制度羊群:因果关系和持久性

S. Kumar
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引用次数: 1

摘要

本文研究了印度股票市场中外国投资组合投资者(fpi)与国内共同基金(MFs)之间羊群效应的因果关系。估计的放牧水平比在其他国际市场上观察到的要高得多,而且小规模的放牧很普遍。我们发现机构投资者遵循逆向交易策略,这与大多数其他市场的记录不同。综合羊群测度分析表明,fpi与MFs之间存在双向因果关系。使用定向放牧措施的进一步分析表明,没有证据表明机构羊群在卖方之间存在因果关系。但我们在买方发现因果关系,它在fpi和mf之间的两个方向上运行,这意味着信息的反馈。考虑到机构倾向于在小盘股中聚集,采取反向交易策略,观察到的卖方因果关系可能会产生有益的影响。由于机构投资者是逆向投资者,他们的交易活动将导致小型股的价格调整与基本面一致,从而有助于提高市场效率。JEL分类:C23、C58、G23、G15、G40
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Institutional Herding: Causality and Persistence
We investigate the causality in herding between foreign portfolio investors (FPIs) and domestic mutual funds (MFs) in the Indian stock market. The estimated herding levels are considerably higher than those observed in other international markets, and herding is prevalent in small stocks. We find that institutional investors follow contrarian-trading strategies, unlike what was documented in most other markets. Analysis of the aggregate herding measure shows a bi-directional causality between FPIs and MFs. Further analysis using directional herding measures indicate no evidence of causality between institutional herds on the sell-side. But we find causality on the buy-side and it is running in both directions between FPIs and MFs, implying a feedback of information. Given the tendency of institutions for herding in small stocks, adopting contrarian-trading strategies, the observed sell-side causality is perhaps having a salubrious effect. As institutional investors are contrarians, their trading activity will lead to price corrections in small stocks aligning with the fundamentals, thereby contributing to market efficiency. JEL Classification: C23, C58, G23, G15, G40
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CiteScore
3.90
自引率
31.20%
发文量
25
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