Herding the Mutual Fund Managers in the Athens Stock Exchange
AbstractBehavioural finance is a paradigm receiving great attention in the last decades and shaking the foundations of modern finance. A broadly discussed behavioural bias is herding, i.e. the tendency of investors to imitate each others’ decisions. Herding is a phenomenon with far-reaching implications for financial markets, but its importance becomes even larger if it is exhibited by institutional investors. The present study attempts to investigate whether mutual fund managers in Greece herd when investing in the Athens Stock Exchange in the period 2001 – 2006. For this purpose, semi-annual portfolio holdings of 31 mutual funds are analysed using the methodology proposed by Lakonishok et al. (1992). The study concludes that mutual fund managers undoubtedly herd, with the extent of herding being irrelevant to the price movements observed in the market. Managers herd primarily when they trade in large capitalisation stocks or stocks that belong to the most “famous” indices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by European Research Studies Journal in its journal European Research Studies Journal.
Volume (Year): XIV (2011)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.ersj.eu/
Behavior Finance; Herding; Mutual Funds; Institutional Investors;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clarke, Jonathan & Subramanian, Ajay, 2006.
"Dynamic forecasting behavior by analysts: Theory and evidence,"
Journal of Financial Economics, Elsevier,
Elsevier, vol. 80(1), pages 81-113, April.
- Ajay Subramanian & Jonathan Clarke, 2004. "Dynamic Forecasting Behavior by Analysts: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 546, Econometric Society.
- Bernhardt, Dan & Campello, Murillo & Kutsoati, Edward, 2006.
Journal of Financial Economics, Elsevier,
Elsevier, vol. 80(3), pages 657-675, June.
- Dan Bernhardt & Murillo Campbello & Edward Kutsoati, 2002. "Who Herds?," Discussion Papers Series, Department of Economics, Tufts University, Department of Economics, Tufts University 0213, Department of Economics, Tufts University.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 32(1), pages 23-43, August.
- David Hirshleifer & Siew Hong Teoh, 2003.
"Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis,"
European Financial Management, European Financial Management Association,
European Financial Management Association, vol. 9(1), pages 25-66.
- Hirshleifer, David & Teoh, Siew Hong, 2001. "Herd Behavior and Cascading in Capital Markets: A Review and Synthesis," MPRA Paper 5186, University Library of Munich, Germany.
- Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 4(02), pages 170-196, June.
- John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, American Finance Association, vol. 54(6), pages 2263-2295, December.
- Hwang, Soosung & Salmon, Mark, 2004.
"Market stress and herding,"
Journal of Empirical Finance, Elsevier,
Elsevier, vol. 11(4), pages 585-616, September.
- Hwang, Soosung & Salmon, Mark, 2004. "Market Stress and Herding," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4340, C.E.P.R. Discussion Papers.
- Yoshio Iihara & Hideaki Kiyoshi Kato & Toshifumi Tokunaga, 2001. "Investors' Herding on the Tokyo Stock Exchange," International Review of Finance, International Review of Finance Ltd., International Review of Finance Ltd., vol. 2(1&2), pages 71-98.
- Chang, Eric C. & Cheng, Joseph W. & Khorana, Ajay, 2000. "An examination of herd behavior in equity markets: An international perspective," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(10), pages 1651-1679, October.
- Svitlana Voronkova & Martin T. Bohl, 2005. "Institutional Traders' Behavior in an Emerging Stock Market: Empirical Evidence on Polish Pension Fund Investors," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 32(7-8), pages 1537-1560.
- Richard W. Sias, 2004. "Institutional Herding," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(1), pages 165-206.
- Mark Salmon & Soosung Hwang, 2001. "A New Measure of Herding and Empirical Evidence," Working Papers, Warwick Business School, Finance Group wp01-12, Warwick Business School, Finance Group.
- Frankfurter, George M. & McGoun, Elton G. & Allen, Douglas E., 2004. "The prescriptive turn in behavioral finance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, Elsevier, vol. 33(4), pages 449-468, September.
- Frankfurter, George M. & McGoun, Elton G., 2001. "Anomalies in finance: What are they and what are they good for?," International Review of Financial Analysis, Elsevier, Elsevier, vol. 10(4), pages 407-429.
- Hersh Shefrin, 2001. "Behavioral Corporate Finance," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 14(3), pages 113-126.
- Demirer, RIza & Lien, Donald, 2005. "Correlation and return dispersion dynamics in Chinese markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 14(4), pages 477-491.
- Sunil Sharma & Sushil Bikhchandani, 2000. "Herd Behavior in Financial Markets: A Review," IMF Working Papers 00/48, International Monetary Fund.
- Keim, Donald B. & Madhavan, Ananth, 1995. "Anatomy of the trading process Empirical evidence on the behavior of institutional traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 37(3), pages 371-398, March.
- Demirer, RIza & Kutan, Ali M., 2006. "Does herding behavior exist in Chinese stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 16(2), pages 123-142, April.
- Frankfurter, George M. & McGoun, Elton G., 2002. "Resistance is futile: the assimilation of behavioral finance," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 48(4), pages 375-389, August.
- Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 54(2), pages 581-622, 04.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eleni Giannakopoulou).
If references are entirely missing, you can add them using this form.