Do Investors Herd in Tunisian Financial Market during Political Crisis Period?

Chouaib Hanafi, Ezzeddine Abaoub

Abstract


The paper aims to examine the presence of herding behavior in the Tunisian stock market on two periods before and during the political and social crisis that took place in 2011. Examination of the presence of herding on market is based on the Cross Sectional Absolute Deviation of returns (CSAD) and consequently on the Chang, Cheng and Khorana (2000) model and its modified version introduced by Chiang and Zheng (2010) taking into consideration the effect of market conditions (when market is down or up) on herding. The study uses the relationship between the stock price and trading volume to detect herding. The empirical results indicate the presence of herd behavior during crisis period regardless to prices and trading volume movements. However, during the pre-crisis period herding is detected only when market is up.

DOI: 10.5901/mjss.2016.v7n4p113


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Mediterranean Journal of Social Sciences ISSN 2039-9340(Print) ISSN 2039-2117(Online)

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