Title: Herding by Foreign Institutional Investors: An Evidential Exploration for Persistence and Predictability

Author (s):: Chattopadhyay M.; Garg A.K.; Mitra S.K.

Journal: Journal of Behavioral Finance

Month and Year: October 2017

Abstract: The primary objective of the study is to explore the predictability of herding patterns of foreign institutional investors in the Indian market using high frequency data over a period from January 2003 to June 2014. Herding of an individual stock was measured estimating a simple volume based ratio and persistence of trends was detected using the runs test (Wald and Wolfowitz [1940]) on that ratio. Predictability of herding behavior has been successfully modeled by applying 7 data mining models using various measures of performance. Market regulators may consider our findings to regulate the foreign institutional investors trading to make the financial system more transparent and robust. © 2018 The Institute of Behavioral Finance.

Document Type: Article

DOI: https://doi.org/10.1080/15427560.2017.1373282