International Transaction Journal of Engineering,
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:: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies

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ISSN 2228-9860
eISSN 1906-9642
CODEN: ITJEA8


FEATURE PEER-REVIEWED ARTICLE

Vol.11(9) (2020)

  • HERDING BEHAVIOUR IN EMERGING MARKET: EVIDENCE FROM PAKISTAN STOCK EXCHANGE

    Rida Imran, Amir Rafique, Faheem Aslam (Department of Management Sciences, COMSATS University Islamabad, PAKISTAN ).

    Disciplinary: Management Sciences (Financial Management).

    (Backup file)

    DOI: 10.14456/ITJEMAST.2020.181

    Keywords: Stock returns; Fundamental factors; Non-fundamental factors; Financial momentum; Cross sectional absolute dispersion CSAD, Non-financial firms.

    Abstract
    To measure the extent of fundamental and non-fundamental herding behaviour in Pakistan stock exchange for the period 2012-2017, this study takes into account the relationship between stock returns, crude oil prices and multifactor asset pricing model such as size (SMB), value (HML) and momentum (MOM) using cross sectional absolute dispersion (CSAD) of return for 67 non-financial firms. The study finds that there is evidence of non-fundamental herding and herding during political turbulence, but investors do not herd during downward moment of oil prices.

    Paper ID: 11A9S



Other issues:
Vol.11(11)(2020)
Vol.11(10)(2020)
Vol.11(8)(2020)
Vol.11(7)(2020)
Vol.11(6)(2020)
Vol.11(5)(2020)
Vol.11(4)(2020)
Vol.11(3)(2020)
Vol.11(2)(2020)
Vol.11(1)(2020)
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