This paper proposes a dynamic herding approach which takes into account herding under different market regimes, with concentration on the Gulf Arab stock markets – Abu Dhabi, Dubai, Kuwait, Qatar and Saudi Arabia. Our results support the presence of three market regimes (low, high and extreme...

This study examines investor attention connectedness measures prior and during the COVID-19 period. We find that the investor attention spillovers are persistent among global equity markets, and developed markets have a dominant role as shock transmitters. The spillover effect increases...

This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and...

We analyze investors' motives for trading on international stock markets and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for. Applying...

This paper examines the dynamic relationship between global factors and herding behavior in the oil-rich frontier stock markets of the Gulf Cooperation Council (GCC), using a time-varying transition probability Markov Switching model (TVTP-MS). Our results suggest that the GCC frontier stock...

This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and...

This paper examines whether speculation in the global oil market contributes to herd behavior in the stock markets of net exporting nations. Using firm level data from the Gulf Arab stock markets, we show that investors display herd behavior during periods of high volatility while anti-herding...

Pair trading is a strategy which relies on betting on the relative mispricing of the spread between two securities which share a long-term relationship. These strategies have shown to perform well with equities, however not much research has been conducted in the field of cryptocurrencies, even...

We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are...

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign...