An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market

Vasilya Sultanova; Hassan Mounir El-Sady; Hosny Hamdy

doi:doi:10.11648/j.ijefm.20231102.11

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An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market

Vasilya Sultanova, Hassan Mounir El-Sady, Hosny Hamdy

Published in International Journal of Economics, Finance and Management Sciences (Volume 11, Issue 2)

Received: 21 February 2023 Accepted: 9 March 2023 Published: 21 March 2023

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Abstract

This study investigates herd behaviour in the surplus economy of the Sultanate of Oman under Bear and Bull market conditions. The first aim of the study is to determine if the investors at Muscat Stock Market (MSM) exhibit herd behavior or not. The second aim of the study is to compare the different stochastic time-series models commonly used to test and forecast herd behavior. Finally, the study aims to determine whether herd behavior in the MSM is predominantly risk-driven as measured by Cross-Sectional Standard Deviation (CSSD) or return-driven as measured by Cross-Sectional Absolute Deviation (CSAD) of stock returns from the overall market return. Our analyses are based on daily Muscat Stock Market’s (MSM) index returns for the period starting 1st of January 2010 and ending 31^st of December 2019, the pre Covide-19 pandemic. Our findings disclose: (1) that MSM exhibits herd behavior, (2) that there are statistically significant among the different stochastic time-series models used to test and forecast herd behavior in MSM, where ARIMA (1,0,0) model exhibits the highest predictive power of herd behavior in MSM (3), that MSM’s herd behavior is driven more by CSSD than CSAD in the bearish and bullish market conditions.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 11, Issue 2)
DOI	10.11648/j.ijefm.20231102.11
Page(s)	38-43
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Herd Behaviour, Cross Section Absolute Deviation, Cross Section Standard Deviation, Muscat Stock Market, Bearish Market, Bullish Market

References

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[4]	Balcilar, M., Demirer, R., & Hammoudeh, S. (2014). What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors. The North American Journal of Economics and Finance, 29, 418-440.
[5]	Chaffai, M., & Medhioub, I. (2018). Herding behavior in Islamic GCC stock market: a daily analysis. International Journal of Islamic and Middle Eastern Finance and Management.
[6]	Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behaviour in equity markets: An international perspective. Journal of Banking & Finance, 24 (10), 1651-1679.
[7]	Chiang, T. C., Li, J., & Tan, L. (2010). Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. Global Finance Journal, 21 (1), 111-124.
[8]	Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34 (8), 1911-1921.
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[10]	Filip, A., Pochea, M., & Pece, A. (2015). The herding behaviour of investors in the CEE stocks markets. Procedia Economics and Finance, 32 (1), 307-315.
[11]	Galariotis, E. C., Krokida, S. I., & Spyrou, S. I. (2016). Herd behavior and equity market liquidity: Evidence from major markets. International Review of Financial Analysis, 48, 140-149.
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[15]	Lindhe, E. (2012). Herd behavior in stock markets: A Nordic study.
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[17]	Munkh-Ulzii, Moslehpour M., Van Kien P. (2018) Empirical Models of Herding Behaviour for Asian Countries with Confucian Culture. In: Kreinovich V., Sriboonchitta S., Chakpitak N. (eds) Predictive Econometrics and Big Data. TES 2018. Studies in Computational Intelligence, vol 753. Springer, Cham. https://doi.org/10.1007/978-3-319-70942-0_34
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APA Style

Vasilya Sultanova, Hassan Mounir El-Sady, Hosny Hamdy. (2023). An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. International Journal of Economics, Finance and Management Sciences, 11(2), 38-43. https://doi.org/10.11648/j.ijefm.20231102.11

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ACS Style

Vasilya Sultanova; Hassan Mounir El-Sady; Hosny Hamdy. An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. Int. J. Econ. Finance Manag. Sci. 2023, 11(2), 38-43. doi: 10.11648/j.ijefm.20231102.11

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AMA Style

Vasilya Sultanova, Hassan Mounir El-Sady, Hosny Hamdy. An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. Int J Econ Finance Manag Sci. 2023;11(2):38-43. doi: 10.11648/j.ijefm.20231102.11

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@article{10.11648/j.ijefm.20231102.11,
  author = {Vasilya Sultanova and Hassan Mounir El-Sady and Hosny Hamdy},
  title = {An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {11},
  number = {2},
  pages = {38-43},
  doi = {10.11648/j.ijefm.20231102.11},
  url = {https://doi.org/10.11648/j.ijefm.20231102.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20231102.11},
  abstract = {This study investigates herd behaviour in the surplus economy of the Sultanate of Oman under Bear and Bull market conditions. The first aim of the study is to determine if the investors at Muscat Stock Market (MSM) exhibit herd behavior or not. The second aim of the study is to compare the different stochastic time-series models commonly used to test and forecast herd behavior. Finally, the study aims to determine whether herd behavior in the MSM is predominantly risk-driven as measured by Cross-Sectional Standard Deviation (CSSD) or return-driven as measured by Cross-Sectional Absolute Deviation (CSAD) of stock returns from the overall market return. Our analyses are based on daily Muscat Stock Market’s (MSM) index returns for the period starting 1st of January 2010 and ending 31st of December 2019, the pre Covide-19 pandemic. Our findings disclose: (1) that MSM exhibits herd behavior, (2) that there are statistically significant among the different stochastic time-series models used to test and forecast herd behavior in MSM, where ARIMA (1,0,0) model exhibits the highest predictive power of herd behavior in MSM (3), that MSM’s herd behavior is driven more by CSSD than CSAD in the bearish and bullish market conditions.},
 year = {2023}
}

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TY  - JOUR
T1  - An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market
AU  - Vasilya Sultanova
AU  - Hassan Mounir El-Sady
AU  - Hosny Hamdy
Y1  - 2023/03/21
PY  - 2023
N1  - https://doi.org/10.11648/j.ijefm.20231102.11
DO  - 10.11648/j.ijefm.20231102.11
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 38
EP  - 43
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20231102.11
AB  - This study investigates herd behaviour in the surplus economy of the Sultanate of Oman under Bear and Bull market conditions. The first aim of the study is to determine if the investors at Muscat Stock Market (MSM) exhibit herd behavior or not. The second aim of the study is to compare the different stochastic time-series models commonly used to test and forecast herd behavior. Finally, the study aims to determine whether herd behavior in the MSM is predominantly risk-driven as measured by Cross-Sectional Standard Deviation (CSSD) or return-driven as measured by Cross-Sectional Absolute Deviation (CSAD) of stock returns from the overall market return. Our analyses are based on daily Muscat Stock Market’s (MSM) index returns for the period starting 1st of January 2010 and ending 31st of December 2019, the pre Covide-19 pandemic. Our findings disclose: (1) that MSM exhibits herd behavior, (2) that there are statistically significant among the different stochastic time-series models used to test and forecast herd behavior in MSM, where ARIMA (1,0,0) model exhibits the highest predictive power of herd behavior in MSM (3), that MSM’s herd behavior is driven more by CSSD than CSAD in the bearish and bullish market conditions.
VL  - 11
IS  - 2
ER  -

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Author Information

Vasilya Sultanova

School of Business Administration, Nile University, Giza, Egypt
Hassan Mounir El-Sady

School of Business Administration and Finance, New Giza University, Giza, Egypt
Hosny Hamdy

Faculty of Management Sciences, October University for Modern Science & Arts, Giza, Egypt

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APA Style

Vasilya Sultanova, Hassan Mounir El-Sady, Hosny Hamdy. (2023). An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. International Journal of Economics, Finance and Management Sciences, 11(2), 38-43. https://doi.org/10.11648/j.ijefm.20231102.11

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ACS Style

Vasilya Sultanova; Hassan Mounir El-Sady; Hosny Hamdy. An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. Int. J. Econ. Finance Manag. Sci. 2023, 11(2), 38-43. doi: 10.11648/j.ijefm.20231102.11

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AMA Style

Vasilya Sultanova, Hassan Mounir El-Sady, Hosny Hamdy. An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market. Int J Econ Finance Manag Sci. 2023;11(2):38-43. doi: 10.11648/j.ijefm.20231102.11

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@article{10.11648/j.ijefm.20231102.11,
  author = {Vasilya Sultanova and Hassan Mounir El-Sady and Hosny Hamdy},
  title = {An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {11},
  number = {2},
  pages = {38-43},
  doi = {10.11648/j.ijefm.20231102.11},
  url = {https://doi.org/10.11648/j.ijefm.20231102.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20231102.11},
  abstract = {This study investigates herd behaviour in the surplus economy of the Sultanate of Oman under Bear and Bull market conditions. The first aim of the study is to determine if the investors at Muscat Stock Market (MSM) exhibit herd behavior or not. The second aim of the study is to compare the different stochastic time-series models commonly used to test and forecast herd behavior. Finally, the study aims to determine whether herd behavior in the MSM is predominantly risk-driven as measured by Cross-Sectional Standard Deviation (CSSD) or return-driven as measured by Cross-Sectional Absolute Deviation (CSAD) of stock returns from the overall market return. Our analyses are based on daily Muscat Stock Market’s (MSM) index returns for the period starting 1st of January 2010 and ending 31st of December 2019, the pre Covide-19 pandemic. Our findings disclose: (1) that MSM exhibits herd behavior, (2) that there are statistically significant among the different stochastic time-series models used to test and forecast herd behavior in MSM, where ARIMA (1,0,0) model exhibits the highest predictive power of herd behavior in MSM (3), that MSM’s herd behavior is driven more by CSSD than CSAD in the bearish and bullish market conditions.},
 year = {2023}
}

Copy | Download

TY  - JOUR
T1  - An Empirical Investigation of Herd Behaviour in Surplus Economy: Evidences from Muscat Stock Market
AU  - Vasilya Sultanova
AU  - Hassan Mounir El-Sady
AU  - Hosny Hamdy
Y1  - 2023/03/21
PY  - 2023
N1  - https://doi.org/10.11648/j.ijefm.20231102.11
DO  - 10.11648/j.ijefm.20231102.11
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 38
EP  - 43
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20231102.11
AB  - This study investigates herd behaviour in the surplus economy of the Sultanate of Oman under Bear and Bull market conditions. The first aim of the study is to determine if the investors at Muscat Stock Market (MSM) exhibit herd behavior or not. The second aim of the study is to compare the different stochastic time-series models commonly used to test and forecast herd behavior. Finally, the study aims to determine whether herd behavior in the MSM is predominantly risk-driven as measured by Cross-Sectional Standard Deviation (CSSD) or return-driven as measured by Cross-Sectional Absolute Deviation (CSAD) of stock returns from the overall market return. Our analyses are based on daily Muscat Stock Market’s (MSM) index returns for the period starting 1st of January 2010 and ending 31st of December 2019, the pre Covide-19 pandemic. Our findings disclose: (1) that MSM exhibits herd behavior, (2) that there are statistically significant among the different stochastic time-series models used to test and forecast herd behavior in MSM, where ARIMA (1,0,0) model exhibits the highest predictive power of herd behavior in MSM (3), that MSM’s herd behavior is driven more by CSSD than CSAD in the bearish and bullish market conditions.
VL  - 11
IS  - 2
ER  -

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