Determinants of Industry Herding in the Indian Stock Market

Q2 Business, Management and Accounting

Business Perspectives and Research Pub Date : 2023-07-21 DOI:10.1177/22785337231176870

Veena Madaan, L. Panda

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引用次数: 0

Abstract

Herding can cause stock market volatility and its presence among foreign institutional investors (FIIs) can severely affect the equity market. Therefore, this research endeavors to estimate the industry-level herding by FIIs. Further, repercussions of trading volume, industry returns, and conditional volatility on herding have been analyzed in the study. In addition, the level of FIIs herding has been estimated during upswing and downswing markets, rising and falling trading volume, and conditional volatility market states. Herding was estimated using a count-based herd ratio after the global meltdown period. The empirical findings are based on the daily data from January 2010 to December 2019. The results confirmed herding in the Indian equity exchange. The outcomes revealed that buy-side herding was more predominant than sell-side herding in all industries. These findings indicate that the Indian security market is a lucrative investment destination for FIIs. The research disclosed that industrial returns are a vital parameter to derive FII herding. Therefore, this research can be used for price discovery at the industry level. Trading volume and conditional volatility demonstrate an inverse relationship with FIIs herding. Furthermore, the research also reveals that herding was more severe before the structural break period except for the construction sector.

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印度股市行业羊群效应的决定因素

羊群行为会导致股市波动，其在外国机构投资者中的存在会严重影响股市。因此，本研究试图通过FII来估计行业水平的羊群效应。此外，本研究还分析了交易量、行业回报率和条件波动率对羊群效应的影响。此外，金融情报机构羊群效应的水平是在市场上升和下降、交易量上升和下降以及有条件波动的市场状态下估计的。在全球经济崩溃时期之后，使用基于计数的羊群比率来估计羊群数量。实证结果基于2010年1月至2019年12月的每日数据。这一结果证实了印度股市的羊群效应。结果显示，在所有行业中，买方羊群行为都比卖方羊群行为更占主导地位。这些发现表明，印度证券市场是外国投资机构利润丰厚的投资目的地。研究表明，产业回报率是衍生FII羊群效应的重要参数。因此，本研究可用于行业层面的价格发现。交易量和条件波动性与FII羊群效应呈反比关系。此外，研究还表明，除建筑业外，在结构断裂期之前，羊群行为更加严重。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Business Perspectives and Research Business, Management and Accounting-Business and International Management

CiteScore

5.00

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0.00%

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期刊介绍： Business Perspectives and Research (BPR) aims to publish conceptual, empirical and applied research. The empirical research published in BPR focuses on testing, extending and building management theory. The goal is to expand and enhance the understanding of business and management through empirical investigation and theoretical analysis. BPR is also a platform for insightful and theoretically strong conceptual and review papers which would contribute to the body of knowledge. BPR seeks to advance the understanding of for-profit and not-for-profit organizations through empirical and conceptual work. It also publishes critical review of newly released books under Book Review section. The aim is to popularize and encourage discussion on ideas expressed in newly released books connected to management and allied disciplines. BPR also periodically publishes management cases grounded in theory, and communications in the form of research notes or comments from researchers and practitioners on published papers for critiquing and/or extending thinking on the area under consideration. The overarching aim of Business Perspectives and Research is to encourage original/innovative thinking through a scientific approach.