Does mood affect institutional herding?

No Thumbnail Available

Date

2020

Authors

Gavriilidis, Konstantinos
Kallinterakis, Vasileios
Öztürkkal, Belma

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Research Projects

Organizational Units

Journal Issue

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

Issue

Start Page

End Page