Institutional herding in financial markets: New evidence through the lens of a simulated model

Arbeitspapier

Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the predicted impact of information risk on herding. In contrast, the increase in buy herding measured for the financial crisis period cannot be explained by the herd model.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: DIW Discussion Papers ; No. 1336

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Subject: Herd Behavior ; Institutional Trading ; Model Simulation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Boortz, Christopher ; Jurkatis, Simon ; Kremer, Stephanie ; Nautz, Dieter
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/88155
• Last update: 10.03.2025, 11:43 AM CET