Micro and Macro Herding by Investors and Their Effects on Market Volatility
Author(s):
Abstract:
The purpose of this research is to examine herding by institutional and individual investors in micro and macro level and their effects on market volatility. In micro level, we compare herding by institutional and individual investors also examines the effect of firms characteristics on micro herding by panel data regression. In macro level, we test the influence of market factors on herding and the effect of macro herding on market volatility through time series regression. The results indicate that there is a herding tendency among both institutional and individual investors and shiw that the propensity to herd is higher in institutional investors. Herding depends on firms characteristics and institutional investors are more sensitive to these variables. In macro level results show that market return affects herding by institutional investors also market return causes herding, mainly by institutional investors, in the Granger causality sense. Finally, herding by institutional investors influences market volatility.
Keywords:
Language:
Persian
Published:
Asset Management and Financing, Volume:5 Issue: 2, 2017
Pages:
149 to 166
https://magiran.com/p1716859
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!