Ramadan effect on sectoral herding

• Autor(a) principal: Elshqirat, Mohammad Kamel
• Data de Publicação: 2020
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Independent Journal of Management & Production
• Texto Completo: http://www.ijmp.jor.br/index.php/ijmp/article/view/1146
• topic: Amman stock exchange; behavioral finance; herding; sectoral herding; Ramadan effect

One variable that affects stocks prices in the financial markets is herding behavior. As the level of herding is not constant over time, its level may be different during some events. Herding may increase during religious events like Ramadan in the Muslim world causing volatility to increase and leading to unexplained stock prices. The purpose of this study was to test the effect of Ramadan on herding presence at market and sector levels. The study was based on the behavioral finance theory which considers mood and behavior of investors as variables that may affect the prices of stocks. The enquiry that the researcher tried to answer was whether the presence of herding in the market and sectors is affected by Ramadan. To achieve the study purpose, a quantitative study was conducted using daily data from Amman stock exchange for the period from 2000 to 2018. Collected data were analyzed using ordinary least squares (OLS) method. The Results of market-level analysis showed that market investors do not herd during and out of Ramadan. At sector-level, however, herding is absent during Ramadan and exists out of it in services and industrial sectors while it's absent in both times in the financial sector.