Tunisian Revolution and Herd Behavior: Empirical Evidence from the Tunisia Stock Exchange

Abstract

This chapter examines the existence of dynamic herding behavior by Tunisian investors in the Tunisia stock market during the revolution period of 2011–2013. The sample covers all Tunindex daily returns as a proxy for the Tunisia stock exchange index over the period 2007–2018. The author modifies the cross-sectional absolute deviation model to include all market conditions (bull and bear markets) and the geopolitical crisis effect corresponding to the Tunisian Jasmine revolution during 2011–2013, and show that herding is indeed not present in the Tunisia stock market including during its turmoil periods. These findings imply that the Tunisian emerging financial market became more vulnerable to adverse herding behavior after the revolution. There is also a clear implication for capitalist firms and angel investors in Tunisia that adverse herding behavior tends to exist on days of higher uncertainty and information asymmetry.

Citation

Bouteska, A. (2020), "Tunisian Revolution and Herd Behavior: Empirical Evidence from the Tunisia Stock Exchange", Jeon, B.N. and Wu, J. (Ed.) Emerging Market Finance: New Challenges and Opportunities (International Finance Review, Vol. 21), Emerald Publishing Limited, Leeds, pp. 185-199. https://doi.org/10.1108/S1569-376720200000021011