Do investors herd intraday in Australian equities?

Abstract

Purpose

The purpose of this research is to consider whether market wide herding occurs intraday.

Design/methodology/approach

Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market.

Findings

Neither market wide nor industry sector herding occurs intraday.

Research limitations/implications

Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross‐sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns.

Originality/value

No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

Citation

Henker, J., Henker, T. and Mitsios, A. (2006), "Do investors herd intraday in Australian equities?", International Journal of Managerial Finance, Vol. 2 No. 3, pp. 196-219. https://doi.org/10.1108/17439130610676475