Herd behaviour, bubbles and crashes

Article Abstract:

The herd behavior observed in speculative markets is analyzed. This contagious phenomenon is also characterized by bubbles which result in price equilibria that are not consonant with essential values. These are but temporary occurrences and cause constant volatility around such values. Expected returns are assumed to be the chief incentive for speculators' tendency to follow the herd.

Speculation

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Expected stock returns and volatility in a two-regime market

Article Abstract:

A two-regime switching regression model is developed to study market volatility and excess stock returns. Periods of rising stock market prices is represented in regime 1. Regime 2 is for periods of falling stock market prices. Regime 1 showed no relationship between market volatility and excess returns. Regime 2 showed a significantly negative relationship.

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Oil sensitivity and systematic risk in oil-sensitive stock indices

Article Abstract:

The oil sensitivity of equity returns of non-gulf, oil-based countries are compared with that of two major oil-sensitive indexes United States oil and transportation industries. The comparison of oil sensitivity of those returns in relation to their sensitivity to world capital market is examined.

United States, Crude Petroleum and Natural Gas Extraction, Crude petroleum and natural gas, Crude Petroleum & Natural Gas, Transportation, Petroleum refining, Transportation Services, Support Activities for Transportation, LOCAL AND INTERURBAN PASSENGER TRANSIT, Transportation industry, Petroleum industry, Capital market, Capital markets, Comparative analysis, Stock price indexes

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