Back to Search
Start Over
Investor-herding and risk-profiles: A State-Space Model-based Assessment
- Publication Year :
- 2022
- Publisher :
- Monash University, 2022.
-
Abstract
- This paper, using the Australian stock market data, examines the investor-herding and risk-profiles link that has implications for asset pricing, portfolio diversification and foreign investments. As investors may herd towards a specific factor, sector or style to combat market conditions for optimizing investment returns, examining such herding can reveal investors' risk profiles. We employ State-Space models for extracting time series of herd dynamics and the proportion of signal explained by herding (PoSEH). The possibility of a leverage effect between market returns and volatility and its implications are discussed. The change in market volatility strengthens PoSEH; its impact is maximum on high return days of stocks. Quantile regression analysis shows that herding and adverse herding can emerge during the worst and best performance days of stock returns, but extreme uncertainty can bring both herding behaviours to a near halt. The study reveals the presence of a regulated stock market environment and the change in volatility and risk-aversion as the determinants of herding behaviour.
- Subjects :
- 040101 forestry
Rate of return
Economics and Econometrics
050208 finance
animal diseases
05 social sciences
04 agricultural and veterinary sciences
Quantile regression
Econometric and statistical methods
0502 economics and business
Econometrics
Herd
Economics
0401 agriculture, forestry, and fisheries
Capital asset pricing model
Stock market
Herding
Volatility (finance)
Econometrics not elsewhere classified
health care economics and organizations
Finance
Stock (geology)
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....10d7b0ce405cb6e10b3140e538ea5714
- Full Text :
- https://doi.org/10.26180/21529287