Causes and consequences of short-term institutional herding

Kremer, Stephanie; Nautz, Dieter

doi:10.1016/j.jbankfin.2012.12.006

Cited by 143 publications

(102 citation statements)

References 29 publications

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“…In view of the above motives underlying institutional herding, the possibility of fund managers imitating each other in their trades has been extensively researched during the past two decades with evidence from a large array of long-established developed and emerging markets -including the US (Li and Yung, 2004;Sias, 2004;Choi and Sias, 2009;Liao et al, 2011), Germany (Walter and Weber, 2006;Kremer and Nautz, 2013), South Korea (Choe et al, 1999;Kim and Wei, 2002a;2002b) and Taiwan (Hung et al, 2010;Lu et al, 2012) -suggesting that investment professionals exhibit significant mimicry in their trading behaviour. However, no evidence has as yet been reported regarding institutional herding for the specific subset of markets known as frontier markets, despite the increased attention they have been receiving recently from professional investors (De Groot et al, 2012).…”

Section: Institutional Herding and Its Motivationsmentioning

confidence: 99%

Do fund managers herd in frontier markets — and why?

Economou

Gavriilidis

Kallinterakis

et al. 2015

International Review of Financial Analysis

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Frontier markets constitute a category of markets for which very little is known regarding the behaviour of their institutional investors. This study attempts to shed light on this issue by investigating whether fund managers herd in frontier markets and whether their herding is intentional or not using data on quarterly portfolio holdings of funds from two such markets (Bulgaria and Montenegro). Results show that fund managers herd significantly in both markets; controlling for the interaction of their herding with different market states, we find that herding is stronger for both markets during periods of positive market performance and high volume, while in the case of Montenegro it also appears significant during periods of low volatility. Our findings are consistent with fund managers herding intentionally, in anticipation of informational and/or professional payoffs. We also find that Bulgarian (Montenegrin) fund managers herd significantly after (before) the outbreak of the 2008 global financial crisis and we attribute this to a volume-effect, since Montenegro (Bulgaria) saw the heaviest trading activity before (after) the crisis' outbreak.

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Section: Institutional Herding and Its Motivationsmentioning

confidence: 99%

Do fund managers herd in frontier markets — and why?

Economou

Gavriilidis

Kallinterakis

et al. 2015

International Review of Financial Analysis

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“…Kremer (2011) showed that information asymmetry does not affect herding behavior. The weakness of Kremer (2011) is to use firm size as a proxy of information asymmetry in which firm size does not measure asymmetric information directly. In fact, herding behavior arises because of information asymmetry among market participants.…”

mentioning

confidence: 99%

“…However, there are few empirical researches that examine effects of information asymmetry on herding behavior. Kremer (2011) has studied causes and effects of herding behavior. Kremer (2011) showed that information asymmetry does not affect herding behavior.…”

mentioning

confidence: 99%

“…Kremer (2011) has studied causes and effects of herding behavior. Kremer (2011) showed that information asymmetry does not affect herding behavior. The weakness of Kremer (2011) is to use firm size as a proxy of information asymmetry in which firm size does not measure asymmetric information directly.…”

mentioning

confidence: 99%

“…In fact, herding behavior arises because of information asymmetry among market participants. This study attempts to improve Kremer (2011) by using the bid-ask spread as a proxy of information asymmetry.…”

mentioning

confidence: 99%

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Information Asymmetry and Herding Behavior

Komalasari¹

2016

JAKI

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Keywords: behavioral finance, herding behavior, information asymmetry, information cascades AbstrakSecara konseptual, dalam jangka panjang pasar modal bersifat efisien bentuk kuat. Namun, dalam praktik, terdapat berbagai bentuk anomali pasar yang menurunkan akurasi dari hipotesis pasar efisien. Salah satu faktor yang diduga sebagai penyebab inefisiensi pasar yaitu perilaku kawanan (herding behavior). Investor berperilaku herd ketika mereka mengimitasi tindakan investor lain. Perilaku ini terjadi ketika terdapat interaksi yang terus-menerus di antara investor rasional yang menghalangi mereka untuk mencari informasi mengenai fundamental pasar. Penelitian ini memberikan wawasan baru dengan memasukkan asimetri informasi sebagai sebuah variabel moderasi. Penelitian ini menguji fenomena perilaku kawanan di Bursa Efek Indonesia sekaligus secara langsung menguji dampak dari asimetri informasi terhadap perilaku kawanan. Penelitian ini menggunakan tahun 2008 sebagai periode penelitian dengan menggunakan data harian atas saham-saham yang diperdagangkan secara aktif di pasar modal. Hasil penelitian ini menemukan bahwa investor cenderung untuk mengikuti konsensus pasar ketika terjadi perubahan harga pada tingkat rendah, namun ketika terdapat lonjakan harga yang besar, partisipan pasar bertindak secara independen dari investor lain. Menariknya, penelitian ini menemukan bahwa asimetri informasi merupakan kondisi yang diperlukan bagi keberadaan perilaku kawanan.Kata kunci: keuangan keperilakuan, perilaku kawanan, asimetri informasi, information cascades

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The Psychology of Trading and Investing

Pitters

Oberlechner²

2014

Investor Behavior

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Causes and consequences of short-term institutional herding

Cited by 143 publications

References 29 publications

Do fund managers herd in frontier markets — and why?

Do fund managers herd in frontier markets — and why?

Information Asymmetry and Herding Behavior

The Psychology of Trading and Investing

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