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Title:	Herding behaviour in Malaysian stock market, the determinants and market conditions insights
Authors:	Abdollah Ah Mand (P66716)
Supervisor:	Ruzita Abdul Rahim, Assoc. Prof. Dr.
Keywords:	Stocks -- Malaysia
Issue Date:	7-Oct-2018
Description:	This study examines the herd behaviour among investors in the Malaysian stock market concerning three different perspectives namely; the existence of herding behaviour, herding behaviour and market conditions (when the market is up and down) and the determinants of herding behaviour for the study period of 1995 to 2016 by using daily data. Also, this study considers the unique duality system of Malaysian financial market by examining herd behaviour of the Shariah-compliant, conventional stocks and the whole market of Malaysia. Due to the mixed findings of the models used to test for herd behavior, this study analyzes herd behavior of investors by using two models, the cross-sectional standard deviation of returns (CSSD) model developed by Christie and Huang (Christie & Huang, 1995) (CH) and the cross-sectional absolute dispersion (CSAD) model developed by Chang, Cheng and Khorana, 2000 (CCK) (Chang et al. 2000) simultaneously. Results on the existence of herd behaviours reveal inconsistent findings for both models; nonexistence of herding behaviour among investors using CH and existence of herding behaviour using CCK. However, by using CCK model, herd behaviour exists only during the lower tail of the return distribution for all of the three samples of study. Investigation of market conditions (up and down market) with herding behaviour is carried out to better understand the behaviour of investors during the bullish and bear markets for the period of study. In this regards, the model presented by CCK is employed with different econometric analytical techniques. The findings reveal that herding behaviour of investors among Shariah-compliant exist when the market is up for the second degree of absolute market return which shows a non-linear relationship between herding behaviour and market return. On the other hand, the existence of herding behaviour is detected when the market is down for the market return and hence shows the linear relationship between herding behaviour and market return for Shariah-compliant. While for the conventional stocks herding behaviour exist with linear relationship during down market only. For the whole market, non-linear herding behaviour only exists during the bearish market, and for the bull market, the herding behaviour has a linear relationship with market return. Finally, the determinants of herding behaviour among Malaysian investors are examined by using three different market elements which are; market return, trading volume and market volatility. A modified version of the methodology of Hachicha (2010) by using multiple regression analysis is employed to capture the determinants of herding behaviour, and the result reveals that market trading volume is an important determinant of herding behavior for Shariah-compliant, conventional stocks and the whole sample of market in Malaysia. The results of this study are robust with respect to the effect of Asian and global financial crisis. The results of this study support previous studies on the existence of herding behavior for emerging markets also on the inconsistencies of the results using both models, however, the relationship of herding behavior of investors and market return for Islamic stocks are not linear. Finally, on the determinants of herding behavior of investors, the results from this study support previous findings on the influence of trading volume on the herding behavior of investors. Given the mixed results for different models of herding behavior of investors, therefore more than one model should be used in the analysis on herd behavior. The result for the up and down market condition and non-linear relationship analysis of herding behavior help investors to identify which market conditions are associated with rational and irrational behavior of investors, thus considering different market situations is very relevant.,��Certification of Master's/Doctoral Thesis�� is not available,Ph.D.
Pages:	190
Call Number:	HG5750.6.A3M343 2018 tesis
Publisher:	UKM, Bangi
Appears in Collections:	Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan

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