An Examination of Herd Behaviour: Evidence from Colombo Stock Exchange

2020 ◽  
Author(s):  
S. M Abeysekera ◽  
D. C. Wijesinghe ◽  
S. S. Weligamage
Keyword(s):  
Stock Exchange ◽  
Herd Behaviour

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

scholarly journals Against the Herd: Contrarian Investment Strategies on the Johannesburg Stock Exchange

2014 ◽  
Vol 6 (2) ◽  
pp. 120-129
Author(s):  
Prince K. Sarpong
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Mutual Funds ◽  
Opposite Direction ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Superior Performance ◽  
Johannesburg Stock Exchange ◽  
Herd Behaviour ◽  
Over Time

This study seeks to investigate herd behaviour among equity mutual fund managers and the performance of mutual funds that trade against the herd in South Africa. The behaviour of mutual funds has an effect on the stability and volatility of stock markets, the ultimate returns to the investors. The study builds upon the efficient market hypothesis, portfolio theory and behavioural finance to provide evidence of the behaviour of mutual funds in an emerging market context using the Johannesburg Stock Exchange. The Lakonishok, Shleifer and Vishney (1991) measure of herding is used to ascertain the behaviour of mutual funds over the period 2006 to 2012. Institutional investors in South Africa are susceptible to the behavioural bias of herding and this phenomenon influences the performance of their funds. Funds that trade in the opposite direction of herd funds are able to put up a superior performance over time. Superior performance, however, does not entice mutual fund investors to invest less in under-performing funds and more in funds that recently show superior performance. These findings imply that following investment waves does not culminate in superior returns in the stock market. Consequently, mutual funds that take an opposite direction to herd funds help stabilize the stock market and lessen the severity of bear markets. This study categorizes mutual funds into ‘herding’ and ‘contrarian’ and provides an insight into the performance of each category. Investors who oppose herd behaviour realize greater returns over time while stabilizing the markets at the same time.

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 01-16
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

scholarly journals Factors influencing Individual Investor Behaviour: Evidence from the Kuwait Stock Exchange

2019 ◽  
Vol 15 (3) ◽  
pp. 27 ◽  
Author(s):  
Sadeq J. Abul
Keyword(s):  
Psychological Factors ◽  
Stock Exchange ◽  
Individual Investors ◽  
Individual Investor ◽  
Factors Influencing ◽  
Risk Appetite ◽  
Kuwait Stock Exchange ◽  
Herd Behaviour ◽  
Investor Behaviour ◽  
The Individual

This study investigates the effects of psychological factors on investor behaviour regarding the Kuwait Stock Exchange (KSE). These psychological factors are, namely: excessive optimism vs pessimism, herd behaviour and risk appetite. The data for this study obtained from KSE and a survey of a random sample of 398 individual investors. By using qualitative analysis and based on the theory of behavioural finance, the study findings show that herd behaviour, optimism and psychology risk have an impact on the individual investors’ decisions. However, we did not find any evidence of overconfidence behaviour’s effects on investors’ decisions. To our knowledge, KSE has been examined by several researchers without taking into consideration the effects of psychological factors on individual investor decisions. This study finds that psychological factors play a significant role in individual investors’ decisions regarding KSE. This study might contribute positively to the development of this field of research in (KSE).

Herd Behaviour in Stock Exchange Alliances: The Case of EURONEXT

2009 ◽  
Author(s):  
Vasileios Kallinterakis ◽  
Joni Sakari Ollikainen ◽  
Fernando Soares
Keyword(s):  
Stock Exchange ◽  
Herd Behaviour

scholarly journals Impact Of The Ban On Uncovered sCDS Trade On The Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Markets

2016 ◽  
Vol 19 (1) ◽  
pp. 75-97 ◽  
Author(s):  
Agata Kliber
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Stock Exchange ◽  
Bond Market ◽  
The Other ◽  
Speculative Attacks ◽  
Herd Behaviour ◽  
The Impact ◽  
European Markets

The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one. The study covers the period from October 2008 to October 2013. We analyse changes in the interdependencies between the sCDS market and the bond market, as well as between the sCDS market and the stock exchange. We found out that in the case of the safe Swedish market, the strength of relationships of each sector of financial markets with the sCDS one was much weaker than in the case of Hungary, which may suggest that the Swedish market is less prone to crisis transmission arising from herd behaviour or speculative attacks. In the end we show that in the two economies, the influence of the sCDS market on the other sectors of financial market indeed diminished following introduction of the ban on uncovered sCDS trade.

scholarly journals Herd Behaviour, Short-Lived Phenomenon: Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 8 (1) ◽  
pp. 51-72
Author(s):  
Shaista Jabeen ◽  
Sayyid Salman Rizavi
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Markets ◽  
Market Anomalies ◽  
Price Adjustments ◽  
Fundamental Information ◽  
New Information ◽  
Herd Behaviour ◽  
Price Instability

This research intends to investigate the herd behaviour of investors in Pakistan Stock Exchange (PSX). Previous literature claims that herd behaviour is driven from fundamental information, which causes quick price adjustments to new information and thus leads to efficient markets. However, some researchers have claimed that herd behaviour does not depend upon fundamental information, and hence, leads to price instability. For the purpose of this research, the daily closing stock prices of 528 companies listed in the PSX have been used to calculate the stock returns. The market-wide herd measure, proposed by Chiang and Zheng (2010), has been used to compute the herd behaviour. The data has been investigated for autocorrelation, heteroscedasticity, and stationarity issues. Findings revealed that herding did not exist in PSX, but some sectors did follow this behaviour. This study can help regulators to comprehensively investigate market anomalies leading to smooth market processing.

Short Term and Long Term Herding Prospects: Evidence from Pakistan Stock Exchange

2021 ◽  
pp. 119-144
Author(s):  
Shaista Jabeen ◽  
Sayyid Salman Rizavi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Short Term ◽  
Fundamental Information ◽  
New Information ◽  
Herd Behaviour ◽  
Price Instability

The present research intends to examine the herd behaviour of investors in the Pakistan Stock Exchange (PSX). Herd behaviour in stock market is sometimes based on fundamental information, which causes quick price adjustments to new information and leads to efficient markets. Still, sometimes it is not dependent on fundamental information and results in price instability. Herding can be a short term phenomenon, but sometimes a longer time span can provide favourable outcomes for the occurrence of herd behaviour. Considering these diverse views, intraday, daily, weekly, and monthly stock prices of 528 companies listed in the PSX have been used to calculate stock returns. Market-wide herd measure, i.e. CSAD, has been used to compute the herd behaviour. Data has been investigated for autocorrelation, heteroscedasticity, and stationarity issues. Findings revealed that herding did not exist in PSX, but some sectors showed this behaviour. Herd behaviour was more likely to exist at a daily level. The tendency of occurrence of the herding phenomenon gradually decreases at intraday and weekly levels. However, herding cannot be taken as a long term phenomenon as just a single sector was evidenced about its existence at the monthly level. Herding is an inherent phenomenon that is very difficult to eliminate from the stock market completely. However, knowledge and information sharing can guide investors to improve this behaviour Keywords: Herd Behaviour, Behavioural Finance, Return Dispersions, Pakistan Stock Exchange, CSAD

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