Short‐term Herding of Institutional Traders: New Evidence from the German Stock Market

Abstract

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Do commodity investors herd? Evidence from a time-varying stochastic volatility model

“…These studies usually rely on a transaction-based herding model that requires detailed records on the trading behavior (buy/sell actions) of specific group of investors. Lakonishok et al (1992) Kremer & Nautz (2013), Clement and Tse (2005), Gleason et al (2003), Graham (1999, Trueman (1994), Welch (2000), and Wermers (1999). Still, the majority of the relevant studies explores the formation of herding patterns by measuring the shifts of stock returns dispersion in response to market movements.…”

Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market

“…1 See for example Grinblatt et al (1995), Wermers (1999), Walter and Weber (2006), or Kremer and Nautz (2011). 2 E.g., in the German mutual fund market, the market share of equity funds purely investing in German stocks accounts for only 11.8% within our fund sample.…”

Institutional industry herding: Intentional or spurious?

“…In the past two decades, research has been extensive on this issue, with evidence from a multitude of markets internationally confirming that fund managers do indeed engage in peer-mimicking in their trading conduct. More specifically, institutional investors have been found to herd significantly in a rather diverse set of markets, including Germany (Walter and Weber, 2006;Kremer and Nautz, 2011), Portugal (Holmes et al, 2011), Taiwan (Chen et al, 2012), the UK (Wylie, 2005) and the US (e.g. Lakonishok et al, 1992;Wermers, 1999;Sias, 2004;Choi and Sias, 2009).…”