Institutional Herding and Mood
55 Pages Posted: 5 Nov 2017
Date Written: October 31, 2017
Drawing on a unique data set of daily portfolio holdings for Turkish mutual funds we investigate the relationship between mood and institutional herding on the premises of various established mood proxies (weekend effect; holiday effect; Ramadan; sunshine; new/full moon) for the January 2002-August 2008 period. Results indicate that fund managers in Turkey herd significantly, with their herding growing in magnitude as the number of active funds per stock rises and appearing stronger on the buy- than the sell-side. Although the relationship of mood with institutional herding occasionally assumes the correct sign as per theoretical expectations, institutional herding is found to be insignificantly different across various mood states, thus denoting that mood does not impact the propensity of fund managers to herd.
Keywords: herding, mood, fund managers, Turkey
JEL Classification: G15, G23, G40, G41
Suggested Citation: Suggested Citation