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Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Institutional industry herding: Intentional or spurious?
Author(s): Gavriilidis, Konstantinos
Kallinterakis, Vasileios
Leire-Ferreira, Mario Pedro
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Keywords: Institutional investors
Industry herding
Issue Date: Oct-2013
Date Deposited: 9-Aug-2013
Citation: Gavriilidis K, Kallinterakis V & Leire-Ferreira MP (2013) Institutional industry herding: Intentional or spurious?. Journal of International Financial Markets, Institutions and Money, 26 (1), pp. 192-214.
Abstract: This paper investigates the extent to which institutional herding at the industry level is motivated by intent. We assess intent using both market and sector states based on three variables (returns; volatility; volume), in order to gauge whether herding intent is more relevant to conditions prevailing in a sector or the market as a whole. Using a unique database of quarterly portfolio holdings of Spanish funds, we produce evidence that institutional herding in the Spanish market is intentional for most sectors, manifesting itself mainly during periods when the market as a whole or the specific sector under examination has underperformed, generated rising/high volatility and exhibited rising/high volume.
DOI Link: 10.1016/j.intfin.2013.05.008
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