IDEAS home Printed from https://ideas.repec.org/a/afj/journl/v17y2015i2p84-102.html
   My bibliography  Save this article

Short And Long-Term Dynamics Of Herd Behaviour At The Johannesburg Stock Exchange

Author

Listed:
  • Olivier Niyitegeka
  • Devi Datt Tewari

    (Regent Business School)

Abstract

This study uses the Autoregressive Distributed Lag (ARDL) approach to cointegration to examine the short- and long-term dynamics of investors’ herd behaviour at the JSE. The results from the ARDL model suggest that herding exists at the JSE. The study also noted that herd behaviour takes place with lapses in time; however the unrestricted error correction results suggest that such behaviour has a high speed of adjustment, implying that herding is a short-lived phenomenon. Since the direction of the market affects investors’ behaviour, the study also investigated the asymmetric effects of herding behaviour during rising versus falling markets. While herding behaviour was identified during a rising market, the results did not support the presence of herd behaviour in a falling market.

Suggested Citation

  • Olivier Niyitegeka & Devi Datt Tewari, 2015. "Short And Long-Term Dynamics Of Herd Behaviour At The Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, vol. 17(2), pages 84-102.
    • Handle: RePEc:afj:journl:v:17:y:2015:i:2:p:84-102
    as

    Download full text from publisher

    File URL: http://www.journals.co.za/ej/ejour_finj.html
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Herding behaviour; Behavioural finance; ARDL.;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:afj:journl:v:17:y:2015:i:2:p:84-102. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk De Doncker (email available below). General contact details of provider: https://edirc.repec.org/data/afrgrza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.