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Applied Financial Economics Volume 23, 2013 - Issue 1
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Original Articles

Are commodity markets characterized by herd behaviour?

Marie Steen Department of Economics and Resource Management, UMB, AAS, NorwayCorrespondence[email protected]
&
Ole Gjolberg Department of Economics and Resource Management, UMB, AAS, Norway
Pages 79-90 | Published online: 30 Jul 2012

Citations (21)

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Read on this site (7)

Mouna Youssef. (2022) Do Oil Prices and Financial Indicators Drive the Herding Behavior in Commodity Markets?. Journal of Behavioral Finance 23:1, pages 58-72.
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David Y. Aharon. (2021) Uncertainty, Fear and Herding Behavior: Evidence from Size-Ranked Portfolios. Journal of Behavioral Finance 22:3, pages 320-337.
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Gema Fernández-Avilés, José-María Montero & Lidia Sanchis-Marco. (2020) Extreme downside risk co-movement in commodity markets during distress periods: a multidimensional scaling approach. The European Journal of Finance 26:12, pages 1207-1237.
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Stephen Bahadar, Haroon Mahmood & Rashid Zaman. (2019) The Herds of Bulls and Bears in Leveraged ETF Market. Journal of Behavioral Finance 20:4, pages 408-423.
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Stavros Stavroyiannis & Vassilios Babalos. (2017) Herding, Faith-Based Investments and the Global Financial Crisis: Empirical Evidence From Static and Dynamic Models. Journal of Behavioral Finance 18:4, pages 478-489.
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Vassilios Babalos & Stavros Stavroyiannis. (2015) Herding, anti-herding behaviour in metal commodities futures: a novel portfolio-based approach. Applied Economics 47:46, pages 4952-4966.
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Torun Fretheim & Glenn Kristiansen. (2015) Commodity market risk from 1995 to 2013: an extreme value theory approach. Applied Economics 47:26, pages 2768-2782.
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Articles from other publishers (14)

Rania Zghal, Amel Melki & Ahmed Ghorbel. (2022) Do commodities hedge regional stock markets at the same effectiveness level? Evidence from MGARCH models. International Journal of Emerging Markets.
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Sjur Westgaard, Stein Frydenberg & Sunil K. Mohanty. (2022) Fourteen large commodity trading disasters: What happened and what can we learn?. Journal of Commodity Markets 27, pages 100221.
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Shelly SinghalPratap Chandra Biswal. (2019) Dynamic Commodity Portfolio Management: A Regime-switching VAR Model. Global Business Review 22:2, pages 532-549.
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Mouna Youssef & Khaled Mokni. (2020) Asymmetric effect of oil prices on herding in commodity markets. Managerial Finance 47:4, pages 535-554.
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Gerson de Souza Raimundo Júnior, Rafael Baptista Palazzi, Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto. (2020) Analyzing herding behavior in commodities markets – an empirical approach. Finance Research Letters 35, pages 101285.
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Tom Erik Sønsteng Henriksen, Alois Pichler, Sjur Westgaard & Stein Frydenberg. (2018) Can commodities dominate stock and bond portfolios?. Annals of Operations Research 282:1-2, pages 155-177.
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Torun Fretheim. (2019) An empirical analysis of the correlation between large daily changes in grain and oil futures prices. Journal of Commodity Markets 14, pages 66-75.
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Houda BenMabrouk. (2018) Cross-herding behavior between the stock market and the crude oil market during financial distress. Managerial Finance 44:4, pages 439-458.
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Beysül Aytaç, Guillaume Coqueret & Cyrille Mandou. (2018) Herding behavior among wine investors. Economic Modelling 68, pages 318-328.
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Sipan Aslan, Ceylan Yozgatligil & Cem Iyigun. (2017) Temporal clustering of time series via threshold autoregressive models: application to commodity prices. Annals of Operations Research 260:1-2, pages 51-77.
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Sjur Westgaard & Marie Steen. (2017) Is Beta Dead for Commodities?. The Journal of Investing 26:4, pages 16-26.
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Hassan Hamadi, Charbel Bassil & Tamara Nehme. (2017) News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil. Research in International Business and Finance 41, pages 148-157.
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Robert J. Powell, Duc H. Vo, Thach N. Pham & Abhay K. Singh. (2017) The long and short of commodity tails and their relationship to Asian equity markets. Journal of Asian Economics 52, pages 32-44.
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Rıza Demirer, Hsiang-Tai Lee & Donald Lien. (2015) Does the stock market drive herd behavior in commodity futures markets?. International Review of Financial Analysis 39, pages 32-44.
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