Short†term Herding of Institutional Traders: New Evidence from the German Stock Market

Stephanie Kremer and Dieter Nautz

European Financial Management, 2013, vol. 19, issue 4, 730-746

Abstract: This paper employs a new and comprehensive data set to investigate short†term herding behaviour of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behaviour occurs on a daily basis. However, in contrast to longer†term herding measures obtained from quarterly data, results based on daily data do not indicate that short†term herding tends to be more pronounced in small capitalised stocks or in times of market stress. Moreover, we find that herding measures based on anonymous transactions can lead to misleading results about the behaviour of institutional investors during the recent financial crisis.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1111/j.1468-036X.2011.00607.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:19:y:2013:i:4:p:730-746

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1354-7798

Access Statistics for this article

European Financial Management is currently edited by John Doukas

More articles in European Financial Management from European Financial Management Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().