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Herding Behavior In Futures Market
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Book Synopsis Herding Behavior in Futures Market by : Ameet Kumar Banerjee
Download or read book Herding Behavior in Futures Market written by Ameet Kumar Banerjee and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tries to explore the existence of herding behavior of investors in an entirely new asset class, futures, in Indian futures market. For empirical analysis, it uses data of exchanged traded equity futures contracts, a part of futures and options segment of National Stock Exchange (NSE, India) from January 2011 to June 2016. Applying generalized least squares (GLS) regression model, the study found supporting evidences for existence of herd behavior for the study period, especially during macroeconomic news releases, in periods of extremely low (high) trading volume and spillovers from other markets. This analysis of herd behavior is key in understanding the bandwagon effect of investors, which results in inefficient asset pricing. As a policy implication, it is highly relevant to regulatory institutions responsible for efficient functioning of the financial system.
Book Synopsis Herd Behavior in Financial Markets by : Sushil Bikhchandani
Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Herding Behavior in European Futures Markets by : Kimberly C. Gleason
Download or read book Herding Behavior in European Futures Markets written by Kimberly C. Gleason and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The research on herding behavior in common stocks is extended to contracts traded on European futures markets. We use the Christie and Huang (1995) herding model to identify the possibility of the existence of herding behavior in thirteen commodity futures contracts traded on three European exchanges. The results support the conclusion that herding behavior is not present in futures markets.
Book Synopsis Commodity Financialization and Herd Behavior in Commodity Futures Markets by : Riza Demirer
Download or read book Commodity Financialization and Herd Behavior in Commodity Futures Markets written by Riza Demirer and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the debate on commodity financialization by extending tests of herd behavior to the commodity futures markets. Utilizing a regime-switching model, we test the presence of herd behavior in a number of commodity sectors; including energy, metals, grains, and livestock; during the low and high market volatility states. We find significant evidence of herd behavior in grains only during the high volatility state. We also find that large price movements in the energy and metals sectors significantly contribute to herd behavior in the market for grains. Finally, we find no significant effect of the stock market on herd behavior in the commodity futures markets. Our findings in general do not support the much debated commodity financialization hypothesis.
Book Synopsis Noise Traders and Herding Behavior by : Lee Scott Redding
Download or read book Noise Traders and Herding Behavior written by Lee Scott Redding and published by International Monetary Fund. This book was released on 1996-09-01 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent developments in financial economics have included many explorations into market microstructure, that is, the internal functioning of markets and the ways in which they provide liquidity to traders. An important contribution of this literature is that prices can deviate from their fundamental values. This paper describes models of imperfect liquidity and improperly processed information in financial markets, focusing on the noise trader and investor herding literature. The motivations for this line of research are presented, followed by a description of some of the major contributions and tests of some of their empirical implications.
Book Synopsis Do Birds of a Feather Flock Together? Speculator Herding in Derivatives Markets by : Robert J. Weiner
Download or read book Do Birds of a Feather Flock Together? Speculator Herding in Derivatives Markets written by Robert J. Weiner and published by . This book was released on 2005 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much of the responsibility for upheaval in international financial markets has been placed on speculators, particularly hedge funds. Speculative capital has been characterized as quot;hot money,quot; with capital flows driven by quot;herding,quot; quot;flocking,quot; and quot;contagionquot; among players in foreign-exchange, stock, bond, and commodity markets.This paper looks at speculative behavior in one of the largest, and most volatile, international financial markets, petroleum. It utilizes a large, detailed database on individual trader positions in crude-oil and heating-oil futures markets. The paper is exploratory, with focus on measuring and assessing the tendency of speculators to herd (trade in the same direction as a group) and flock (trade in the same direction by subgroups of speculators).Two theories behind rational herding behavior are examined - the asymmetric information view (poorly-informed traders make decisions based on observing well-informed traders, rather than market fundamentals) and the monitoring/incentive view (institutional investors make decisions knowing that their incentives are based on performance relative to a benchmark such as mean returns for a group). The evidence is supportive of the monitoring/incentive theory, but not the asymmetric-information theory.
Book Synopsis Hedge Funds and Financial Market Dynamics by : Mrs.Anne Jansen
Download or read book Hedge Funds and Financial Market Dynamics written by Mrs.Anne Jansen and published by International Monetary Fund. This book was released on 1998-05-15 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.
Book Synopsis Herd Behavior in Financial Markets by : Marco Cipriani
Download or read book Herd Behavior in Financial Markets written by Marco Cipriani and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trend Following with Managed Futures by : Alex Greyserman
Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-25 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Book Synopsis Handbook of Frontier Markets by : Panagiotis Andrikopoulos
Download or read book Handbook of Frontier Markets written by Panagiotis Andrikopoulos and published by Academic Press. This book was released on 2016-08-05 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Frontier Markets: Evidence from Asia and International Comparative Studies provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. - Presents topics in the contexts of frontier markets and uses tests based on established methodologies from finance research - Features contributing authors who are established university academics - Emphasizes financial institutions and applications of financial risk models - Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets
Download or read book Herd written by Mark Earls and published by John Wiley & Sons. This book was released on 2009-08-07 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: "...fascinating. Like Malcolm Gladwell on speed." —THE GUARDIAN "HERD is a rare thing: a book that transforms the reader's perception of how the world works". —Matthew D'Ancona, THE SPECTATOR "This book is a must. Once you have read it you will understand why Mark Earls is regarded as a marketing guru." —Daniel Finkelstein, THE TIMES This paperback version of Mark Earls' groundbreaking and award winning book comes updated with new stats and figures and provides two completely revised chapters that deal with the rise of social networking. Since the Enlightenment there has been a very simple but widely held assumption that we are a species of thinking individuals and human behaviour is best understood by examining the psychology of individuals. It appears, however, that this insight is plain wrong. The evidence from a number of leading behavioural and neuroscientists suggests that our species is designed as a herd or group animal. Mark Earls applies this evidence to the traditional mechanisms of marketing and consumer behaviour, with a result that necessitates a complete rethink about these subjects. HERD provides a host of unusual examples and anecdotes to open the mind of the business reader, from Peter Kay to Desmond Tutu, Apple to UK Sexual Health programmes, George Bush to Castle Lager, from autism to depression to the real explanation for the placebo effect in pharmaceutical testing.
Book Synopsis The Age of Surveillance Capitalism by : Shoshana Zuboff
Download or read book The Age of Surveillance Capitalism written by Shoshana Zuboff and published by PublicAffairs. This book was released on 2019-01-15 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges to humanity posed by the digital future, the first detailed examination of the unprecedented form of power called "surveillance capitalism," and the quest by powerful corporations to predict and control our behavior. In this masterwork of original thinking and research, Shoshana Zuboff provides startling insights into the phenomenon that she has named surveillance capitalism. The stakes could not be higher: a global architecture of behavior modification threatens human nature in the twenty-first century just as industrial capitalism disfigured the natural world in the twentieth. Zuboff vividly brings to life the consequences as surveillance capitalism advances from Silicon Valley into every economic sector. Vast wealth and power are accumulated in ominous new "behavioral futures markets," where predictions about our behavior are bought and sold, and the production of goods and services is subordinated to a new "means of behavioral modification." The threat has shifted from a totalitarian Big Brother state to a ubiquitous digital architecture: a "Big Other" operating in the interests of surveillance capital. Here is the crucible of an unprecedented form of power marked by extreme concentrations of knowledge and free from democratic oversight. Zuboff's comprehensive and moving analysis lays bare the threats to twenty-first century society: a controlled "hive" of total connection that seduces with promises of total certainty for maximum profit -- at the expense of democracy, freedom, and our human future. With little resistance from law or society, surveillance capitalism is on the verge of dominating the social order and shaping the digital future -- if we let it.
Book Synopsis Do Carbon Traders Behave as a Herd? by : Fernando Palao Sánchez
Download or read book Do Carbon Traders Behave as a Herd? written by Fernando Palao Sánchez and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the presence of herding behavior in the European Futures Carbon Market. This is a blind market in which the vast majority of investors are institutional. Both features lead us to study the existence of herding under very restrictive conditions. An intraday trade database has been used in order to analyze this phenomenon at high frequencies. A pattern analysis shows that herding intensifies with the level of speculation and other behavioral biases like psychological prices or price clustering. The reaction of seller initiated trades to the arrival of market news also induces an increase in the degree of herding. Furthermore, we detect higher levels of herding with higher levels of uncertainty and with a larger number of trades. Finally, we show that herding destabilizes the market and leads traders to overreact to these circumstances.
Book Synopsis Herd Behavior in Financial Markets by : Sushil Bikhchandani
Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Policymakers often express concern that herding by financial market participants destabilizes markets and increases the fragility of the financial system. This paper provides an overview of the recent theoretical and empirical research on herd behavior in financial markets. It addresses the following questions: What precisely do we mean by herding? What could be the causes of herd behavior? What success have existing studies had in identifying such behavior? And what effect does herding have on financial markets?
Book Synopsis Cognitive Limitation, Herding Behavior, and Investment Performance by : Jing Zhao
Download or read book Cognitive Limitation, Herding Behavior, and Investment Performance written by Jing Zhao and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Cognitive Limitation, Herding Behavior, and Investment Performance" by Jing, Zhao, 趙靜, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This dissertation consists of two empirical essays about the cognitive limitation, herding behavior, and their association with investment performance. The essays utilize the detailed quotes and trades data in the Taiwan Futures Exchange with investor account identity, to study the cognitive limitation and herding behavior of the investors, and the association between the cognitive limitation, herding behavior, and the investment performance. In the first essay, I hypothesize that cognitive limitation maybe manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts., I find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip trades. The positive correlation between cognitive ability and investment performance is monotonic and robust across futures and options markets. In addition, past trading experience helps mitigate the cognitive limitation. The second essay studies the herding behavior of investors. The second essay studies the herding behavior of investors. I find that individual investors trade in the same direction with other individual investors in the same branch of a broker. Individual investors' tendency to herd is persistent, and it is negatively associated with their cognitive abilities and trading experience. The higher the herding tendency of an individual investor is, the worse she performs in her investments. Importantly, the negative association between herding and investment performance is driven by the orders that are traded in the same direction with other individual investors. Our results suggest that herding with other individuals imposes a direct cost to individual investors. DOI: 10.5353/th_b5334870 Subjects: Investments - Psychological aspects
Book Synopsis Herding in Trading by Amateur and Professional Investors by : Itzhak Venezia
Download or read book Herding in Trading by Amateur and Professional Investors written by Itzhak Venezia and published by . This book was released on 2009 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study herding behavior of amateur and professional investors using a unique data-set consisting of all their daily transactions during a four-year period, and explore the factors that can explain such behavior and examine to what extent is herding information-driven. We distinguish between stock specific features such as systematic risk, idiosyncratic risk, and size, on the one hand, and market factors such as total stock market volume and returns on the other hand. We find herding a tendency among both types of investors and that this tendency is higher for amateurs. Herding is affected by both risk and size: it is a decreasing function of the size of the firm, and an increasing function of its risk. Idiosyncratic risk tends to positively affect herding but this effect is significantly lower for professionals. Systematic risk however positively influences only herding by professionals. Our data also reveal that herding behavior of the two groups is a persistent phenomenon, and that it is closely related to the volatility of market returns. In addition, amateurs' herding is weakly related to market returns. Most of the results are consistent in general with the theory that herding is information-based.
Book Synopsis Hedge Fund Herding in Currency Futures by : Anton Hasselgren
Download or read book Hedge Fund Herding in Currency Futures written by Anton Hasselgren and published by . This book was released on 2020 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study hedge fund herding patterns in currency futures contracts and find evidence of herding. High-interest (low-interest) currencies exhibit higher buy-side (sell-side) herding, consistent with carry trade positions. A strategy herding measure is then proposed that is used to track hedge fund herding in the carry trade strategy. I find that hedge fund carry trade strategy herding positively predicts future returns, a result that is robust to a host of other activity measures. I do not find hedge fund herding to be destabilizing, and investors can improve performance by following hedge fund herding behaviour in the carry trade.
