No Cover Image

Journal article 28 views 6 downloads

OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market / Dina Gabbori, Basel Awartani, Aktham Maghyereh, Nader Virk

International Journal of Finance & Economics, Volume: 26, Issue: 1, Pages: 870 - 888

Swansea University Author: Nader Virk

  • 58088.pdf

    PDF | Version of Record

    © 2020 The Authors. This is an open access article under the terms of the Creative Commons Attribution Licens

    Download (1.39MB)

Check full text

DOI (Published version): 10.1002/ijfe.1825

Abstract

We investigate the influence of oil market volatility and hand-picked OPEC meetings data on herding tendency in the Saudi equity market. Our results show the presence of significant herding behaviour in the Saudi market; surprisingly this herding behaviour is independent of oil market volatility. Im...

Full description

Published in: International Journal of Finance & Economics
ISSN: 1076-9307 1099-1158
Published: Wiley 2021
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa58088
Tags: Add Tag
No Tags, Be the first to tag this record!
Abstract: We investigate the influence of oil market volatility and hand-picked OPEC meetings data on herding tendency in the Saudi equity market. Our results show the presence of significant herding behaviour in the Saudi market; surprisingly this herding behaviour is independent of oil market volatility. Importantly, we find herding on and around the OPEC meeting days however this is only limited to a period of high global uncertainty that is, during the Global Financial Crisis period (GFC) of 2008–2010. However, when we filter out factor-based herding in the Saudi equities, we also find persistent herding in the post GFC period. These results are consistent when we assess the impact of OPEC meetings using event windows of one to 5 days before and after the announcement. In consideration of the crucial role of OPEC in determining the oil prices, we explain our results of Saudi market herding on and around OPEC meeting days for the prior announcement ambiguity and corrections before, on and after the announcements on global supply. Our results show that this tendency has originated during the GFC, has persisted in the post-GFC in the Saudi equities and surprisingly, is largely found absent in the periods when the Saudi equity market witnessed bullish market conditions. Our results are robust after accounting for common factor return variations in equity returns, the unconditional and conditional estimates of the volatility in oil prices and several event windows around OPEC meeting days.
Keywords: equity market, global financial crisis, herding, oil market volatility, OPEC meetings
College: School of Management
Issue: 1
Start Page: 870
End Page: 888