کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973771 932869 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Herding and the role of foreign institutions in emerging equity markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Herding and the role of foreign institutions in emerging equity markets
چکیده انگلیسی

This study examines herding surrounding qualified foreign institutional investors (QFIIs) in an emerging equity market. Using five years of weekly order flow data, I find that, when QFIIs increase (decrease) their weightings in particular sectors, dealers', margin traders', and mutual funds' holdings/weightings likewise increase (decrease) during the same and following weeks, despite controls for return and trading momentum. This herding is potentially destabilizing as prices overshoot and mean revert highlighting the potential negative impact of this level of transparency and of the policy of disclosing QFII trading in emerging markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 18, Issue 2, April 2010, Pages 175–185
نویسندگان
,