OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market : WestminsterResearch

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Title	OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market
Type	Journal article
Authors	Gabbori, D., Awartani, B., Maghyereh, A. and Virk, N.
Abstract	We investigate the influence of oil market volatility and hand‐picked OPEC meetings data on herding tendency in the Saudi equity market. Our results show the presence of significant herding behaviour in the Saudi market; surprisingly this herding behaviour is independent of oil market volatility. Importantly, we find herding on and around the OPEC meeting days however this is only limited to a period of high global uncertainty that is, during the Global Financial Crisis period (GFC) of 2008–2010. However, when we filter out factor‐based herding in the Saudi equities, we also find persistent herding in the post GFC period. These results are consistent when we assess the impact of OPEC meetings using event windows of one to 5 days before and after the announcement. In consideration of the crucial role of OPEC in determining the oil prices, we explain our results of Saudi market herding on and around OPEC meeting days for the prior announcement ambiguity and corrections before, on and after the announcements on global supply. Our results show that this tendency has originated during the GFC, has persisted in the post‐GFC in the Saudi equities and surprisingly, is largely found absent in the periods when the Saudi equity market witnessed bullish market conditions. Our results are robust after accounting for common factor return variations in equity returns, the unconditional and conditional estimates of the volatility in oil prices and several event windows around OPEC meeting days.
Journal	International Journal of Finance & Economics
Journal citation	26 (1), pp. 870-888
ISSN	1099-1158
Year	2021
Publisher	Wiley
Publisher's version	ijfe.1825.pdf License CC BY 4.0 File Access Level Open (open metadata and files)
Digital Object Identifier (DOI)	https://doi.org/10.1002/ijfe.1825
Published	07 Jul 2020
Published in print	Jan 2021

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OPEC meetings, oil market volatility and herding behaviour in the Saudi Arabia stock market

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