Herd behaviour &amp; investor sentiment: Evidence from UK mutual funds

Hudson, Yawen; Yan, Meilan; Zhang, Dalu

doi:10.1016/j.irfa.2020.101494

Cited by 50 publications

(20 citation statements)

References 71 publications

(64 reference statements)

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“…Herding in different markets may exhibit different patterns. For example, Hudson et al ( 2020 ) find evidence that fund managers of the UK herd based on investors’ sentiment. In a study on Asian and Latin American markets, Kabir et al ( 2018 ) observe that while some markets have a tendency of herding with market consensus in the high market regime, there is no such nonlinearity in market regimes in China, India, Brazil, Singapore, Malaysia etc.…”

Section: Literature Reviewmentioning

confidence: 99%

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Mukherjee

Tiwari

2022

Asia-Pac Financ Markets

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The existence of behavioural bias such as positive feedback trading (PFT) and herding is well researched for advanced economies. This paper explores whether foreign institutional investors (FIIs), a prominent investor group, pursue these strategies in India. The contribution lies in the application of multiple measures of herding. Results indicate that FIIs exhibit PFT behaviour in equity and to some extent, in debt. At the individual stock level, FIIs herd during non-extreme market conditions, but market-level measures indicate absence of herding in extreme market conditions. In the bullish market, they behave more rationally compared to bearish or normal market conditions.

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Section: Literature Reviewmentioning

confidence: 99%

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Mukherjee

Tiwari

2022

Asia-Pac Financ Markets

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“…According to Devault, Sias, and Starks (2019), sentiment traders shift from safer to more speculative stocks when sentiment increases. Due to herd behaviour, the sentiment-driven noise traders trade in concert, causing trading volumes to increase rapidly, all of which results in increased market volatility (Blasco, Corredor, & Ferrer, 2018;Economou, Hassapis, & Philippas, 2018;Hudson, Yan, & Zhang, 2018). As the incidence of the sentiment traders on the markets increases, mispricing occurs.…”

Section: Introductionmentioning

confidence: 99%

Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange

Rupande

Muguto

Muzindutsi

2019

Cogent Economics & Finance

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Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of the movement in fundamental factors. However, herein this study, it is hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose patterns are irreconcilable with changes in fundamental factors. This assertion is tested using a daily sentiment composite index constructed from a set of proxies and Generalised Autoregressive Conditional Heteroscedasticity models on the South African market over a period spanning July 2002 to June 2018. The results show that there is a significant connection between investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of stock returns on the Johannesburg Stock Exchange. It is, thus, recommended that due to the inadequacies of popular asset pricing models such as the Capital Asset Pricing Model, consideration should be made towards augmenting these asset pricing models with a sentiment risk factor.

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“…Investor sentiment is related to people's perception of future investment risks. According to the theory of behavioral finance, when people hear events reported in the media, they will underestimate or overestimate the impact of the event, thus resulting in the fluctuation of investor sentiment [11]. Some sentiment factors such as emotional factors, sociology factors, and psychology factors make people more likely to make irrational investments [11].…”

Section: Introductionmentioning

confidence: 99%

“…According to the theory of behavioral finance, when people hear events reported in the media, they will underestimate or overestimate the impact of the event, thus resulting in the fluctuation of investor sentiment [11]. Some sentiment factors such as emotional factors, sociology factors, and psychology factors make people more likely to make irrational investments [11]. During the epidemic and pandemic period, the average volatility of China's stock market was lower, and the stock market was relatively stable, while, the volatility of the United States, the United Kingdom, South Korea and other countries has increased with the spread of the epidemic [4].…”

Section: Introductionmentioning

confidence: 99%

COVID-19 and Volatility of China Concept Stocks

Chen¹

2022

Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

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is now spreading all over the world, and the severity of the epidemic varies from region to region. In this case, people's investor sentiment is unstable, and the price of the stock market fluctuates accordingly, including China Concept Stocks. This paper aims at exploring the correlation between the Chinese concept stock price index and the severity of the epidemic in China and the United States. Findings suggest that the situation in China has no dynamic correlation with the China concept stock price, while the US is more related to the China concept stock price during the pandemic period. In conclusion, the volatility and the severity of the US pandemic show more similar trends than that of China, and they are more correlated.

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Herd behaviour & investor sentiment: Evidence from UK mutual funds

Cited by 50 publications

References 71 publications

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Trading Behaviour of Foreign Institutional Investors: Evidence from Indian Stock Markets

Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange

COVID-19 and Volatility of China Concept Stocks

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