Herding on Fundamental Information: A Comparative Study

Posted: 27 Jan 2015 Last revised: 19 Jan 2016

See all articles by Emilios C. Galariotis

Emilios C. Galariotis

Audencia Business School ; Audencia Nantes School of Management

Wu Rong

Independent

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: January 26, 2015

Abstract

This paper tests for herding towards the market consensus for US and UK leading stocks, and to the best of our knowledge addresses a gap in the literature regarding the importance of major fundamental macroeconomic announcements. The results indicate that US investors tend to herd during days when important macro data are released, and that there have been herding spill-over effects from the US to the UK during earlier financial crises. Further results reveal more differences in herding behavior between the two markets: in the US we find that investors herd due to both fundamentals and non-fundamentals during different crises, when in the UK there is herding only due to fundamentals and only during the Dotcom bubble burst. These results suggest that the drivers of herding behavior are period and country specific.

Keywords: Herding; Fundamental information; Financial crisis

JEL Classification: G15

Suggested Citation

Galariotis, Emilios C. and Rong, Wu and Spyrou, Spyros I., Herding on Fundamental Information: A Comparative Study (January 26, 2015). Journal of Banking and Finance, Vol. 50, 2015, Available at SSRN: https://ssrn.com/abstract=2555603

Emilios C. Galariotis (Contact Author)

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Audencia Nantes School of Management ( email )

France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Wu Rong

Independent ( email )

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

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