Herding Behavior Contagion in Tunisian Financial System During the Revolution Period

This study examines the contagion of herding behavior in the Tunisian financial system during the period 2000:01-2012:12 by using several GARCH models. The BEKK-GARCH model results prove the volatility spillovers between the residues of time deposit and other financial variables for savings deposits and currency amount variation, respectively. Based on DCC GARCH model, the rise of residue correlations between Tunisian financial factors, mainly during the revolution period, confirms the herding behavior. The results, therefore, confirm the fragility of the Tunisian financial system vis-à-vis the contagion of such behavior from investors to banks' customers