Differences in herding: Individual vs. institutional investors

Li, Wei; Rhee, Ghon; Wang, Steven Shuye

doi:10.1016/j.pacfin.2016.11.005

Cited by 106 publications

(57 citation statements)

References 59 publications

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“…Therefore, we do not expect to find skewness premia in China. Third, retail-dominance is found to induce a higher degree of positive feedback trading (De Long et al, 1990) and herding (Li, Rhee, & Wang, 2017), which suggests that commodity price momentum is likely stronger compared to developed markets (Demirer, Lien, & Zhang, 2015;Nofsinger & Sias, 1999). 8 Such retail-dominance is present for several reasons.…”

Section: Retail-dominancementioning

confidence: 99%

The untold story of commodity futures in China

Fan

Zhang

2019

Journal of Futures Markets

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We investigate the behavior of commodity futures risk premia in China. In the presence of retail‐dominance and barriers‐to‐entry, the term structure and momentum premia remain persistent, whereas hedging pressure, skewness, volatility, and liquidity premia are distorted by time‐varying margins and strict position limits. Furthermore, open interest, currency, and inflation premia are sensitive to institutional settings. The observed premia cannot be attributed to common risks, sentiment, transactions costs, or data‐snooping, but are related to liquidity, anchoring, and regulation‐induced limits‐to‐arbitrage. We highlight the distinctive features of Chinese futures markets and assess the challenges posed to theories of commodity risk premia.

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Section: Retail-dominancementioning

confidence: 99%

The untold story of commodity futures in China

Fan

Zhang

2019

Journal of Futures Markets

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“…The findings were obtained from examining 375 firms with share traded in both markets individual ad sector wise. Li et al,(2017) tested the differences in herding behaviours between institutional (informed) investors and individual(uninformed) investors during the period between July,1 2002 to December 31,2004. Individual investors were observed to trade more than institutional investors, but more herding behaviours were observed by the institutional investors.…”

Section: Literature Reviewmentioning

confidence: 99%

Herding Behaviours in Poland and Tanzania

Mwamtambulo¹

2019

Proceedings of the 45th International Academic Conference, London

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Over the years the USA markets have shown a strong resilient to herding behaviours while mixed results or consistent herding behaviours have been observed in other markets around the world. This study aimed at providing the most recent evidence of herding behaviours in two of such markets. Using data from Poland and Tanzania and CSAD approach, the findings showed no significant market herding behaviours in Poland during the period and during the up and down markets. Except for Informatics, all other industries showed significant industry herding behaviours and during the up and down markets. On the other hand, no market herding behaviours were observed in Tanzania during the period, during the up and down markets. No industrial herding behaviours were observed in the two industries. During this period Poland had experienced an increase in industry herding behaviours while Tanzania have experienced a decline in market herding behaviours in the market.

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“…In the Chinese financial market, institutional investors are mainly based on securities investment funds. Due to its professional team and information advantages, institutional investors can easily trigger the herd effects of trading behavior through mutual learning and imitation in the same social ties [1]. Along with the booming development of institutional investors, China's stock market has become increasingly volatile.…”

Section: Introductionmentioning

confidence: 99%

Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk

Gong

2020

Complexity

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To analyze whether information sharing in the institutional investors plays the role of a market stabilizer or risk booster, this paper constructs the institutional investor information network employing the common holding stocks of the mutual funds as links. The information linkages between two funds with large positions in the same stock are hypothesized to be connected to each other. Then, we use the information sharing efficiency in the fund networks to study the effects of information transmission on stock market extreme risk and financial systemic risk. Especially, the speed of information diffusion in the network is characterized by the topology structures based on social network theory. Empirical research studies find that the Chinese fund information network exhibits small-world characteristics, which reflects rapid speed of information diffusion. Seen from the idiosyncratic risk of volatility, information sharing of institutional investors can improve the behavior consistency of fund managers, thus increasing the stock volatility via herd effects. Besides, it can be concluded that institutional investor information sharing can reduce the extreme risk by promoting the comprehensiveness of information flow and the market pricing efficiency of stocks, thereby reducing the degree of financial systemic risk. The obtained conclusions provide suggestions for decision-making of institutional investors. It can help the regulators to pay attention to the herd effects so as to control systemic risk.

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Differences in herding: Individual vs. institutional investors

Cited by 106 publications

References 59 publications

The untold story of commodity futures in China

The untold story of commodity futures in China

Herding Behaviours in Poland and Tanzania

Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk

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