Mohamad, Azhar (2024) Herding behaviour surrounding the Russo–Ukraine war and COVID-19 pandemic: evidence from energy, metal, livestock and grain commodities. Review of Behavioral Finance, 16 (5). pp. 925-957. ISSN 1940-5979 E-ISSN 1940-5987
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Abstract
Purpose – This study examines herding behaviour in commodity markets amid two major global upheavals: the Russo–Ukraine conflict and the COVID-19 pandemic. Design/methodology/approach – By analysing 18 commodity futures worldwide, the study examines herding trends in metals, livestock, energy and grains sectors. The applied methodology combines static and dynamic approaches by incorporating cross-sectional absolute deviations (CSAD) and a time-varying parameter (TVP) regression model extended by Markov Chain Monte Carlo (MCMC) sampling to adequately reflect the complexity of herding behaviour in different market scenarios. Findings – Our results show clear differences in herd behaviour during these crises. The Russia–Ukraine war led to relatively subdued herding behaviour in commodities, suggesting a limited impact of geopolitical turmoil on collective market behaviour. In stark contrast, the outbreak of the COVID-19 pandemic significantly amplified herding behaviour, particularly in the energy and livestock sectors. Originality/value – This discrepancy emphasises the different impact of a health crisis versus a geopolitical conflict on market dynamics. This study makes an important contribution to the existing literature as it is one of the first studies to contrast herding behaviour in commodity markets during these two crises. Our results show that not all crises produce comparable market reactions, which underlines the importance of the crisis context when analysing financial market behaviour.
| Item Type: | Article (Journal) |
|---|---|
| Uncontrolled Keywords: | Energy commodity, Herd behaviour, Russo–Ukraine war, COVID-19, Time-varying parameter (TVP) regression, Markov chain Monte Carlo (MCMC). |
| Subjects: | H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation |
| Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): | Kulliyyah of Economics and Management Sciences Kulliyyah of Economics and Management Sciences > Department of Finance |
| Depositing User: | Dr Azhar Mohamad |
| Date Deposited: | 30 Dec 2024 16:12 |
| Last Modified: | 30 Dec 2024 16:13 |
| URI: | http://irep.iium.edu.my/id/eprint/117140 |
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