MICRO AND MACRO HERDING BY INVESTORS AND THEIR EFFECTS ON MARKET VOLATILITY

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DAVALLOU MARYAM; BABAEI SEYYED SAJJAD

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:5 | Issue:2 (17) Page(s): 149-166

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Information Journal Paper

Title

MICRO AND MACRO HERDING BY INVESTORS AND THEIR EFFECTS ON MARKET VOLATILITY

Author(s)

DAVALLOU MARYAM | BABAEI SEYYED SAJJAD | Issue Writer Certificate

Keywords

HERDINGQ2

INDIVIDUAL INVESTORSQ1

INSTITUTIONAL INVESTORSQ2

BEHAVIORAL FINANCEQ2

Abstract

The purpose of this research is to examine HERDING by institutional and INDIVIDUAL INVESTORS in micro and macro level and their effects on market volatility. In micro level, we compare HERDING by institutional and INDIVIDUAL INVESTORS also examines the effect of firm’s characteristics on micro HERDING by panel data regression. In macro level, we test the influence of market factors on HERDING and the effect of macro HERDING on market volatility through time series regression. The results indicate that there is a HERDING tendency among both institutional and INDIVIDUAL INVESTORS and shiw that the propensity to herd is higher in INSTITUTIONAL INVESTORS. HERDING depends on firm’s characteristics and INSTITUTIONAL INVESTORS are more sensitive to these variables. In macro level results show that market return affects HERDING by INSTITUTIONAL INVESTORS also market return causes HERDING, mainly by INSTITUTIONAL INVESTORS, in the Granger causality sense. Finally, HERDING by INSTITUTIONAL INVESTORS influences market volatility.

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APA: Copy

DAVALLOU, MARYAM, & BABAEI, SEYYED SAJJAD. (2017). MICRO AND MACRO HERDING BY INVESTORS AND THEIR EFFECTS ON MARKET VOLATILITY. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 5(2 (17) ), 149-166. SID. https://sid.ir/paper/245633/en

Vancouver: Copy

DAVALLOU MARYAM, BABAEI SEYYED SAJJAD. MICRO AND MACRO HERDING BY INVESTORS AND THEIR EFFECTS ON MARKET VOLATILITY. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;5(2 (17) ):149-166. Available from: https://sid.ir/paper/245633/en

IEEE: Copy

MARYAM DAVALLOU, and SEYYED SAJJAD BABAEI, “MICRO AND MACRO HERDING BY INVESTORS AND THEIR EFFECTS ON MARKET VOLATILITY,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 5, no. 2 (17) , pp. 149–166, 2017, [Online]. Available: https://sid.ir/paper/245633/en

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