Herding of institutional traders: New evidence from daily data
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- De Long, J Bradford, et al, 1990.
"Positive Feedback Investment Strategies and Destabilizing Rational Speculation,"
Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Scholarly Articles 27693805, Harvard University Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hsieh, Shu-Fan, 2013. "Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 175-188.
- Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.
- Zhuo Qiao & Thomas C. Chiang & Lin Tan, 2014. "Empirical Investigation of the Causal Relationships Among Herding, Stock Market Returns, and Illiquidity: Evidence from Major Asian Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-27.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Harrison Hong & Terence Lim & Jeremy C. Stein, 2000.
"Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,"
Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc.
- R. Andergassen, 2003. "Rational destabilising speculation and the riding of bubbles," Working Papers 475, Dipartimento Scienze Economiche, Universita' di Bologna.
- Wang, Xiao-Qing & Wu, Tong & Zhong, Huaming & Su, Chi-Wei, 2023. "Bubble behaviors in nickel price: What roles do geopolitical risk and speculation play?," Resources Policy, Elsevier, vol. 83(C).
- Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
- Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
- Adrian, Tobias, 2009.
"Inference, arbitrage, and asset price volatility,"
Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 49-64, January.
- Tobias Adrian, 2004. "Inference, arbitrage, and asset price volatility," Staff Reports 187, Federal Reserve Bank of New York.
- Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
- Angelidis, Dimitrios & Koulakiotis Athanasios & Kiohos Apostolos, 2018. "Feedback Trading Strategies: The Case of Greece and Cyprus," South East European Journal of Economics and Business, Sciendo, vol. 13(1), pages 93-99, June.
- Lo, Andrew W & MacKinlay, A Craig, 1990.
"When Are Contrarian Profits Due to Stock Market Overreaction?,"
The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
- Andrew W. Lo & A. Craig MacKinlay, 1989. "When are Contrarian Profits Due to Stock Market Overreaction?," NBER Working Papers 2977, National Bureau of Economic Research, Inc.
- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May.
- Seungwook Bahng, 2003. "Do Psychological Barriers Exist in the Stock Price Indices? Evidence from Asia's Emerging Markets," International Area Studies Review, Center for International Area Studies, Hankuk University of Foreign Studies, vol. 6(1), pages 35-52, March.
- Giusti, G. & Noussair, C.N. & Voth, H-J., 2013.
"Recreating the South Sea Bubble : Lessons from an Experiment in Financial History,"
Discussion Paper
2013-042, Tilburg University, Center for Economic Research.
- Giovanni Giusti & Charles Noussair & Hans-Joachim Voth, 2014. "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," ECON - Working Papers 146, Department of Economics - University of Zurich.
- Voth, Hans-Joachim & Giusti, Giovanni & Noussair, Charles, 2013. "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," CEPR Discussion Papers 9652, C.E.P.R. Discussion Papers.
- Giovanni Giusti & Charles Noussair & Hans-Joachim Voth, 2013. "Recreating the South Sea Bubble: Lessons from an Experiment in Financial History," Working Papers 710, Barcelona School of Economics.
- Giovanni Giusti & Charles Noussair & Joachim Voth, 2013. "Recreating the South Sea bubble: Lessons from an experiment in financial history," Economics Working Papers 1381, Department of Economics and Business, Universitat Pompeu Fabra.
- Giusti, G. & Noussair, C.N. & Voth, H-J., 2013. "Recreating the South Sea Bubble : Lessons from an Experiment in Financial History," Other publications TiSEM dd894e7e-521a-4092-94b0-0, Tilburg University, School of Economics and Management.
- Tokic, Damir, 2011. "Rational destabilizing speculation, positive feedback trading, and the oil bubble of 2008," Energy Policy, Elsevier, vol. 39(4), pages 2051-2061, April.
- Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Sheridan Titman & Chishen Wei. Wei & Bin Zhao, 2021. "Corporate Actions and the Manipulation of Retail Investors in China: An Analysis of Stock Splits," NBER Working Papers 29212, National Bureau of Economic Research, Inc.
- Berna Kirkulak & Çagnur Kaytmaz Balsari, 2009. "Inflation Accounting and Stock Returns: Evidence From Istanbul Stock Exchange (ISE)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(42), pages 19-34.
- Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.
- Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
- Qin, Jie, 2015. "A model of regret, investor behavior, and market turbulence," Journal of Economic Theory, Elsevier, vol. 160(C), pages 150-174.
- Yuming Fu & Wenlan Qian & Bernard Yeung, 2016. "Speculative Investors and Transactions Tax: Evidence from the Housing Market," Management Science, INFORMS, vol. 62(11), pages 3254-3270, November.
More about this item
Keywords
Investor Behavior; Institutional Trading; Stock Prices;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:fubsbe:201023. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/fwfubde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.