Uncertainty, Fear and Herding Behavior: Evidence from Size-Ranked Portfolios

被引:17
作者
Aharon, David Y. [1 ]
机构
[1] Ono Acad Coll, Kiryat Ono, Israel
关键词
Investor sentiment; Herding; Size ranked portfolios; Market efficiency; Behavioral finance; Uncertainty; INVESTOR SENTIMENT; TIME-SERIES; FUND MANAGERS; STOCK MARKETS; UNIT-ROOT; EXCHANGE; IMPACT; FIT;
D O I
10.1080/15427560.2020.1774887
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study is aimed at testing the relationship between investors' uncertainty reflected by market sentiment and herding behavior phenomenon. Using data for 1990-2019 for size-ranked portfolios, the evidence documented here indicates that herding is strongly related to market sentiment as captured by the CBOE's Volatility Index, the VIX. The results indicate that the VIX, which is also recognized as the fear index, has a substantial impact on herding across all groups and subgroups of size-ranked portfolios. Overall, the effect of VIX exists in most of the quantiles of the cross-sectional absolute deviation distribution. In this context, the scale and magnitude of the fear index impact rises toward the highest parts of the herding distribution. We also show that herding behavior is more pronounced when the market is overwhelmed by sentiment. The findings have several practical implications for investment professionals such as portfolio managers, investment officers, analysts, and other market participants. They also provide academic insights for researchers dealing with market efficiency and investors' behavior.
引用
收藏
页码:320 / 337
页数:18
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