The impact of Islamic events on herding behaviour in Saudi Arabian equities market
利用沙特阿拉伯数据，研究了伊斯兰节日（斋月、开斋节、宰牲节和阿舒拉节）如何通过影响投资者情绪来调节股市中的羊群行为，发现开斋节、宰牲节和阿舒拉节期间情绪显著影响羊群行为，但斋月期间结果与以往研究不同。
Abstract Using data from Saudi Arabia, a strictly religious society, we examine how Islamic events (i.e., Ramadan, Eid‐ul‐Fitr, Eid‐ul‐Adha and Ashoura) moderate the impact of social mood (positive and negative) on herding in the stock market. We use the cross‐sectional absolute deviation (CSAD) of returns and find that investors' mood during Islamic events of Eid‐ul‐Fitr, Eid‐ul‐Adha and Ashoura significantly affects herding behaviour in the market. Our results, however, contrast with existing evidence of herding in the month of Ramadan. Overall, results are robust after controlling for market conditions (i.e., domestic and US market returns, liquidity, sentiments, and oil price volatility) and crisis events (i.e., global financial crisis and Arab Spring). Though most prior research investigates the impact of individual Islamic events on stocks as seasonal anomalies, our study contributes by jointly exploring how four key Islamic events, associated with contrasting moods, induce diverse herding patterns in the Saudi stock market.