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Do investors herd intraday in Australian equities?

Author

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  • Julia Henker
  • Thomas Henker
  • Anna Mitsios

Abstract

Purpose - The purpose of this research is to consider whether market wide herding occurs intraday. Design/methodology/approach - Using the 1995 Christie and Huang and the 2000 Changet al.models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market. Findings - Neither market wide nor industry sector herding occurs intraday. Research limitations/implications - Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross‐sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns. Originality/value - No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

Suggested Citation

  • Julia Henker & Thomas Henker & Anna Mitsios, 2006. "Do investors herd intraday in Australian equities?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 2(3), pages 196-219, July.
    • Handle: RePEc:eme:ijmfpp:17439130610676475
    DOI: 10.1108/17439130610676475
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    Cited by:

    1. Christian Espinosa-Méndez & José Arias, 2021. "Herding Behaviour in Asutralian stock market: Evidence on COVID-19 effect," Applied Economics Letters, Taylor & Francis Journals, vol. 28(21), pages 1898-1901, December.

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