An examination of herd behavior in equity markets: An international perspective

Chang, Eric C.; Cheng, June; Khorana, Ajay

doi:10.1016/s0378-4266(99)00096-5

Cited by 988 publications

(1,689 citation statements)

References 14 publications

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“…Furthermore, Haigh and List (2005) find that traders from the Chicago Board of Trade exhibit behaviour consistent with myopic loss aversion; Froot et al (1992) demonstrate the impact of short-horizon speculators on informational inefficiency; and Chang et al (2000) argue that herding in South Korea and Taiwan may be the result of short-horizon investors. Similarly, Fang (2012) "investigates the aggregate investor preferences and beliefs of the US stock market by examining enduring puzzles in finance" (p 546) and results are consistent with loss aversion at both monthly and yearly horizons.…”

Section: Introductionmentioning

confidence: 99%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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Following Cooper et al (CGH) 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorising up/down markets based on actual prices as CGH, we suggest investors may view expectations and/or sentiment as important. Contrary to the findings for the US, we find that momentum returns are not related to CGH-defined market states. Similar findings hold for an expectations-based split. In contrast, for the whole sample period, construction and retail sentiment indicators explain differences in momentum profits. However, robustness tests suggest their explanatory power is driven by the post-subprime crisis period.JEL Classification: G1 (G10, G14)

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Section: Introductionmentioning

confidence: 99%

Market states, expectations, sentiment and momentum: How naive are investors?

Galariotis

Holmes

Kallinterakis

et al. 2014

International Review of Financial Analysis

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“…However, when conditioning feedback trading upon the observed lagged premiums/discounts, it exhibits significance in the presence of lagged premiums (i.e. when the ETF traded at a price 13 For example, Chang et al (2000) showed that emerging markets are more prone to herding than developed ones. 14 If some stocks among the constituents of an index exhibit thinness in their trading, an authorized participant might have issues in trading the underlying basket of stocks of that index in order to create/redeem ETF-units.…”

mentioning

confidence: 99%

Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs

Charteris

Chau

Gavriilidis

et al. 2014

International Review of Financial Analysis

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(2014) 'Premiums, discounts and feedback trading : evidence from emerging markets' ETFs.', International review of nancial analysis., 35 . pp. 80-89. Further information on publisher's website:http://dx.doi.org/10.1016/j.irfa.2014.07.010Publisher's copyright statement: NOTICE: this is the author's version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be re ected in this document. Changes may have been made to this work since it was submitted for publication. A de nitive version was subsequently published in International Review of Financial Analysis, 35, October 2014, 10.1016/j.irfa.2014.07.010. Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.

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“…The framework which is depicted in Figure 1 was developed based on extensive literature review in the field of behavioral finance by the authors. (Chang et al, 2000) discuss herding behavior as a method by which market participants Source: (Haritha & Uchil, 2016) Figure 1. Conceptual framework depicting the relationship between investors' sentiments and pitfalls.…”

Section: Market Sentimentsmentioning

confidence: 99%

Review of Stock Markets’ Reaction to New Events: Evidence from Brexit

Quaye¹,

Mu²,

Abudu³

et al. 2016

JFRM

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Several studies have evolved to deal with the determinants of stock market volatility. However, there exists a gap in literature with regards to the interrelation among the broad categories of factors that trigger stock market reaction namely company fundaments, technical factors and market sentiments. This paper provides a holistic and comprehensive theoretical review of drivers of stock markets' reaction as well as designs an interrelated conceptual framework of the factors that influence investors' decision making to fill the gap in literature. Brexit is presented as a case study to illustrate how investors and stock markets are affected by new events or information. This study will reveal some of the global staggering effects of Brexit at the end of trading on June 24, 2016 in areas such as currencies, stock markets, banks, commodities, bonds, automakers and homebuilders as well as hedge fund. Barely 24 hours after the results of Brexit were declared; global stock markets lost about $2 trillion in value. The British pound plunged to almost $1.33, its lowest level in over 30 years against the US dollar and gold proved to be one of the few safe havens for investors on that day. In order for investors to insulate themselves against loses from Black Swans events, the conclusion of this study recommends some protective mechanisms for investors which include avoidance of overexposure and stockpiling of cash.

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An examination of herd behavior in equity markets: An international perspective

Cited by 988 publications

References 14 publications

Market states, expectations, sentiment and momentum: How naive are investors?

Market states, expectations, sentiment and momentum: How naive are investors?

Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs

Review of Stock Markets’ Reaction to New Events: Evidence from Brexit

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