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Herding in frontier markets: Evidence from African stock exchanges

Guney, Yilmaz; Kallinterakis, Vasileios; Komba, Gabriel


Yilmaz Guney

Vasileios Kallinterakis

Gabriel Komba


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.


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.

Journal Article Type Article
Acceptance Date Nov 3, 2016
Online Publication Date Nov 11, 2016
Publication Date 2017-03
Deposit Date Nov 16, 2016
Publicly Available Date Nov 16, 2016
Journal Journal of international financial markets, institutions and money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 47
Pages 152-175
Keywords Herding; Frontier markets; Asymmetric behaviour; Africa
Public URL
Publisher URL
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

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