Browsing by Author "Kallinterakis, Vasileios"
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- Herding and Positive Feedback Trading in the Portuguese Stock Exchange: An Exploratory InvestigationPublication . Ferreira, Mario Pedro; Kallinterakis, VasileiosThe heterogeneity inherent in the composition of the investors’ population is a factor conducive to the complexity of the market. Heterogeneous backgrounds are expected to lead to divergence in investors’ decision-making. However, evidence suggests that the temporary convergence of beliefs and actions is a possibility. Our research attempts to address the issue of two aspects of this convergence, namely positive feedback trading (“trend-chasing”) and herding. Using data from the Portuguese PSI-20 market index, we test for herding and positive feedback trading for the period since the inception of the PSI-20 (January 1993). Results indicate the significance of herding and positive feedback trading towards the index, both of which appear to be experiencing a sharp rise between 1996 and 1999. This coincides with the Portuguese market’s “boom-bust” in the second half of the 1990’s. In line with Hwang and Salmon (2004), herding appears to be rising during periods of “definitive” market direction and exhibits descending tendencies during periods of market fluctuations.
- Herding in a Concentrated Market: a Question of IntentPublication . Holmes, Phil; Kallinterakis, Vasileios; Leite Ferreira, M. P.While considerable evidence exists that institutions herd, the issue of why herding takes place remains unresolved. Using monthly holdings data for Portugal, we find clear evidence of herding and investigate whether such behaviour is intentional or spurious. By analysing herding under different market conditions, we conclude it is intentional. Month-of-the-quarter analysis suggests reputational reasons drive behaviour. Results are consistent with herding interacting with window dressing to determine funds, buy and sell decisions. The findings are important in understanding market dynamics and fund managers' behaviour and are of great significance to investors in managed funds.
- Institutional industry herding: Intentional orspurious?Publication . Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Ferreira, Mário PedroThis paper investigates the extent to which institutional herding atthe industry level is motivated by intent. We assess intent usingboth market and sector states based on three variables (returns;volatility; volume), in order to gauge whether herding intent ismore relevant to conditions prevailing in a sector or the marketas a whole. Using a unique database of quarterly portfolio holdingsof Spanish funds, we produce evidence that institutional herdingin the Spanish market is intentional for most sectors, manifestingitself mainly during periods when the market as a whole or thespecific sector under examination has underperformed, generatedrising/high volatility and exhibited rising/high volume.
- Intraday herding on a cross-border exchangePublication . Andrikopoulos, Panagiotis; Kallinterakis, Vasileios; Ferreira, Mario Pedro Leite; Verousis, ThanosThis study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.
- On the impact of style investing over institutional herding: evidence from a highly concentrated marketPublication . Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Leire-Ferreira, Mário PedroFund managers have been found to herd significantly in major international markets, with evidence suggesting that style investing reinforces their herding. However, research to date has not explored the herding-style relationship in highly concentrated markets, despite the impact that market concentration can confer over this relationship. This study investigates this issue in the context of Portugal using monthly funds’ portfolio-holdings and documents evidence suggesting the significant temporal dependence of monthly institutional demand which is for the most part due to herding. The significance of this dependence remains robust when controlling for several styles, as well as accounting for the entry of Portugal into the EURONEXT and the outbreak of the ongoing global crisis. Combining the above with the limited evidence of significance in the presence of the styles controlled for, the authors conclude that Portuguese fund managers herd significantly without style affecting their herding.