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Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market

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  • Imed Medhioub

    (Imam Muhammad Ibn Saud Islamic University (IMSIU)
    University of Sfax)

  • Mustapha Chaffai

    (University of Sfax)

Abstract

This paper investigates the impact of oil price changes on herding behaviour in the Gulf Cooperation Council (GCC) stock market. For this purpose, a sectoral analysis was employed. Based on a combination of the methodologies of Ulussever and Demirer (Cent Bank Rev 17:77–89, 2017) and Medhioub and Chaffai (Int J Financ Stud 7(65):1–11, 2019) and using daily prices for the five GCC sectors from 6 July 2014 to 31 December 2019, the results showed that the impact of changes in oil price movements on herding behaviour differs among sectors and subperiods. Further, we discovered that some sectors herd around the oil price returns during falling and that oil return dispersions have a dominant influence on some sectors during downward and/or upward periods.

Suggested Citation

  • Imed Medhioub & Mustapha Chaffai, 2021. "Herding behaviour theory and oil price dispersion: a sectoral analysis of the Gulf Cooperation Council stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 43-50, February.
    • Handle: RePEc:pal:assmgt:v:22:y:2021:i:1:d:10.1057_s41260-020-00197-8
    DOI: 10.1057/s41260-020-00197-8
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    1. Saadaoui Mallek, Ray & Albaity, Mohamed & Molyneux, Philip, 2022. "Herding behaviour heterogeneity under economic and political risks: Evidence from GCC," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 345-361.

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    More about this item

    Keywords

    GCC stock market; GARCH model; Quantile regression; Herding behaviour; GCC countries; Oil price; Sectoral analysis;
    All these keywords.

    JEL classification:

    • 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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