SENTIMENTAL HERDING: THE ROLE OF COVID-19 CRISIS IN THE EGYPTIAN STOCK MARKET

This study aims to investigate the existence of herding behaviour during COVID-19 crisis in Egyptian stock market by using firm-level data and employing different testing methodologies. The also investigates at level portfolios divided based on size value factors. used nonlinear model proposed Chang, Cheng Khorana (2000) state-space developed Hwang Salmon (2004) measure behaviour. found that Chang et al. lead results indicating evidence crisis. However, there was no when (2004). As for portfolios, only (Chang al., 2000) methodology, portfolio stocks with low high (B/M) ratio big