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Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic

This paper scrutinises the herding behaviour in commodity markets surrounding the Russo-Ukraine war and Covid-19 pandemic. Utilising both static and time-varying measures, we examine the herding intensity within the following commodity sectors: energy, metal, livestock and grain commodities. We docu...

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Main Author: Mohamad, Azhar
Format: Proceeding Paper
Language:English
Published: 2023
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/109785/1/SBFC2023%20herding%20war%20pandemic%20-%20Main%20doc.pdf
http://irep.iium.edu.my/109785/
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spelling my.iium.irep.1097852024-01-09T01:39:27Z http://irep.iium.edu.my/109785/ Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic Mohamad, Azhar HG4501 Stocks, investment, speculation This paper scrutinises the herding behaviour in commodity markets surrounding the Russo-Ukraine war and Covid-19 pandemic. Utilising both static and time-varying measures, we examine the herding intensity within the following commodity sectors: energy, metal, livestock and grain commodities. We document heterogeneity. The static measure uncovers no herding surrounding the Russo-Ukraine war, and very weak herding within the livestock commodity sector before the pandemic. Contrarily, while the time-varying measure indicates mild herding surrounding the war, it detects considerably stronger herding intensity, particularly within the energy and livestock commodities, during the pandemic. In summary, the war in Ukraine does not result in a strong herding pattern in the commodity markets relative to that during the pandemic – which signals that not all crises produce similar herding intensity. 2023-12-09 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/109785/1/SBFC2023%20herding%20war%20pandemic%20-%20Main%20doc.pdf Mohamad, Azhar (2023) Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic. In: The 2023 Sydney Banking and Financial StabilityConference 8-9 December 2023, the University of Sydney Business School Sydney, Australia.
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Mohamad, Azhar
Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
description This paper scrutinises the herding behaviour in commodity markets surrounding the Russo-Ukraine war and Covid-19 pandemic. Utilising both static and time-varying measures, we examine the herding intensity within the following commodity sectors: energy, metal, livestock and grain commodities. We document heterogeneity. The static measure uncovers no herding surrounding the Russo-Ukraine war, and very weak herding within the livestock commodity sector before the pandemic. Contrarily, while the time-varying measure indicates mild herding surrounding the war, it detects considerably stronger herding intensity, particularly within the energy and livestock commodities, during the pandemic. In summary, the war in Ukraine does not result in a strong herding pattern in the commodity markets relative to that during the pandemic – which signals that not all crises produce similar herding intensity.
format Proceeding Paper
author Mohamad, Azhar
author_facet Mohamad, Azhar
author_sort Mohamad, Azhar
title Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
title_short Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
title_full Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
title_fullStr Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
title_full_unstemmed Herd dynamics around the Russo-Ukraine war and Covid-19 pandemic
title_sort herd dynamics around the russo-ukraine war and covid-19 pandemic
publishDate 2023
url http://irep.iium.edu.my/109785/1/SBFC2023%20herding%20war%20pandemic%20-%20Main%20doc.pdf
http://irep.iium.edu.my/109785/
_version_ 1787582333744840704
score 13.211869

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