References
- Aabo, T., Pantzalis, C., & Park, J. C. (2017). Idiosyncratic volatility: An indicator of noise trading? Journal of Banking & Finance, 75, 136–19. https://doi.org/10.1016/j.jbankfin.2016.11.003
- An, H., & Zhang, T. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21, 1–15. https://doi.org/10.1016/j.jcorpfin.2013.01.001
- Arjoon, V., & Bhatnagar, C. S. (2017). Dynamic herding analysis in a frontier market. Research in International Business and Finance, 42, 496–508. https://doi.org/10.1016/j.ribaf.2017.01.006
- Babalos, V., & Stavroyiannis, S. (2015). Herding, anti-herding behaviour in metal commodities futures: A novel portfolio-based approach. Applied Economics, 47(46), 4952–4966. https://doi.org/10.1080/00036846.2015.1039702
- Banerjee, A. V. (1992). A simple model of herd behavior. The Quarterly Journal of Economics, 107(3), 797–817. https://doi.org/10.2307/2118364
- Bikhchandani, S., & Sharma, S. (2000). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279–310. https://www.imf.org/external/pubs/ft/wp/2000/wp0048.pdf
- Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444–455. https://doi.org/10.1086/295472
- Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506–521. https://doi.org/10.1016/j.jempfin.2011.01.003
- Brandt, M. W., Brav, A., Graham, J. R., & Kumar, A. (2010). The idiosyncratic volatility puzzle: Time trend or speculative episodes? The Review of Financial Studies. 23(2), 863–899. https://doi.org/10.1093/rfs/hhp087
- Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001). Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. The Journal of Finance, 56(1), 1–43. https://doi.org/10.1111/0022-1082.00318
- Chang, C., & Lin, S. (2015). The effects of national culture and behavioral pitfalls on investors’ decision-making: Herding behavior in international stock markets. International Review of Economics and Finance, 37, 380–392. https://doi.org/10.1016/j.iref.2014.12.010
- Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651–1679. https://doi.org/10.1016/S0378-4266(99)00096-5
- Chang, R. P., Ko, K. C., Nakano, S., & Rhee, S. G. (2018). Residual momentum in Japan. Journal of Empirical Finance, 45, 283–299. https://doi.org/10.1016/j.jempfin.2017.11.005
- Chen, Q., Goldstein, I., & Jiang, W. (2007). Price informativeness and investment sensitivity to stock price. The Review of Financial Studies, 20(3), 619–650. https://doi.org/10.1093/rfs/hhl024
- Chen, T. (2013). Do investors herd in global stock markets? Journal of Behavioral Finance, 14(3), 230–239. https://doi.org/10.1080/15427560.2013.819804
- Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911–1921. https://doi.org/10.1016/j.jbankfin.2009.12.014
- Choi, N., & Sias, R. W. (2009). Institutional industry herding. Journal of Financial Economics, 94(3), 469–491. https://doi.org/10.1016/j.jfineco.2008.12.009
- Choi, N., & Skiba, H. (2015). Institutional herding in international markets. Journal of Banking and Finance, 55, 246–259. https://doi.org/10.1016/j.jbankfin.2015.02.002
- Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 51(4), 31–37. https://doi.org/10.2469/faj.v51.n4.1918
- Da, Z., Gurun, U. G., & Warachka, M. (2014). Frog in the pan: Continuous information and momentum. The Review of Financial Studies, 27(7), 2171–2218. https://doi.org/10.1093/rfs/hhu003
- Dasgupta, S., Gan, J., & Gao, N. (2010). Transparency, price informativeness, and stock return synchronicity: Theory and evidence. The Journal of Financial and Quantitative Analysis, 45(5), 1189–1220. https://doi.org/10.1017/S0022109010000505
- Demirer, R., & Zhang, H. (2019). Do firm characteristics matter in explaining the herding effect on returns? Review of Financial Economics, 37(2), 256–271. https://doi.org/10.1002/rfe.1036
- Deng, X., Hung, S., & Qiao, Z. (2018). Mutual fund herding and stock price crashes. Journal of Banking & Finance, 94, 166–184. https://doi.org/10.1016/j.jbankfin.2018.07.014
- Duarte, J., & Young, L. (2009). Why is PIN priced? Journal of Financial Economics, 91(2), 119–138. https://doi.org/10.1016/j.jfineco.2007.10.008newe
- Durnev, A., Morck, R., & Yeung, B. (2004). Value‐enhancing capital budgeting and firm‐specific stock return variation. The Journal of Finance, 59(1), 65–105. https://doi.org/10.1111/j.1540-6261.2004.00627.x
- Durnev, A., Morck, R., Yeung, B., & Zarowin, P. (2003). Does greater firm‐specific return variation mean more or less informed stock pricing? Journal of Accounting Research, 41(5), 797–836. https://doi.org/10.1046/j.1475-679X.2003.00124.x
- Easley, D., Hvidkjaer, S., & O’hara, M. (2002). Is information risk a determinant of asset returns? The Journal of Finance, 57(5), 2185–2221. https://doi.org/10.1111/1540-6261.00493
- Easley, D., Kiefer, N. M., & O’Hara, M. (1997). The information content of the trading process. Journal of Empirical Finance, 4(2–3), 159–186. https://doi.org/10.1016/S0927-5398(97)00005-4
- Easley, D., Kiefer, N. M., O’hara, M., & Paperman, J. B. (1996). Liquidity, information, and infrequently traded stocks. The Journal of Finance, 51(4), 1405–1436. https://doi.org/10.1111/j.1540-6261.1996.tb04074.x
- Economou, F., Kostakis, A., & Philippas, N. (2011). Cross-country effects in herding behaviour: Evidence from four south European markets. Journal of International Financial Markets, Institutions and Money, 21(3), 443–460. https://doi.org/10.1016/j.intfin.2011.01.005
- Eichengreen, B., Eichengreen, B. J., Mathieson, D. J., Jansen, A., Chadha, B., Kodres, L. E., & Sharma, S. (1998). Hedge funds and financial market dynamics (No. 166). International Monetary Fund.
- Ferreira, M. A., & Laux, P. A. (2007). Corporate governance, idiosyncratic risk, and information flow. The Journal of Finance, 62(2), 951–989. https://doi.org/10.1111/j.1540-6261.2007.01228.x
- Galariotisa, E. C., Krokida, S., & Spyrou, S. I. (2016). Herd behavior and equity market liquidity: Evidence from major markets. International Review of Financial Analysis, 48, 140–149. https://doi.org/10.1016/j.irfa.2016.09.013
- Gelos, R. G., & Wei, S. (2005). Transparency and international portfolio holdings. Journal of Finance, 60(6), 2987–3020. https://doi.org/10.1111/j.1540-6261.2005.00823.x
- Grinblatt, M., & Keloharju, M. (2000). The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics, 55(1), 43–67. https://doi.org/10.1016/S0304-405X(99)00044-6
- Henker, J., Henker, T., & Mitsios, A. (2006). Do investors herd intraday in Australian equities? International Journal of Managerial Finance., 2(3), 196–219. https://doi.org/10.1108/17439130610676475
- Hirshleifer, D., & Hong Teoh, S. (2003). Herd behaviour and cascading in capital markets: A review and synthesis. European Financial Management, 9(1), 25–66. https://doi.org/10.1111/1468-036X.00207
- Huang, T. C., Lin, B. H., & Yang, T. H. (2015). Herd behavior and idiosyncratic volatility. Journal of Business Research, 68(4), 763–770. https://doi.org/10.1016/j.jbusres.2014.11.025
- Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585–616. https://doi.org/10.1016/j.jempfin.2004.04.003
- Jiang, G. J., Xu, D., & Yao, T. (2009). The information content of idiosyncratic volatility. Journal of Financial and Quantitative Analysis, 44(1), 1–28. https://doi.org/10.1017/S0022109009090073
- Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1), 273–310. https://doi.org/10.1111/j.1540-6261.2008.01316.x
- Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100(3), 639–662. https://doi.org/10.1016/j.jfineco.2010.07.007
- Klein, A. (2013). Time-variations in herding behavior: Evidence from a Markov switching SUR model. Journal of International Financial Markets, Institutions and Money, 26, 291–304. https://doi.org/10.1016/j.intfin.2013.06.006
- Lai, S., Ng, L., & Zhang, B. (2014). Does PIN affect equity prices around the world? Journal of Financial Economics, 114(1), 178–195. https://doi.org/10.1016/j.jfineco.2014.06.005
- Laih, Y. W., & Liau, Y. S. (2013). Herding behavior during the subprime mortgage crisis: Evidence from six Asia-Pacific stock markets. International Journal of Economics and Finance, 5(7), 71–84. https://doi.org/10.5539/ijef.v5n7p71
- Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23–43. https://doi.org/10.1016/0304-405X(92)90023-Q
- Li, B., Rajgopal, S., & Venkatachalam, M. (2014). R2 and idiosyncratic risk are not interchangeable. The Accounting Review, 89(6), 2261–2295. https://doi.org/10.2308/accr-50826
- Lin, C., Ko, K., Chen, Y., & Chu, H. (2016). Information discreteness, price limits and earnings momentum. Pacific-Basin Finance Journal, 37, 1–22. https://doi.org/10.1016/j.pacfin.2016.02.003
- Messis, P., & Zapranis, A. (2014). Herding towards higher moment CAPM, contagion of herding and macroeconomic shocks: Evidence from five major developed markets. Journal of Behavioral and Experimental Finance, 4, 1–13. https://doi.org/10.1016/j.jbef.2014.09.002
- Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1–2), 215–260. https://doi.org/10.1016/S0304-405X(00)00071-4
- Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 28(3), 777–787. doi:10.2307/2526578
- Nguyen, H., Lan, Y., & Treepongkaruna, S., (2018). Firm-specific return variation and stock returns. Working Paper.
- Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263–2295. https://doi.org/10.1111/0022-1082.00188
- Phansatan, S., Powell, J. G., Tanthanongsakkun, S., & Treepongkaruna, S. (2012). Investor type trading behavior and trade performance: Evidence from the Thai stock market. Pacific-Basin Finance Journal, 20(1), 1–23. https://doi.org/10.1016/j.pacfin.2011.07.004
- Roll, R. (1988). R2. The Journal of Finance, 43(3), 541–566. https://doi.org/10.1111/j.1540-6261.1988.tb04591.x
- Spyrou, S. (2013). Herding in financial markets: A review of the literature. Review of Behavioral Finance, 5(2), 175–194. https://doi.org/10.1108/RBF-02-2013-0009
- Taylor, N. (2002). Competition on the London stock exchange. European Financial Management, 8(4), 399–419. https://doi.org/10.1111/1468-036X.00197
- Vo, X. V., & Phan, Dang Bao Anh.. (2019). Herd behavior and idiosyncratic volatility in a frontier market. Pacific-Basin Finance Journal, 53, 321-330. https://doi.org/10.1016/j.Pacific-Basin Finance Journal.2018 2018 53.10.005. doi:10.1016/j.pacfin.2018.10.005
- Wang, K. Y., & Huang, Y. S. (2018). Effects of transparency on herding behavior: Evidence from the Taiwanese stock market. Emerging Markets Finance and Trade, 55(8), 1–20. https://doi.org/10.1080/1540496X.2018.1504289
- Wanidwaranan, P., & Padungsaksawasdi, C. (2020). The effect of return jumps on herd behavior. Journal of Behavioral and Experimental Finance, 27, 100375. https://doi.org/10.1016/j.jbef.2020.100375
- Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of Financial Economics, 58(1–2), 187–214. https://doi.org/10.1016/S0304-405X(00)00070-2
- Zhou, J., & Anderson, R. I. (2013). An empirical investigation of herding behavior in the U.S. REIT market. The Journal of Real Estate Finance and Economics, 47(1), 83–108. https://doi.org/10.1007/s11146-011-9352-x