TESTING THE INFLUENCE OF HERDING BEHAVIOR ON THE JOHANNESBURG SECURITIES EXCHANGE (JSE) BEFORE, DURING AND AFTER THE FINANCIAL CRISIS

Abstract

This study assesses the presence of herding behavior in the context of the Johannesburg Stock Exchange (JSE) tradable sector in South Africa. The study employs four indices, namely Financials (FINI15), Industrials (INDI25) and Resources (RESI10), and the JSE All Share Index for the period from January 2007 to December 2017, using the FTSE/JSE All Share Index as a benchmark. Statistical inference was run in the form of a t-test to assess whether the performance of the indices is statistically significant against the JSE ALSI. This study finds evidence of herding behavior on the RESI10, INDI25, and FINI15 indices during the global financial crisis, and no herding behavior was documented during normal periods.