Modeling the Spatial-temporal Characteristics of Mutual Funds’ Herd Behavior

Herding in the mutual fund industry: evidence from Chile

Academia Revista Latinoamericana de Administración ◽

10.1108/arla-09-2013-0137 ◽

2014 ◽

Vol 27 (1) ◽

pp. 10-29 ◽

Cited By ~ 2

Author(s):

Jaime F. Lavin ◽

Nicolás S. Magner

Keyword(s):

Mutual Funds ◽

Behavioral Problems ◽

Mutual Fund ◽

International Markets ◽

Herd Behavior ◽

Information Efficiency ◽

Content Type ◽

Equity Mutual Funds ◽

Panel Regressions ◽

Fixed And Random Effects

Purpose The purpose of this paper is to identify elements of intentional herd behavior (HB), differentiating it from spurious, or unintentional HB. Design/methodology/approach Using a panel of 50 stocks belonging to 18 Chilean equity mutual funds between December 2002 and October 2009, with manually collected data regarding physical positions of monthly purchases and sales, the authors calculate the level of HB and, by applying panel regressions with fixed and random effects, analyze the factors that determine this behavior, classifying them as agency, information, efficiency and behavioral problems. Findings The research establishes that among Chilean equity mutual funds, there is a herding of 2.8 percent, implying that for 100 funds trading a certain stock, 53 go in the same direction and 47 in another. This effect increases during widespread market dips and when stocks become fashionable, attracting market attention. This behavior is not merely spurious, associated with variables that predict returns, but also has an intentional component, related to agency problems and information, and a behavioral component, related to investors’ biases and beliefs. Originality/value The paper is original because, despite existing evidence of herding in international markets, it has been little quantified or studied in emerging markets. In addition, the literature does not distinguish between spurious and intentional HB, nor does it test different hypotheses jointly to explain the phenomenon.

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Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?

Journal of Financial Innovation ◽

10.15194/jofi_2015.v1.i2.16 ◽

2015 ◽

Vol 1 (2) ◽

Author(s):

Juliana Xavier Serapio da Silva ◽

Claudio Henrique Barbedo ◽

Gustavo Silva Araújo

Keyword(s):

Mutual Funds ◽

Stock Prices ◽

High Frequency ◽

Stock Exchange ◽

High Frequency Data ◽

Herd Behavior ◽

Frequency Data ◽

Price Pressure ◽

Behavior Based

Purpose: This work aims to verify the herd behavior in both liquid stocks of Brazilian stock exchange, i.e. Petrobras and Vale.Methodology: This work uses the methods of Christie and Huang (1995) and price pressure with high frequency data to detect the herd behavior between 2010 and 2014.Findings: The first method suggest that there are no signs of herd behavior using 30 minutes intervals data. However, there is evidence of price pressure for the sample with all intraday data.Originality: Herd behavior studies usually focus on mutual funds. This work analyses the herd behavior based on individual stock prices.

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Study of Herd Behavior Indexes in Brazilian Stock Mutual Funds

SSRN Electronic Journal ◽

10.2139/ssrn.1787158 ◽

2011 ◽

Author(s):

Bruno Lopau Zulian ◽

Herbert Kimura ◽

Leonardo Cruz Basso

Keyword(s):

Mutual Funds ◽

Herd Behavior

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Temporal Characteristics of Speech in Simultaneous Communication

Journal of Speech Language and Hearing Research ◽

10.1044/jshr.3805.1014 ◽

1995 ◽

Vol 38 (5) ◽

pp. 1014-1024 ◽

Cited By ~ 26

Author(s):

Robert L. Whitehead ◽

Nicholas Schiavetti ◽

Brenda H. Whitehead ◽

Dale Evan Metz

Keyword(s):

Pause Duration ◽

Vowel Duration ◽

Vowel Perception ◽

Temporal Characteristics ◽

Spoken English ◽

Temporal Features ◽

Before And After ◽

Word Duration ◽

Rate Of Speech ◽

Speech Condition

The purpose of this investigation was twofold: (a) to determine if there are changes in specific temporal characteristics of speech that occur during simultaneous communication, and (b) to determine if known temporal rules of spoken English are disrupted during simultaneous communication. Ten speakers uttered sentences consisting of a carrier phrase and experimental CVC words under conditions of: (a) speech, (b) speech combined with signed English, and (c) speech combined with signed English for every word except the CVC word that was fingerspelled. The temporal features investigated included: (a) sentence duration, (b) experimental CVC word duration, (c) vowel duration in experimental CVC words, (d) pause duration before and after experimental CVC words, and (e) consonantal effects on vowel duration. Results indicated that for all durational measures, the speech/sign/fingerspelling condition was longest, followed by the speech/sign condition, with the speech condition being shortest. It was also found that for all three speaking conditions, vowels were longer in duration when preceding voiced consonants than vowels preceding their voiceless cognates, and that a low vowel was longer in duration than a high vowel. These findings indicate that speakers consistently reduced their rate of speech when using simultaneous communication, but did not violate these specific temporal rules of English important for consonant and vowel perception.

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