Institutional industry herding: Intentional or spurious?

Konstantinos Gavriilidis, Vasileios Kallinterakis and Mário Pedro Ferreira ()

Journal of International Financial Markets, Institutions and Money, 2013, vol. 26, issue C, 192-214

Abstract: This paper investigates the extent to which institutional herding at the industry level is motivated by intent. We assess intent using both market and sector states based on three variables (returns; volatility; volume), in order to gauge whether herding intent is more relevant to conditions prevailing in a sector or the market as a whole. Using a unique database of quarterly portfolio holdings of Spanish funds, we produce evidence that institutional herding in the Spanish market is intentional for most sectors, manifesting itself mainly during periods when the market as a whole or the specific sector under examination has underperformed, generated rising/high volatility and exhibited rising/high volume.

Keywords: Institutional investors; Industry herding; Intent; Spain (search for similar items in EconPapers)
JEL-codes: G01 G02 G10 G15 G23 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:26:y:2013:i:c:p:192-214

DOI: 10.1016/j.intfin.2013.05.008

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