The impacts of stock characteristics and regulatory change on mutual fund herding in Taiwan

Hou, Tony Chieh‐Tse; McKnight, Phillip J.; Weir, Charlie

doi:10.1080/09603107.2013.866201

Cited by 2 publications

(1 citation statement)

References 24 publications

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“…Andronikidi and Kallinterakis (2010) found in the case of Israel that the presence of thin trading tends to conceal the actual magnitude of herding. Analysing Taiwanese open-end equity mutual fund herding behaviour over the period of -2008of , Hou et al (2014 found evidence of both directional Impact of volatility and equity market uncertainty and directionless herding, and the abolition of qualified foreign institutional investors has reduced directionless and sell-side herding but has had no effect on buy-side herding. Luo and Schinckus (2015) investigated herding behaviour in asymmetric (bearish versus bullish contexts) and extreme market conditions, using daily data from the Shanghai and Shenzhen stock exchange markets and found that a bullish context generates herding behaviour among investors of B-shares, while a bearish situation rather favours crowd movement among A-shares.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs

Akinsomi

Coşkun²,

Gupta

et al. 2018

JERER

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Purpose This paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016. Design/methodology/approach Observations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model. Findings Although a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX). Originality/value The results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.

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Section: Literature Reviewmentioning

confidence: 99%