Do Investors Herd Intraday in the Australian Equities Market?

38 Pages Posted: 2 Jan 2004

See all articles by Julia Henker

Julia Henker

Bond University

Thomas Henker

Bond University

Anna Mitsios

affiliation not provided to SSRN

Date Written: December 2003

Abstract

Herding among investors is a popular behavioral explanation for the excess variability and short-term trends observed in financial markets. Most empirical studies, however, fail to find evidence of herding in spite of testing a variety of theoretical models. One excuse for this failure is the coarse data frequencies employed. Using a high frequency intraday dataset from the Australian equities market, we find little evidence for market-wide or industry sector herding. Even in extreme market conditions, participants appear to discriminate between different securities, as predicted by the rational asset pricing paradigm.

Keywords: Herding, behavioral finance, excess volatility

JEL Classification: G12, G14

Suggested Citation

Henker, Julia and Henker, Thomas and Mitsios, Anna, Do Investors Herd Intraday in the Australian Equities Market? (December 2003). Available at SSRN: https://ssrn.com/abstract=482202 or http://dx.doi.org/10.2139/ssrn.482202

Julia Henker

Bond University ( email )

Gold Coast, QLD 4229
Australia

Thomas Henker (Contact Author)

Bond University ( email )

Gold Coast, QLD 4229
Australia
+61 7 5595-1561 (Phone)

Anna Mitsios

affiliation not provided to SSRN

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