Does Country Matter to Investor Herding? Evidence from an Intraday Analysis

Tao CHEN*

*Corresponding author for this work

Research output: Journal PublicationsJournal Article (refereed)peer-review

5 Citations (Scopus)

Abstract

This study uses high-frequency intraday data to investigate country-level intraday herding behavior among global market investors and finds strong evidence of significant herding at the country level. Specifically, we find that traders tend to follow each other from one country to another. Moreover, we find that country-level herding is a combination of informed and uninformed herding, and that the contribution of uninformed herding is approximately five times greater than that of its informed counterpart. Informed country-level herding is primarily motivated by correlated signals, whereas uninformed country-level herding is influenced by momentum trading, style investing, and market pressure.

Original languageEnglish
Pages (from-to)56-64
Number of pages9
JournalJournal of Behavioral Finance
Volume22
Issue number1
Early online date25 Jan 2020
DOIs
Publication statusPublished - 2021
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2020 The Institute of Behavioral Finance.

Funding

I acknowledge support from a Start-up Research Grant (SRG2018-00115-FBA) from the University of Macau. All errors are my own.

Keywords

  • Global markets
  • Herding
  • Intraday analysis

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