Herding behaviour in financial markets: Empirical evidence from the Johannesburg stock exchange

Kofi A. Ababio, John W.Muteba Mwamba

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

The study tests evidence of herding behaviour in the South Africa's financial industry using the conventional approaches. In addition, the study adopts the Bayesian linear regression model as an extension of the traditional approaches to estimating the empirical data on daily stock returns from January 2010 to September 2015. With the exception of the insurance sector, we found evidence of herding behaviour in the banking, general financials and real estate sectors under extremely high and low market returns using the conventional approaches only. The financial industry also exhibited the behavioural bias employing the CSAD and the Bayesian regression techniques.

Original languageEnglish
Pages (from-to)23-44
Number of pages22
JournalAfrican Finance Journal
Volume19
Issue number1
Publication statusPublished - 2017

Keywords

  • Bayesian regression
  • Behavioural finance
  • Herding behaviour
  • Johannesburg stock exchange

ASJC Scopus subject areas

  • Finance

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