Analysis of intraday herding behavior among the sector ETFs

By Kimberly Gleason, I. Mathur, Mark Peterson. 2004

302 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0c4a2ab76dc408c8fadca1bfb06156c7be577a06

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Citations in the corpus

Do investors herd intraday in Australian equities (2006, background): “Thus, if herding occurs, individual returns will converge to the aggregate market return, resulting in decreased dispersion of individual returns from the market return (Gleason et al., 2004).”
An empirical analysis of herd behavior in global stock markets (2010, background): “In a paper by Gleason et al. (2004), investors do not herd during periods of extreme market movements using ETFs.”
Cross-country effects in herding behaviour: Evidence from four south European markets (2011, unknown): “With respect to trading volume and volatility, Gleason et al. (2004) argue that the”
Firm specific and macro herding by professional and amateur investors and their effects on market volatility (2011, background): “For example: Graham (1999) and Jegadeesh and Kim (2007) study analysts, Gleason et al. (2004) examine herding among the sector ETFs, and Kodres and Pritsker (1995) investigate herding among futures traders.”
A cross-country analysis of herd behavior in Europe (2014, methodology): “…of negative market returns, volume and volatility is supported by a series of existing studies (e.g., Christie and Haung, 1995; Chang et al., 2000; Gleason et al., 2004; Demirer et al., 2006; and Chiang and Zheng, 2010) that have argued that herding effects are expected to be more pronounced…”
Differences in herding: Individual vs. institutional investors (2017, unknown): “Christie and Huang (1995), Chang et al. (2000), Gleason et al. (2004), and Hwang and Salmon (2004, 2009) capture the herding behavior towards market by applying the stock returns or stock betas based dispersion measures.”
Does herding behavior exist in Chinese stock markets (2006, methodology): “In this paper, we examine the presence of herd formation in Chinese stock markets along the lines of Christie and Huang (1995), Chang et al. (2000) and Gleason et al. (2003, 2004).”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Conventional studies in the herding literature (Christie and Huang, 1995; Chang, Cheng, and Khorana, 2000; Hwang and Salmon, 2004; Gleason, Mathur, and Peterson, 2004; Demirer and Kutan, 2006) assume that investors act on common beliefs emerging from the market, or follow observed momentum.”