Market conditions analysis of herding behavior by considering the effect of financial crisis
| Sample | Position | Variable | Coefficient | Standard error | R-squared | Adjusted R-squared |
|---|---|---|---|---|---|---|
| Whole market | Up market | Abs MR | (3.387)** | 1.679 | 0.0429 | 0.0424 |
| Abs (MR)2 | −1.156 | 0.279 | 0.0429 | 0.0424 | ||
| Dummy of crisis | (1.696)* | 0.285 | 0.0429 | 0.0424 | ||
| Down market | Abs MR | (0.488)*** | 0.274 | 0.0219 | 0.0214 | |
| Abs (MR)2 | (0.332)* | 0.063 | 0.0219 | 0.0214 | ||
| Dummy of crisis | (1.732)* | 0.283 | 0.0219 | 0.0214 | ||
| Shariah-compliant | Up market | Abs MR | (0.487)* | 0.030 | 0.2709 | 0.2705 |
| Abs (MR)2 | (−0.013)*** | 0.007 | 0.2709 | 0.2705 | ||
| Dummy of crisis | (0.326)* | 0.038 | 0.2709 | 0.2705 | ||
| Down market | Abs MR | (−0.383)* | 0.028 | 0.2165 | 0.2161 | |
| Abs (MR)2 | (0.0001)*** | 0.006 | 0.2165 | 0.2161 | ||
| Dummy of crisis | (0.308)* | 0.038 | 0.2165 | 0.2161 | ||
| Conventional stocks | Up market | Abs MR | (0.475)* | 0.030 | 0.220 | 0.219 |
| Abs (MR)2 | −0.006 | 0.006 | 0.220 | 0.219 | ||
| Dummy of crisis | (0.031)*** | 0.017 | 0.220 | 0.219 | ||
| Down market | Abs MR | (0.354)* | 0.040 | 0.2199 | 0.2195 | |
| Abs (MR)2 | (0.011)** | 0.012 | 0.2199 | 0.2195 | ||
| Dummy of crisis | (0.276)* | 0.033 | 0.2199 | 0.2195 |
| Sample | Position | Variable | Coefficient | Standard error | Adjusted | |
|---|---|---|---|---|---|---|
| Whole market | Up market | Abs MR | (3.387) | 1.679 | 0.0429 | 0.0424 |
| Abs (MR)2 | −1.156 | 0.279 | 0.0429 | 0.0424 | ||
| Dummy of crisis | (1.696) | 0.285 | 0.0429 | 0.0424 | ||
| Down market | Abs MR | (0.488) | 0.274 | 0.0219 | 0.0214 | |
| Abs (MR)2 | (0.332) | 0.063 | 0.0219 | 0.0214 | ||
| Dummy of crisis | (1.732) | 0.283 | 0.0219 | 0.0214 | ||
| Shariah-compliant | Up market | Abs MR | (0.487) | 0.030 | 0.2709 | 0.2705 |
| Abs (MR)2 | (−0.013) | 0.007 | 0.2709 | 0.2705 | ||
| Dummy of crisis | (0.326) | 0.038 | 0.2709 | 0.2705 | ||
| Down market | Abs MR | (−0.383) | 0.028 | 0.2165 | 0.2161 | |
| Abs (MR)2 | (0.0001) | 0.006 | 0.2165 | 0.2161 | ||
| Dummy of crisis | (0.308) | 0.038 | 0.2165 | 0.2161 | ||
| Conventional stocks | Up market | Abs MR | (0.475) | 0.030 | 0.220 | 0.219 |
| Abs (MR)2 | −0.006 | 0.006 | 0.220 | 0.219 | ||
| Dummy of crisis | (0.031) | 0.017 | 0.220 | 0.219 | ||
| Down market | Abs MR | (0.354) | 0.040 | 0.2199 | 0.2195 | |
| Abs (MR)2 | (0.011) | 0.012 | 0.2199 | 0.2195 | ||
| Dummy of crisis | (0.276) | 0.033 | 0.2199 | 0.2195 |
Notes:
HAC standard errors and covariance (Bartlett kernel, Newey–West fixed bandwidth = 10.000); *,** and ***represent significant at 1, 5 and 10% levels, respectively
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