English, Article edition: Do investors herd intraday in Australian equities? Julia Henker; Thomas Henker; Anna Mitsios

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Bookmark: http://trove.nla.gov.au/version/8945
Physical Description
  • article
Language
  • English

Edition details

Title
  • Do investors herd intraday in Australian equities?
Author
  • Julia Henker
  • Thomas Henker
  • Anna Mitsios
Physical Description
  • article
Notes
  • Purpose – The purpose of this research is to consider whether market wide herding occurs intraday. Design/​methodology/​approach – Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market. Findings – Neither market wide nor industry sector herding occurs intraday. Research limitations/​implications – Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross-sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns. Originality/​value – No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.
  • Australia, Equity capital, Finance, Investors
  • RePEc:eme:ijmfpp:v:2:y:2006:i:3:p:196-219
Language
  • English
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