Herding of institutional investors and margin traders on extreme market movements

Anchor Y. Lin and Yueh-Neng Lin

International Review of Economics & Finance, 2014, vol. 33, issue C, 186-198

Abstract: This paper investigates the herding tendency of foreign and domestic institutional investors and margin traders from different herding perspectives by using daily buy and sell data in Taiwan's stock market. Strong evidence indicates that herding phenomenon is closely associated with market conditions, traders' types and firm characteristics. Trading behaviors of institutional investors and margin traders are affected by their own past trades but their trading patterns change when facing large price drops. Margin traders and institutional investors have the tendency to sell past losers upon large market price declines and buy past winners upon large market price rises.

Keywords: Herding; Extreme market movements; Foreign investors; Margin traders (search for similar items in EconPapers)
JEL-codes: G12 G13 G15 G18 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:33:y:2014:i:c:p:186-198

DOI: 10.1016/j.iref.2014.05.001

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