Herding Behaviour by Equity Foreign Investors on Emerging Markets

Ornelas, José Renato Haas; Alemanni, Barbara

doi:10.2139/ssrn.1114608

Cited by 4 publications

(2 citation statements)

References 23 publications

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“…Boyer, Kumagai and Yuan (2006) focus on emerging markets and find larger co-movement of asset prices during high volatility periods in emerging markets that are open to foreign portfolio investors. Ornelas and Alemanni (2008) find evidence of herding behaviour in nine emerging markets, but they also find no effect of herding on market volatility. However, empirical evidence is mainly concerned with large markets.…”

Section: Literature Review and Motivationmentioning

confidence: 99%

Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market

Mertzanis

Allam

2018

Journal of Emerging Market Finance

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This article examines the existence of herding behaviour in the Egyptian stock market during the 2011 revolution period. Using daily and monthly data, we test for the existence of herding for the whole period, as well as for the pre- and post-revolution phases. For the whole period, our results fail to provide evidence of herding behaviour in the Egyptian stock market, but do provide evidence of adverse herding behaviour that exhibits non-linearity. The results also fail to provide evidence of herding behaviour during bull and bear markets, and show that herding behaviour is a short-lived phenomenon. When the pre- and post-revolution phases are considered separately, the results provide evidence of weak adverse herding for both phases and of adverse herding in bullish markets, but they are inconclusive regarding bearish markets. JEL Classification: G10, G15

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Section: Literature Review and Motivationmentioning

confidence: 99%

Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market

Mertzanis

Allam

2018

Journal of Emerging Market Finance

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“…The result showed that they invest 70 percent in the equity market, which clearly showed that there is a significant herding behavior in the equity market. Ornelas and Alemanni (2008) analyzed herding behavior in emerging markets by taking data of nine emerging markets from 2000 to 2005. The investigation show that the herding exists in emerging markets.…”

Section: Herding Behavior and Decision Makingmentioning

confidence: 99%

Impact of herding behavior and overconfidence bias on investors’ decision-making in Pakistan

Qasim¹,

Hussain²,

Mehboob³

et al. 2019

10.5267/j.ac

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Investors' decision-making are influenced by certain biases as reported in literature. Fundamental analysis is based on the assumption that investors think rationally, but in practice, things may be different. This study captures the impact of herding behavior and overconfidence biases on the investors' decision-making in Pakistan. The proposed study collects the necessary data through questionnaires distributed among 150 respondents who were active in stock market and manage to process 100 completed ones. The relationships between investors' decision-making and herding behavior as well as overconfidence biases were empirically tested using Ordinary Least Square (OLS) method. The results show that Pakistani investors' decisions were significantly influenced by both herding behavior and overconfidence biases. .

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Information Asymmetry And The Role Of Foreign Investors In Daily Transactions During The Crisis; A Study Of Herding In The Indonesian Stock Exchange

Ramli

Agoes

Setyawan

2015

JABR

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<p>The purpose of this study is to prove that there was herding behavior by domestic investors following that of foreign investors in the Indonesian Capital Market (IDX) and that the herding was influenced by information asymmetry. It began when global investors undertook international diversification to the IDX because the returns on their portfolios were not on the efficient frontier during the crisis and because of the low correlation between Indonesia’s economy and the American and European economies. Utilizing the IDX daily transaction data during the years 2009-2011, the herding behavior of domestic investors, which followed that of foreign investors, was tested by Lakonishok models as was the influence of information asymmetry on the herding. It was found that the herding behavior in the IDX occurred in buy, sell or entire herdings (buy and sell). There were 0.40 to 0.55 buy herdings and 0.20 to 0.40 sell herdings during the crisis in 2008 and 2009. Buy herding then continued in 2010 onwards, although with lower intensity (0.05 to 0.20); however, sell herding decreased dramatically, and there has been almost no sell herding since then. Nevertheless, domestic investors did then sell in the opposite strategy, which was to sell when foreign investors tended to buy. Subsequent findings demonstrated that herding occurred with the influence of information asymmetry between domestic and foreign investors. </p>

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Herding Behaviour by Equity Foreign Investors on Emerging Markets

Cited by 4 publications

References 23 publications

Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market

Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market

Impact of herding behavior and overconfidence bias on investors’ decision-making in Pakistan

Information Asymmetry And The Role Of Foreign Investors In Daily Transactions During The Crisis; A Study Of Herding In The Indonesian Stock Exchange

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