This paper examines the informational efficiency of crude oil spot and futures markets with respect to OPEC conference and U.S. Strategic Petroleum Reserve (SPR) announcements. We employ the event study methodology to examine the abnormal returns in crude oil spot and futures markets around OPEC...

This paper has three main contributions to the literature on investor herds. First, it extends investor herding studies to an emerging yet relatively sophisticated Taiwanese stock market at the sector level by using firm level data. Second, it employs different methodologies designed to test the...

Purpose: This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Design/methodology/approach: This...

Purpose: The purpose of this paper is to show that the level of herding in an industry can be the basis for a profitable investment strategy. Design/methodology/approach: The authors apply three different herding measures in the paper, including cross-sectional standard deviation,...