Purpose

This study aims to test the presence of herding behavior in commodity markets, including energy, metals and agriculture. Additionally, the authors investigate the possible asymmetric effect of oil price changes on the herding behavior in these markets.

Design/methodology/approach

The authors examine herding based on the cross-sectional absolute deviation (CSAD) model in a static and time-varying perspective.

Findings

By using daily data over the period 2003–2017, the authors’ findings firstly support the dynamic nature of investor behavior in commodity markets, which oscillates between antiherding during the normal period and herding during and after the global financial crisis of 2008. Furthermore, results highlight that the asymmetric impact of oil shocks on herding differs across commodity sectors and periods. Additionally, herding seems to be more pronounced when the oil market declines, which may be due to the pessimistic investors' sentiments.

Practical implications

This study provides insight into what factors influence herd behavior in commodity markets. The understanding of factors driving herding aids investors to avoid the impact of this behavior and its consequences

Originality/value

To the authors’ knowledge, this study is the first to examine whether the level of herding depends on the oil price fluctuations, as well as the asymmetric effect of the oil price on herding behavior in commodity markets.

中文翻译：

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油价对商品市场羊群的不对称影响

目的

这项研究的目的是测试包括能源，金属和农业在内的商品市场中的羊群行为。此外，作者研究了油价变化对这些市场中的羊群行为的可能不对称影响。

设计/方法/方法

作者从静态和时变的角度研究基于横截面绝对偏差（CSAD）模型的羊群效应。

发现

通过使用2003-2017年期间的每日数据，作者的发现首先支持了商品市场中投资者行为的动态性质，该行为在正常时期的反放牧活动与2008年全球金融危机期间和之后的放牧活动之间波动。强调指出，石油冲击对羊群的非对称影响在商品行业和时期之间是不同的。此外，当石油市场下跌时，羊群效应似乎更为明显，这可能是由于投资者的悲观情绪所致。

实际影响

这项研究提供了对哪些因素影响商品市场中的羊群行为的见解。对驱动羊群的因素的理解有助于投资者避免这种行为及其后果的影响

创意/价值

据作者所知，该研究是第一个检验羊群水平是否取决于油价波动以及油价对商品市场中羊群行为的不对称影响的研究。