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Herd behaviour & investor sentiment: Evidence from UK mutual funds

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  • Hudson, Yawen
  • Yan, Meilan
  • Zhang, Dalu

Abstract

The aims of this paper are to detect evidence of institutional investor herding behaviour and examine the role that investor sentiment plays in institutional investor herding behaviour. The herding behaviour is investigated by examining the dispersion of time varying beta of UK open-end and closed-end funds. The study finds evidence of fund managers' herding behaviour, which suggests they are likely to herd on market portfolio, size, and value factors. UK market-wide investor sentiment index is used for investigating the effects of investor sentiment on institutional herding behaviour. We find a unidirectional investor sentiment effect on the herding of UK mutual fund managers. We also reveal that the sentiment factors affecting UK open-end and closed-end fund managers herding behaviour are different due to the differences in fund structure.

Suggested Citation

  • Hudson, Yawen & Yan, Meilan & Zhang, Dalu, 2020. "Herd behaviour & investor sentiment: Evidence from UK mutual funds," International Review of Financial Analysis, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301381
    DOI: 10.1016/j.irfa.2020.101494
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    More about this item

    Keywords

    Institutional investors; Herding; Mutual fund; Investor sentiment;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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