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Herding Behaviour in Financial Markets: Empirical Evidence from the Johannesburg Stock Exchange

Author

Listed:
  • Kofi A. Ababio
  • John W. Muteba Mwamba

    (University of Johannesburg)

Abstract

The study tests evidence of herding behaviour in the South Africa’s financial industry using the conventional approaches. In addition, the study adopts the Bayesian linear regression model as an extension of the traditional approaches to estimating the empirical data on daily stock returns from January 2010 to September 2015. With the exception of the insurance sector, we found evidence of herding behaviour in the banking, general financials and real estate sectors under extremely high and low market returns using the conventional approaches only. The financial industry also exhibited the behavioural bias employing the CSAD and the Bayesian regression techniques.

Suggested Citation

  • Kofi A. Ababio & John W. Muteba Mwamba, 2017. "Herding Behaviour in Financial Markets: Empirical Evidence from the Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, vol. 19(1), pages 23-44.
    • Handle: RePEc:afj:journl:v:19:y:2017:i:1:p:23-44
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    Cited by:

    1. Esin Cakan & Riza Demirer & Rangan Gupta & Josine Uwilingiye, 2019. "Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 88-113, March.

    More about this item

    Keywords

    Behavioural finance; herding behaviour; Johannesburg Stock Exchange; Bayesian regression.;
    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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