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- Title
Market sentiment: a key factor of investors' imitative behaviour.
- Authors
Blasco, Natividad; Corredor, Pilar; Ferreruela, Sandra
- Abstract
The aim of this paper is to explore herding behaviour among investors to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity . The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997-2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor.
- Subjects
STOCK exchanges; INVESTORS; INFORMATION theory in economics; MEASUREMENT; ECONOMIC impact; ORGANIZATIONAL behavior; BEHAVIORAL economics
- Publication
Accounting & Finance, 2012, Vol 52, Issue 3, p663
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2011.00412.x