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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Do Fund Managers Herd in Frontier Markets – and Why?
Authors: Economou, Fotini
Gavriilidis, Konstantinos
Kallinterakis, Vasileios
Yordanov, Nikolay
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Keywords: Herding
mutual funds
frontier markets
Issue Date: Jul-2015
Publisher: Elsevier
Citation: Economou F, Gavriilidis K, Kallinterakis V & Yordanov N (2015) Do Fund Managers Herd in Frontier Markets – and Why?, International Review of Financial Analysis, 40, pp. 76-87.
Abstract: Frontier markets constitute a category of markets for which very little is known regarding the behaviour of their institutional investors. This study attempts to shed light on this issue by investigating whether fund managers herd in frontier markets and whether their herding is intentional or not using data on quarterly portfolio holdings of funds from two such markets (Bulgaria and Montenegro). Results show that fund managers herd significantly in both markets; controlling for the interaction of their herding with different market states, we find that herding is stronger for both markets during periods of positive market performance and high volume, while in the case of Montenegro it also appears significant during periods of low volatility. Our findings are consistent with fund managers herding intentionally, in anticipation of informational and/or professional payoffs. We also find that Bulgarian (Montenegrin) fund managers herd significantly after (before) the outbreak of the 2008 global financial crisis and we attribute this to a volume-effect, since Montenegro (Bulgaria) saw the heaviest trading activity before (after) the crisis' outbreak.
Type: Journal Article
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Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Economou F, Gavriilidis K, Kallinterakis V & Yordanov N (2015) Do Fund Managers Herd in Frontier Markets – and Why?, International Review of Financial Analysis, 40, pp. 76-87. DOI: 10.1016/j.irfa.2015.03.017 © 2015, Elsevier. Licensed under the Creative Commons Attribution- NonCommercial-NoDerivatives 4.0 International
Affiliation: Open University of Cyprus
Accounting and Finance
University of Liverpool
Ernst and Young Global Limited

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