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Do Investors Herd Intraday In Australian Equities?, Julia Henker, Thomas Henker, Anna Mitsios
Do Investors Herd Intraday In Australian Equities?, Julia Henker, Thomas Henker, Anna Mitsios
Thomas Henker
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 …