Institutional industry herding : intentional or spurious?

Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Ferreira, Mário Pedro

http://hdl.handle.net/10400.14/14590

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Authors

Gavriilidis, Konstantinos

Kallinterakis, Vasileios

Ferreira, Mário Pedro

Abstract(s)

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.

Keywords

Institutional investors Industry herding Intent Spain

URI

http://hdl.handle.net/10400.14/14590

Citation

GAVRIILIDIS, Konstantinos; KALLINTERAKIS, VASILEIOS; FERREIRA, Mário Pedro - Institutional industry herding: intentional or spurious?. Journal of International Financial Markets, Institutions and Money. ISSN 1042-4431. Vol. 26 (2013), p. 192–214