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Autor
Loang Ooi Kok (School of Management, Universiti Sains Malaysia, Gelugor, Penang, Malaysia), Ahmad Zamri (School of Management, Universiti Sains Malaysia, Gelugor, Penang, Malaysia)
Tytuł
Does Volatility Mediate the Impact of Analyst Recommendations on Herding in Malaysian Stock Market?
Źródło
Economics and Business Review, 2021, vol. 7 (21), nr 4, s. 54-71, rys., tab., bibliogr. 32 poz.
Słowa kluczowe
Finanse behawioralne, Rynki giełdowe, Rynek akcji, Zmienność
Behavioural finance, Stock markets, Equity market, Variability
Uwagi
Klasyfikacja JEL: D53, E70, G40
summ.
Kraj/Region
Malezja
Malaysia
Abstrakt
This study examines the mediating role of volatility on the relationship between analyst recommendations and herding in the Malaysian stock market by using data from 2010 to 2020. Volatility is measured by realized volatility and the Parkinson estimator. The empirical evidence suggests that herding exists and realized volatility intervenes in the direct relationship between analyst recommendations and herding. The release of analyst recommendations causes realized volatility to fluctuate and investors are triggered by the volatility, which in turn follow the crowd to herd. Nonetheless, the Parkinson estimator is found to be insignificant, which infers that investors have anchor bias and rely on previous day stock prices to trade and herd. This paper provides an alternative explanation to the direct relationship and enhances the study of information-based herding. It contributes to academicians, practitioners, investors and policymakers to understand the herding of investors in responding to the arrival of new information. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
Pokaż
ISSN
2392-1641
Język
eng
URI / DOI
http://dx.doi.org/10.18559/ebr.2021.4.4
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