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...

A number of papers in literature have looked for momentum profitability in international stock markets, but little is known about these investment strategies in the Gulf Cooperation Council (GCC) markets. This dissertation seeks to investigate positive return continuation in these emerging...