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Herding in frontier markets: Evidence from African stock exchanges

Guney, Yilmaz; Kallinterakis, Vasileios; Komba, Gabriel

Authors

Vasileios Kallinterakis

Gabriel Komba



Abstract

We investigate herding in eight African frontier stock markets between January 2002 and July 2015, given the limited evidence on herding in frontier markets. Herding appears significant throughout the 2002-2015 period for all markets, with smaller stocks found to enhance its magnitude. Herding entails no clear asymmetries conditional on market performance; conversely, it appears notably asymmetric when conditioned on market volatility, as it is significant (or stronger) mainly during low volatility days, without this pattern, however, surviving when accounting for the 2007-2009 crisis. The US and South African markets motivate herding on a small number of occasions only, while the return dynamics of a regional economic initiative’s member-markets are found to induce herding in each other very rarely, thus demonstrating that investors’ behaviour in markets with low integration in the international financial system is not significantly affected by non-domestic factors.

Journal Article Type Article
Publication Date 2017-03
Journal Journal of international financial markets, institutions and money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 47
Pages 152-175
APA6 Citation Guney, Y., Kallinterakis, V., & Komba, G. (2017). Herding in frontier markets: Evidence from African stock exchanges. Journal of International Financial Markets, Institutions and Money, 47, 152-175. https://doi.org/10.1016/j.intfin.2016.11.001
DOI https://doi.org/10.1016/j.intfin.2016.11.001
Keywords Herding; Frontier markets; Asymmetric behaviour; Africa
Publisher URL http://www.sciencedirect.com/science/article/pii/S1042443116301548
Additional Information Authors' accepted manuscript of article published in: Journal of international financial markets, institutions and money, 2017, v.47.

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Copyright Statement
©2017, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/





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