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OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

Dina Gabbori, Basel Awartani, Aktham Maghyereh, Nader Virk Orcid Logo

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

Swansea University Author: Nader Virk Orcid Logo

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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...

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Published in: International Journal of Finance & Economics
ISSN: 1076-9307 1099-1158
Published: Wiley 2021
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URI: https://cronfa.swan.ac.uk/Record/cronfa58088
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first_indexed 2021-09-24T15:48:55Z
last_indexed 2021-10-23T03:25:17Z
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spelling 2021-10-22T15:53:45.9263568 v2 58088 2021-09-24 OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market 26403610d08295bd38e7947e39c457b9 0000-0001-6338-2198 Nader Virk Nader Virk true false 2021-09-24 BAF 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. Journal Article International Journal of Finance & Economics 26 1 870 888 Wiley 1076-9307 1099-1158 equity market, global financial crisis, herding, oil market volatility, OPEC meetings 1 1 2021 2021-01-01 10.1002/ijfe.1825 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2021-10-22T15:53:45.9263568 2021-09-24T16:46:58.9634803 School of Management Accounting and Finance Dina Gabbori 1 Basel Awartani 2 Aktham Maghyereh 3 Nader Virk 0000-0001-6338-2198 4 58088__21019__3d85b97286054970bf93f02e9531870e.pdf 58088.pdf 2021-09-27T16:25:18.0019837 Output 1461853 application/pdf Version of Record true © 2020 The Authors. This is an open access article under the terms of the Creative Commons Attribution Licens true eng http://creativecommons.org/licenses/by/4.0/
title OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
spellingShingle OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
Nader, Virk
title_short OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
title_full OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
title_fullStr OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
title_full_unstemmed OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
title_sort OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
author_id_str_mv 26403610d08295bd38e7947e39c457b9
author_id_fullname_str_mv 26403610d08295bd38e7947e39c457b9_***_Nader, Virk_***_0000-0001-6338-2198
author Nader, Virk
author2 Dina Gabbori
Basel Awartani
Aktham Maghyereh
Nader Virk
format Journal article
container_title International Journal of Finance & Economics
container_volume 26
container_issue 1
container_start_page 870
publishDate 2021
institution Swansea University
issn 1076-9307
1099-1158
doi_str_mv 10.1002/ijfe.1825
publisher Wiley
college_str School of Management
hierarchytype
hierarchy_top_id schoolofmanagement
hierarchy_top_title School of Management
hierarchy_parent_id schoolofmanagement
hierarchy_parent_title School of Management
department_str Accounting and Finance{{{_:::_}}}School of Management{{{_:::_}}}Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2021-01-01T04:28:42Z
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