Stock Characteristics and Individual Herding

2020 ◽  
Vol 9 (4) ◽  
pp. 58-73
Author(s):  
Tze Sun Wong
Keyword(s):  
Stock Exchange ◽  
Target Population ◽  
Individual Investors ◽  
Market Capitalization ◽  
Independent Variables ◽  
Taiwan Stock Exchange ◽  
Excess Volatility ◽  
Log Odds ◽  
Industry Affiliation ◽  
The Individual

Individuals who invest stocks in a market with excess volatility generally end up selling or holding the stocks at losses. The purpose of this study was to examine individual herding as it related to three comprehensible stock characteristics, market capitalization, price-to-book ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange in 2016. Data were collected through subscription. Based on Lakonishok, Shleifer, and Vishny's measure, individual herding was significant. The three stock characteristics were separately and as a whole related to individual herding. The findings confirmed sell-herding higher than buy-herding, more serious herding in high market capitalization stocks, and broad industry herding. The findings also extended knowledge to comparable herding levels with 8 to 10 years ago, more linearity between log market capitalization and log odds of herd occurrence, and less herding in P/B ratio stocks with other independent variables controlled.

Survey of Trading Systems for Individual Investors

2011 ◽  
pp. 157-176 ◽  
Author(s):  
M. Kersch ◽  
G. Schmidt
Keyword(s):  
Financial Markets ◽  
Stock Exchange ◽  
Point Of View ◽  
Individual Investors ◽  
Individual Investor ◽  
Trading System ◽  
Trading Systems ◽  
Trading Decisions ◽  
The Individual

Trading decisions in financial markets can be supported by the use of trading algorithms. To evaluate trading algorithms and to generate orders to be executed on the stock exchange trading systems are used. In this chapter, we define the individual investors’ requirements on a trading system, and analyze 17 trading systems from an individual investor’s point of view. The results of our study point out that the best alternative for an individual investor is not one single trading system, but a combination of two different classes of trading systems.

A CLOSER LOOK AT THE CHARACTERISTICS OF STOCK HOLDINGS OF FOREIGN AND LOCAL INVESTORS IN THE INDONESIAN STOCK EXCHANGE (IDX)

2013 ◽  
Vol 08 (01) ◽  
pp. 1350002 ◽  
Author(s):  
JOSEPHINE SUDIMAN ◽  
DAVID ALLEN ◽  
ROBERT POWELL
Keyword(s):  
Institutional Investors ◽  
Stock Exchange ◽  
Individual Investors ◽  
Foreign Investors ◽  
Market Capitalization ◽  
Price Levels

This study provides an overview of the characteristics of stockholdings of foreign and local investors in terms of firm sizes, price levels and liquidity. There are four key findings. First, the IDX is a highly concentrated market and foreign investors dominate the ownership of high market capitalization stocks. Second, foreign investors trade less frequently than domestic counterparts. Third, small, illiquid lower priced stocks dominate this market with domestic individual investors holding most of the stocks with these characteristics. Finally, the paper profits of foreign institutional and domestic individual investors are found to be higher than those of domestic institutional investors.

scholarly journals ANALISIS PENGARUH KAPITALISASI PASAR DAN RASIO KEUANGAN TERHADAP RETURN SAHAM

Media Bisnis ◽  
2020 ◽  
Vol 12 (1) ◽  
pp. 9-16
Author(s):  
AGUSTINUS SRI WAHYUDI ◽  
BENY BENY ◽  
DANIEL DANIEL
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Financial Ratios ◽  
Return On Assets ◽  
Current Ratio ◽  
Market Capitalization ◽  
Independent Variables ◽  
Earnings Per Share ◽  
Probability Methods ◽  
Positive Effect

Stock returns are very important and become the main reason or objective for investors in investing. This study studies the effect of market capitalization and financial ratios on corporate stock returns. The independent variables used in this study are market capitalization to symbolize a company's market value and financial ratios such as earnings per share, debt to equity, return on assets, and current ratio. While the dependent variable is stock returns. The objects used in this study are property and real estate companies listed on the Indonesia Stock Exchange during the 2012-2017 period. The samples used in this study were collected using non-probability methods with purposive sampling techniques. Researchers use multiple regression models to examine the effect of independent variables that affect stock returns. The results showed that market capitalization had a positive effect on stock returns. While earnings per share, debt to equity, return on assets, and current ratio have no effect on stock returns

The KOSPI200 Index Option Trading Behavior and Performance of Individual Investors

2005 ◽  
Vol 13 (1) ◽  
pp. 99-127
Author(s):  
Jay M. Chung ◽  
Jae Keun Kim
Keyword(s):  
Stock Exchange ◽  
Individual Investors ◽  
Sample Period ◽  
Trading Behavior ◽  
Option Trading ◽  
Period Data ◽  
And Performance ◽  
The Individual ◽  
Short Time ◽  
Index Option

We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS reported that the individual investors incurred huge losses in the trading of KOSPI200 index options for the years 2002 and 2003. But since the sample period is relatively short, the argument does not seem fully convincing. Using a longer period data from July 1997 to December 2003, we reconfirm the huge losses of the Individual investors and also find that a tendency of individual investors losing money in association with option trading perSisted during the longer period. The individual investors chose out-of-the money options with short time to maturity, that are cheap and thus are expected to make huge profits with very low probabilities. Finally, we tind that out-ot-the money options with short time to maturity turn out to be in general priced higher than what the Korea Stock Exchange model suggests. The practice of purchasing out-of-the-money options for the reason of cheap prices and huge profit possibilities can be regarded as being excessively speculative. Due to overpricing, the individual investors persistently incurred some losses.

scholarly journals Factors influencing Individual Investor Behaviour: Evidence from the Kuwait Stock Exchange

2019 ◽  
Vol 15 (3) ◽  
pp. 27 ◽  
Author(s):  
Sadeq J. Abul
Keyword(s):  
Psychological Factors ◽  
Stock Exchange ◽  
Individual Investors ◽  
Individual Investor ◽  
Factors Influencing ◽  
Risk Appetite ◽  
Kuwait Stock Exchange ◽  
Herd Behaviour ◽  
Investor Behaviour ◽  
The Individual

This study investigates the effects of psychological factors on investor behaviour regarding the Kuwait Stock Exchange (KSE). These psychological factors are, namely: excessive optimism vs pessimism, herd behaviour and risk appetite. The data for this study obtained from KSE and a survey of a random sample of 398 individual investors. By using qualitative analysis and based on the theory of behavioural finance, the study findings show that herd behaviour, optimism and psychology risk have an impact on the individual investors’ decisions. However, we did not find any evidence of overconfidence behaviour’s effects on investors’ decisions. To our knowledge, KSE has been examined by several researchers without taking into consideration the effects of psychological factors on individual investor decisions. This study finds that psychological factors play a significant role in individual investors’ decisions regarding KSE. This study might contribute positively to the development of this field of research in (KSE).

scholarly journals Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange

2021 ◽  
Vol 6 (4) ◽  
pp. 402-408
Author(s):  
Lusindah Lusindah ◽  
Erman Sumirat
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Moving Average ◽  
Time Frame ◽  
Trading Strategy ◽  
Individual Investors ◽  
Individual Investor ◽  
Back Testing ◽  
The Individual

Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of the individual investor is having ages that less than 30 years. In the period where IDX was bullish in November 2020 - January 2021, there is a phenomenon where stocks influencers appeared in social media and impacted to the stock price movement after the announcement is done by the influencer. In contrary, during bearish and sideways condition, those influencers were gone and changed with bad news that went viral where many individual investors are lost their capital in IDX. They lose money since they are gambling in the stock market without any analysis and no establishment of trading plan. This research is aimed as a strategy to individual investors in IDX to implement trading strategy based on Fibonacci retracements and projections, EMA lines, trendlines, stochastic, and volume. Back testing is conducted in IDX SMC Liquid index constituents during January 2018 until December 2020 period. By implementing this trading strategy, return generated is 164% for 3 years trading time frame. Author also found that this trading strategy is effective in bullish trend condition especially for individual investors that have long position.

scholarly journals The impact of individual and institutional ownership on the firm performance: Evidence from Pakistan Stock Exchange

2021 ◽  
Vol 2 (2) ◽  
pp. 150-167
Author(s):  
Muhammad Sadil Ali ◽  
Lubna Riaz ◽  
Wasif Anis
Keyword(s):  
Firm Performance ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Decision Makers ◽  
Individual Investors ◽  
Financial Decisions ◽  
The Individual ◽  
The Impact ◽  
Individual Ownership ◽  
The Relationship

The study aims to examine the relationship between individual ownership, institutional ownership and firm performance. Further it comparatively analyses the impact of both institutional and individual ownership on firm performance. For this purpose, data have been collected from 64 firms listed on Pakistan Stock Exchange (PSX) for the period of 10 years (2011 - 2020). Random effects model has been employed to test the research hypotheses. This study compares the effect of individual and institutional ownership on firm performance. Result of the study shows that both institutional and individual ownership significantly affect firm performance. However, the degree of the effect is different for both individual and institutional investors. The institutional ownership influences the firm performance twice than the individual investors influence the performance. The results also reveal that the firm performance is positively associated with the firm size while negatively related with the financial leverage. Findings of the study are important for shareholders, managers, academicians and decision makers. They can use information to frame investors’ friendly policies and guide shareholders in taking right financial decisions.

scholarly journals IS PAKISTAN STOCK MARKET EFFICIENT? (A COMPREHENSIVE STUDY ON PAKISTAN STOCK EXCHANGE)

2017 ◽  
Vol 5 (4) ◽  
pp. 250-262
Author(s):  
Muhammad Shaukat Malik ◽  
Samavia Munir ◽  
Noorulain Waheed
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Exchange ◽  
Research Work ◽  
Unit Root Test ◽  
Weak Form ◽  
Graphical Analysis ◽  
Individual Investors ◽  
Data Points ◽  
The Individual

The purpose of this research is to find weak form of market efficiency of Pakistan stock exchange.  Daily return of KSE-100 index was obtained during the time period of 2nd November 1991 to 28th may 2015. Total time span of the study was 23 years 6 month and 26 days. To examine the stationary in the data points three test named as Graphical Analysis, Autocorrelation Function (ACF) and The Unit Root Test were applied. After that ARIMA (1, 1, 2) model was applied and SPSS 21 used for data analysis. Results revealed that the Pakistan stock exchange not fulfill the necessary assumptions of weak form of market efficiency. Research findings would be beneficial for the individual investors as well as for the businesses as it guide individual investors for establishment of their investment portfolio and for businesses to get funds at appropriate cost. This research is valuable for the researchers as they can explore the current idea of research in other equity investment alternatives of Pakistan and also provide guideline for law regulatory authorities for establishment of laws and regulations of stock markets. This research work would be a valuable addition in the current literature as very few studies have been conducted in emerging stock markets.

scholarly journals Risk Perceptions Of Individual Vs. Institutional Investors: A Comparison Based On The Johannesburg Stock Exchange

2011 ◽  
Vol 5 (4) ◽  
pp. 5 ◽  
Author(s):  
Colin Firer ◽  
Michael Colin Oliver ◽  
Gail Farrelly
Keyword(s):  
Institutional Investors ◽  
Risk Perceptions ◽  
Stock Exchange ◽  
Investment Analysis ◽  
Individual Investors ◽  
Total Risk ◽  
Johannesburg Stock Exchange ◽  
Measures Of Risk ◽  
The Individual

This paper examines risk at the individual, as opposed to the market, level. By means of questionnaires, individuals risk perceptions are collected and then correlated with other measures of risk. The survey was conducted for individual investors and investment analysis in order to determine if appreciable differences exist between the two sets of respondents. The results are consistent with previous research which suggests that investors consider total risk in their share assessments. The evidence also indicates no significant differences in the risk perceptions of investors vs. those of analysts.

scholarly journals Determinants of Investment Decisions: A Study of Individual Investors on the Zimbabwe Stock Exchange

2020 ◽  
Vol 7 (5) ◽  
pp. 38
Author(s):  
Peter Hunguru ◽  
Vusumuzi Sibanda ◽  
Ruramayi Tadu
Keyword(s):  
Decision Making ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Decisions ◽  
Positive Association ◽  
Individual Investors ◽  
Individual Investor ◽  
Behavioural Factors ◽  
The Individual ◽  
Regret Aversion

This study investigated factors that inform individual investors in their decision-making on the Zimbabwe Stock Exchange. The main objective was to identify and assess the effect of the behavioural factors on investment decisions of individual investors. A quantitative survey of 291 randomly selected individual Zimbabwe Stock Exchange investors was conducted. Multiple regression analysis was used to calculate the correlation coefficient of behavioural factors and investment decision while correlation analysis was used to measure the strength of the relationship between the independent variables. The findings of the study established that the predictor variables had a strong positive association between them and individual investor decision at a significant level of 0.01 and 0.005. The findings of the study revealed that individual investor decisions are influenced by the behavioural factors which are; anchoring, availability, gambler’s fallacy, overconfidence, herding, loss aversion, mental accounting, regret aversion and representativeness. The study recommends the need for improved information on the stock markets dynamics as well as training on investor awareness programmes to support the decision-making abilities of the individual investors on the ZSE to fully play its rightful role in the development of the economy.

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