Does mood affect institutional herding?



Gavriilidis, Konstantinos, Kallinterakis, Vasileios ORCID: 0000-0001-6217-1188 and Ozturkkal, Belma
(2020) Does mood affect institutional herding? JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 26. p. 100290.

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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.

Item Type: Article
Uncontrolled Keywords: Herding, Mood, Fund managers, Turkey
Depositing User: Symplectic Admin
Date Deposited: 05 Mar 2020 08:43
Last Modified: 09 Feb 2023 02:08
DOI: 10.1016/j.jbef.2020.100290
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3077739