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The Prevalence, Sources, and Effects of Herding

Forthcoming, Journal of Futures Markets

48 Pages Posted: 15 Mar 2009 Last revised: 28 Aug 2015

Naomi E. Boyd

West Virginia University

Bahattin Buyuksahin


Michael S. Haigh

Standard Chartered Bank

Jeffrey H. Harris

American University

Date Written: August 14, 2015


We test the prevalence, sources and effects of herding among large speculative traders in thirty U.S. futures markets over 2004-2009. Using unique U.S. Commodity Futures Trading Commission (CFTC) data identifying daily trader positions we compare herding among hedge funds and floor market participants and find similar levels of herding across groups at slightly higher levels than in equity markets. We analyze the sources of herding and find that the number of traders, trading volume and floor-based markets are positively associated with herding. Notably, we find that the moderate levels of herding by hedge funds serve to stabilize, rather than destabilize, prices in futures markets.

Keywords: Herding, Hedge Funds, Futures Markets

JEL Classification: G10

Suggested Citation

Boyd, Naomi E. and Buyuksahin, Bahattin and Haigh, Michael S. and Harris, Jeffrey H., The Prevalence, Sources, and Effects of Herding (August 14, 2015). Forthcoming, Journal of Futures Markets. Available at SSRN: or

Naomi Boyd (Contact Author)

West Virginia University ( email )

PO Box 6025
Morgantown, WV 26506
United States

Bahattin Buyuksahin

ADIA ( email )

211 Corniche Road
Abu Dhabi, Abu Dhabi PO Box3600
United Arab Emirates
+971505496600 (Phone)

Michael Haigh

Standard Chartered Bank ( email )

6 Battery Rd
65-8838-7318 (Phone)

Jeffrey Harris

American University ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

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