Does mood affect institutional herding?
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Date
2020
Authors
Gavriilidis, Konstantinos
Kallinterakis, Vasileios
Öztürkkal, Belma
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
Drawing on a unique data set of daily portfolio holdings for Turkish mutual funds we investigate the relationship between mood and institutional herding on the premises of various established mood proxies (weekend effect; holiday effect; Ramadan; sunshine). Results indicate that fund managers in Turkey herd significantly, with their herding growing in magnitude as the number of active funds per stock rises and appearing stronger on the buy-than the sell-side. Although the relationship of mood with institutional herding occasionally assumes the correct sign as per theoretical expectations, institutional herding is found to be insignificantly different across various mood states, thus denoting that mood does not impact the propensity of fund managers to herd. (C) 2020 Elsevier B.V. All rights reserved.
Description
Keywords
Herding, Mood, Fund managers, Turkey
Turkish CoHE Thesis Center URL
Citation
8
WoS Q
N/A
Scopus Q
Q1
Source
Volume
26