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

    Gabbori, D, Virk, N ORCID logoORCID: https://orcid.org/0000-0001-6338-2198, Aftab, N and Awartani, B (2024) The impact of Islamic events on herding behaviour in Saudi Arabian equities market. International Journal of Finance and Economics, 29 (1). pp. 119-134. ISSN 1076-9307

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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.

    Item Type: Article (Article)
    Peer-reviewed: Yes
    Date Deposited: 30 Nov 2023 10:50
    Publisher: Wiley
    Additional Information: This is the peer reviewed version of the following article: Gabbori, D., Virk, N., Aftab, N., & Awartani, B. (2022). The impact of Islamic events on herding behaviour in Saudi Arabian equities market. International Journal of Finance & Economics, 1–16, which has been published in final form at https://doi.org/10.1002/ijfe.2678. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
    Divisions: Faculties > Business and Law
    Subject terms: 1502 Banking, Finance and Investment, Economics
    Data Access Statement: In reference to the \Expects data" policy of the journal, I note that the datasets used in the work are from licensed data portal, that is, DataStream that restricts us from sharing data. In this case sharing data will compromise legal requirements and thus cannot be shared. Nonetheless, appropriate acknowledgements are provided in the data sections to know from where to source the same datasets. However, the data that support the findings of this study are available from the DataStream - a licensed third-party database. Restrictions apply to the availability of these data, which were used under license for this study. Data are available from the DataStream.
    URI: https://e-space.mmu.ac.uk/id/eprint/633399
    DOI: https://doi.org/10.1002/ijfe.2678
    ISSN 1076-9307
    e-ISSN 1099-1158

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