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Does mood affect institutional herding?

Konstantinos Gavriilidis, Vasileios Kallinterakis and Belma Öztürkkal

Journal of Behavioral and Experimental Finance, 2020, vol. 26, issue C

Abstract: Drawing on a unique data set of daily portfolio holdings for Turkish mutual funds we investigate the relationship between mood and institutional herding on the premises of various established mood proxies (weekend effect; holiday effect; Ramadan; sunshine). Results indicate that fund managers in Turkey herd significantly, with their herding growing in magnitude as the number of active funds per stock rises and appearing stronger on the buy- than the sell-side. Although the relationship of mood with institutional herding occasionally assumes the correct sign as per theoretical expectations, institutional herding is found to be insignificantly different across various mood states, thus denoting that mood does not impact the propensity of fund managers to herd.

Keywords: Herding; Mood; Fund managers; Turkey (search for similar items in EconPapers)
JEL-codes: G15 G23 G40 G41 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.jbef.2020.100290

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Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

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