IDEAS home Printed from https://ideas.repec.org/a/bla/irvfin/v2y2001i1-2p71-98.html
   My bibliography  Save this article

Investors’ Herding on the Tokyo Stock Exchange

Author

Listed:
  • Yoshio Iihara
  • Hideaki Kiyoshi Kato
  • Toshifumi Tokunaga

Abstract

Herding occurs when a group of investors intensively buy or sell the same stock at the same time. This study examines the tendency of individual, institutional and foreign investors to herd in Japan, where the yearly change in ownership is used as a proxy for investor herding. Using 20 years of aggregate data, we examine how investor herding is related to stock return performance around the herding interval. Both institutional and foreign investor herding impact stock prices. Further, Japanese institutional investors seem to follow positive‐feedback trading strategies, and subsequent return reversals imply that these investors’ trades destabilize stock prices. On the other hand, foreign investors’ trades are related to information. Our results are robust to the effect of firm size, to portfolio formation methods, to initial ownership levels, and to the chosen time period.

Suggested Citation

  • Yoshio Iihara & Hideaki Kiyoshi Kato & Toshifumi Tokunaga, 2001. "Investors’ Herding on the Tokyo Stock Exchange," International Review of Finance, International Review of Finance Ltd., vol. 2(1‐2), pages 71-98.
    • Handle: RePEc:bla:irvfin:v:2:y:2001:i:1-2:p:71-98
    DOI: 10.1111/1468-2443.00016
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1468-2443.00016
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1468-2443.00016?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Semra Karacaer & Yusuf Volkan Topuz, 2009. "The Effect of the Change in the Exchange Rate of US Dollars on the Market Index of Developing Countries: January 2001– November 2006 Period," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(42), pages 1-18.
    2. repec:bor:iserev:v:11:y:2011:i:42:p:1-18 is not listed on IDEAS
    3. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    4. Ming‐Hung Wu & Wan‐Ting Hu & Pei‐Shih Weng, 2023. "Herd behaviors in index futures trading: Driving factors and impact on market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1373-1392, October.
    5. Isao Yagi & Shunya Maruyama & Takanobu Mizuta, 2020. "Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation," Papers 2010.13036, arXiv.org.
    6. Kapil Choudhary & Parminder Singh & Amit Soni, 2022. "Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence," Global Business Review, International Management Institute, vol. 23(1), pages 137-155, February.
    7. Liu, Tengdong & Zheng, Dazhi & Zheng, Suyan & Lu, Yang, 2023. "Herding in Chinese stock markets: Evidence from the dual-investor-group," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    8. 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.
    9. Hasan F. Baklaci, 2009. "An Empirical Examination of Bilateral Interaction Between Foreign Investors’ Trading and Returns in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(42), pages 35-58.
    10. repec:bor:iserev:v:11:y:2011:i:42:p:19-34 is not listed on IDEAS
    11. repec:bor:iserev:v:11:y:2011:i:42:p:35-58 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:bla:irvfin:v:2:y:2001:i:1-2:p:71-98. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.