ORCID Profile
0000-0002-0463-3732
Current Organisations
University of Massachusetts Amherst
,
Bond University
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Publisher: Informa UK Limited
Date: 06-2010
Publisher: Informa UK Limited
Date: 03-04-2015
Publisher: Elsevier BV
Date: 2012
DOI: 10.2139/SSRN.1970711
Publisher: Wiley
Date: 30-03-2017
DOI: 10.1111/ACFI.12211
Publisher: Wiley
Date: 04-10-2012
Publisher: Informa UK Limited
Date: 12-03-2008
Publisher: Wiley
Date: 09-2008
DOI: 10.1111/J.1468-2443.2008.00081.X
Abstract: Trading is the mechanism of the economist's ‘invisible hand,’ the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of in idual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger‐causes returns, returns Granger‐cause trading only for the in idual investor category. That is, in the short term of up to 1 month, only in idual investors engage in feedback trading.
Publisher: Springer Science and Business Media LLC
Date: 03-02-2019
Publisher: Elsevier BV
Date: 2009
DOI: 10.2139/SSRN.1663504
Publisher: Informa UK Limited
Date: 06-2005
Publisher: Emerald
Date: 07-2006
DOI: 10.1108/17439130610676475
Abstract: The purpose of this research is to consider whether market wide herding occurs intraday. 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. Neither market wide nor industry sector herding occurs intraday. 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. 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.
Location: United States of America
No related grants have been discovered for Julia Henker.