tested periods was recorded. 2014-06-01T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1260 https://fount.aucegypt.edu/context/etds/article/2259/viewcontent/auto_convert.pdf The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy. Theses and Dissertations AUC Knowledge Fountain Herding behavior in animals Egypt |
| spellingShingle | Herding behavior in animals Egypt Allam, Noha Herding behavior in the Egyptian stock market |
| title | Herding behavior in the Egyptian stock market |
| title_full | Herding behavior in the Egyptian stock market |
| title_fullStr | Herding behavior in the Egyptian stock market |
| title_full_unstemmed | Herding behavior in the Egyptian stock market |
| title_short | Herding behavior in the Egyptian stock market |
| title_sort | herding behavior in the egyptian stock market |
| topic | Herding behavior in animals Egypt |
| url | https://fount.aucegypt.edu/etds/1260 https://fount.aucegypt.edu/context/etds/article/2259/viewcontent/auto_convert.pdf |
| work_keys_str_mv | AT allamnoha herdingbehaviorintheegyptianstockmarket |