Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)

 

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dc.contributor.advisor Ndlovu, Godfrey
dc.contributor.author Patel, Zubair
dc.date.accessioned 2021-09-15T16:02:55Z
dc.date.available 2021-09-15T16:02:55Z
dc.date.issued 2021_
dc.identifier.citation Patel, Z. 2021. Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE). . ,Faculty of Commerce ,School of Economics. http://hdl.handle.net/11427/33929 en_ZA
dc.identifier.uri http://hdl.handle.net/11427/33929
dc.description.abstract Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.
dc.subject Herd behaviour
dc.subject return dispersion
dc.subject JSE
dc.subject financial crisis
dc.subject investor fear
dc.subject SAVI and VIX
dc.title Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)
dc.type Master Thesis
dc.date.updated 2021-09-15T02:07:14Z
dc.language.rfc3066 eng
dc.publisher.faculty Faculty of Commerce
dc.publisher.department School of Economics
dc.type.qualificationlevel Masters
dc.type.qualificationlevel MCom
dc.identifier.apacitation Patel, Z. (2021). <i>Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)</i>. (). ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/33929 en_ZA
dc.identifier.chicagocitation Patel, Zubair. <i>"Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)."</i> ., ,Faculty of Commerce ,School of Economics, 2021. http://hdl.handle.net/11427/33929 en_ZA
dc.identifier.vancouvercitation Patel Z. Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE). []. ,Faculty of Commerce ,School of Economics, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/33929 en_ZA
dc.identifier.ris TY - Master Thesis AU - Patel, Zubair AB - Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour. DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Herd behaviour KW - return dispersion KW - JSE KW - financial crisis KW - investor fear KW - SAVI and VIX LK - https://open.uct.ac.za PY - 2021 T1 - Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE) TI - Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE) UR - http://hdl.handle.net/11427/33929 ER - en_ZA


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