Investors’ herd behavior related to the pandemic-risk reflected on the GCC stock markets

Svrha ove studije je ispitati uzročno-posljedičnu povezanost između očekivanja u svezi pandemijskog rizika i masovne reakcije ponašanja prema zakonu stada. Studija je provedena u dvije faze. Prvo, smatralo se potrebnim dobiti široki pregled učinka rizika od pandemije COVID-19 na masovnu reakciju investitora u ponašanju po zakonu stada u zemljama arapskog zaljeva. To je postignuto analizom sekundarnih podataka (povijesne dnevne cijene na tržištu pet zemalja arapskog zaljeva). Analizirajući sekundarne podatke, studija slijedi Christie i Huang (1995) i koristi presijek standardne devijacije (CSSD) prinosa kako bi otkrila fenomen “stada” u ponašanju ulagača. Drugo, u pokušaju da se dobije preciznije razumijevanje utjecaja rizika povezanog s pandemijom, distribuirano je anketno istraživanje koje je prikupljeno od 318 ulagača s tržišta dionica zemalja arapskog zaljeva. Konfirmativna faktorska analiza (CFA) koristi se također kao primarna analiza između dvije varijable: tj. očekivanja od pandemijskog rizika i ponašanje stada. Rezultati potvrđuju da očekivanja od pandemijskog rizika imaju značajan pozitivan utjecaj na ponašanje stada na tržištima dionica zemalja arapskog zaljeva tijekom krize s koronavirusom u prvom tromjesečju 2020. Napokon, rezultati ove studije robusni su nizu specifikacija modela.The purpose of this study is to examine the causal association between expectations of pandemic risk and herding behavior. The study was undertaken in two stages. First, it was felt necessary to obtain a broad overview of the effect of the pandemic related risk of COVID-19 on investors’ herding in the GCC. This was achieved by analyzing secondary data (i.e. daily historic prices on five GCC country market indices). In analyzing the secondary data, the study follows Christie and Huang (1995) and employs the cross-sectional standard deviation (CSSD) of returns to detect investors’ herding behavior. Second, in an attempt to obtain a more precise understanding of the impact of pandemic related risk, a questionnaire survey was distributed and collected from 318 investors from the GCC stock markets. A confirmatory factor analysis (CFA) was also used as the primary analysis between the two variables: i.e. expectations of pandemic risk and herding behavior. The findings reveal that expectations of pandemic risk have a significant positive impact on the herding behavior in the GCC stock markets during the coronavirus crisis in the first quarter of 2020. Finally, the results of this study are robust to a range of model specifications