International herding: Does it differ across sectors?

Gębka, Bartosz; Wohar, Mark E.

doi:10.1016/j.intfin.2012.09.003

Cited by 103 publications

(76 citation statements)

References 70 publications

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“…Using an international sample of eighteen markets, Chiang and Zheng (2010) document strong evidence of herding in most of their sample markets (with the exception of Latin America and the US); their results suggest that herding is strong primarily during up-markets in Asian countries and that investors herd significantly towards the US market, aside from their domestic markets. Blasco et al (2012) find that intraday herding rises with volatility in the Spanish market, while, Gebka and Wohar (2013) find limited evidence of herding at the aggregate market and sector levels across thirty-two markets.…”

Section: Introductionmentioning

confidence: 94%

Herding dynamics in exchange groups: Evidence from Euronext

Economou

Gavriilidis

Goyal

et al. 2015

Journal of International Financial Markets, Institutions and Mo

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 We examine whether joining an exchange group confers an effect over herding in the group's member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group's member-markets and the outbreak of financial crises  We test for the above in the context of the Euronext, which contains four equity markets (Belgium, France, the Netherlands and Portugal)  Herding is significant post-merger in all four markets; herding in Portugal is significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic/international market states and the dynamics of the group's markets  Herding following the outbreak of the euro-zone crisis is significant in Belgium, the Netherlands and Portugal, and is motivated by the dynamics of the group's two largest markets (France and the Netherlands). *Highlights (for review)Page 2 of 33 A c c e p t e d M a n u s c r i p t Herding Dynamics in Exchange Groups: Evidence from Euronext AbstractThis study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group"s member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group"s member-markets and the outbreak of financial crises. We find that herding is significant post-merger in all four constituent equity markets (Belgium, France, the Netherlands and Portugal) of the Euronext, with herding in Portugal being significant (yet less strong) pre-merger as well. These results are robust when controlling for various domestic and international market states, as well as the dynamics of the group"s markets. The period following the outbreak of the euro-zone sovereign debt crisis produces significant herding in Belgium, the Netherlands and Portugal, with this herding being motivated by the dynamics of the group"s two largest markets (France and the Netherlands).JEL classification: G12, G15, G31

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Section: Introductionmentioning

confidence: 94%

Herding dynamics in exchange groups: Evidence from Euronext

Economou

Gavriilidis

Goyal

et al. 2015

Journal of International Financial Markets, Institutions and Mo

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“…Along these lines and following the suggestions of Hwang and Salomon (2004) current research on the field has focused on a time-varying measure of herding. A few recent studies regarding dynamic approaches are by Balcilar et al, (2013Balcilar et al, ( , 2014 who used the regime switching approach, Gębka and Wohar (2013) using quantile regressions, and Klein (2013) uses Markov switching seemingly unrelated regressions. Since the values of the coefficients in the static model are sensitive to the selected sample period, it is necessary to carefully consider possible variations in the estimation results by shifting the sample period.…”

Section: Rolling Window Analysis Of Herdingmentioning

confidence: 99%

Do commodity investors herd? Evidence from a time-varying stochastic volatility model

2015

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“…While the evidence in the literature shows that herding varies across countries and exchanges (Griffin et al, 2003), Gebka and Wohar (2013) find that it is virtually non-existent when studied at the international level. LSV state that in the market as a whole, one cannot detect herding since there is an equal number of assets bought and sold.…”

Section: Empirical Literaturementioning

confidence: 98%

Does a scopic regime produce conformism? Herding behavior among trade leaders on social trading platforms

Gemayel

Preda

2017

The European Journal of Finance

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Social trading platforms (STPs) are transparent online markets governed by a scopic regime, where order flow is publicly disclosed and participants are subject to constant reciprocal scrutiny. Participants on STPs can be categorized into trade leaders and copiers, where the former execute unique trades and manage the funds allocated to them by the latter in return for compensation. Given limited individual capacity and the competition to attract copiers, we investigate whether the scopic regime produces excess and perpetual conformism among trade leaders. Using data from a popular STP, and from an anonymous traditional foreign exchange broker, we show that the scopic regime produces excess levels of herding. Under the scopic environment, we find that herding is high when market information is scarce, which is evidence of herding due to informational cascades. We find herding to be relatively low among risk-seeking trade leaders, which may be a sign of overconfidence. Herding is high for larger trades, suggesting that traders herd to avoid the disappointment associated with underperforming on large positions. Finally, we show that herding in the scopic environment persists at much higher levels compared to traditional environments. Our findings indicate that exposure to a scopic information-rich environment augments the limitations and personal biases of individual traders, thus producing excess and perpetual herding.

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International herding: Does it differ across sectors?

Cited by 103 publications

References 70 publications

Herding dynamics in exchange groups: Evidence from Euronext

Herding dynamics in exchange groups: Evidence from Euronext

Do commodity investors herd? Evidence from a time-varying stochastic volatility model

Does a scopic regime produce conformism? Herding behavior among trade leaders on social trading platforms

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