Information cascades, short-selling constraints, and herding in equity markets
BORSA ISTANBUL REVIEW, cilt.20, sa.4, ss.347-357, 2020 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 20 Sayı: 4
- Basım Tarihi: 2020
- Doi Numarası: 10.1016/j.bir.2020.05.007
- Dergi Adı: BORSA ISTANBUL REVIEW
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
- Sayfa Sayıları: ss.347-357
- Orta Doğu Teknik Üniversitesi Adresli: Hayır
Özet
This paper examines the relationship between informed trading and herding in Borsa Istanbul. Our firm-level cross-sectional analysis asserts that informed trading can significantly increase future herding levels. Furthermore, we show that the relationship between informed trading and herding intensifies under short-selling restrictions. Our results confirm the predictions of the informational cascades framework where the individuals disregard their private information to follow others. We show that information cascades are relevant both for buy-side herding and sellside herding. Short-selling restrictions may reinforce the herding behaviour since informed investors may not be able to clear out potential price misalignments. Copyright (C) 2020, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.