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Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market

Stephanie Kremer and Dieter Nautz ()

No SFB649DP2011-015, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior 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 capitalized stocks or in times of market stress. Moreover, we find that herding measures based on anony- mous transactions can lead to misleading results about the behavior of institutional investors during the recent financial crisis.

Keywords: Herding; Investor Behavior; Institutional Trading; Anonymous Transaction Data (search for similar items in EconPapers)
JEL-codes: D81 G11 G24 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2011-03
New Economics Papers: this item is included in nep-mst
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Handle: RePEc:hum:wpaper:sfb649dp2011-015