Test and Analysis of Herding Behavior between Institutional Investors in Iran Stock Market

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Rezaei, Mohammad | 2009

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 39397 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Keshavarz Haddad, Gholamreza
Abstract:
Institutional investors are among the main players of capital market and stock market. These investor’s activities on the one hand affect directly on indices, and on the other hand on transactions of other players in the stock market. In case the transactions of stockholders are not based on sufficient information and merely based on imitation of other investors, herding behavior would be taken place within them.In this study, using two methods of Lakonishok (1992) & Sias (2004), we consider herding behavior amongst the Institutional investors of Iran stock market.In both methods, weekly and monthly data are used for testing herding behavior in the short-run and quarterly data for the long-run.At last, momentum strategy and its effect on herding behavior and even correlation between the observed herding behavior and stock return are also analyzed.The results of this study confirmed the existence of herding behavior among the institutional investors but refuses the role of momentum strategy on that and the effect of herding behavior on returns
Keywords:
Herd Behavior ; Stock Market ; Momentum Strategy ; Imitation ; Institutional Investors