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The impact of Islamic events on herding behaviour in Saudi Arabian equities market

Gabbori, D., Virk, N., Aftab, N. and Awartani, B. (2022) The impact of Islamic events on herding behaviour in Saudi Arabian equities market. International Journal of Finance and Economics. , pp. 1-16. 1076-9307.

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Gabbori_etal_IJFE_2022_The_impact_of_Islamic_events_on_herding_behaviour_in_Saudi_Arabian_equities_market.pdf - Accepted Version
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Abstract:
Using data from Saudi Arabia, a strictly religious society, we examine how Islamic events (i.e., Ramadan, Eid-ul-Fitr, Eid-ul-Adha and Ashoura) moderate the impact of social mood (positive and negative) on herding in the stock market. We use the cross-sectional absolute deviation (CSAD) of returns and find that investors' mood during Islamic events of Eid-ul-Fitr, Eid-ul-Adha and Ashoura significantly affects herding behaviour in the market. Our results, however, contrast with existing evidence of herding in the month of Ramadan. Overall, results are robust after controlling for market conditions (i.e., domestic and US market returns, liquidity, sentiments, and oil price volatility) and crisis events (i.e., global financial crisis and Arab Spring). Though most prior research investigates the impact of individual Islamic events on stocks as seasonal anomalies, our study contributes by jointly exploring how four key Islamic events, associated with contrasting moods, induce diverse herding patterns in the Saudi stock market.
Uncontrolled Keywords:
Ashoura, Eid-ul-Adha, Eid-ul-Fitr, herding, Ramadan, social mood, Accounting, Finance, Economics and Econometrics
Creators:
Gabbori, D., Virk, N., Aftab, N. and Awartani, B.
Faculties, Divisions and Institutes:
Faculties > Faculty of Business & Law > Accounting & Finance
Date:
20 July 2022
Date Type:
Publication
Page Range:
pp. 1-16
Journal or Publication Title:
International Journal of Finance and Economics
Number of Pages:
16
Language:
English
DOI:
10.1002/ijfe.2678
ISSN:
1076-9307
Status:
Published / Disseminated
Refereed:
Yes
Related URLs:
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