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사회과학대학
경제학전공
Journal papers
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Following the Leader? Size-Dependent Herding in the US Equity Fund Market
Title
Following the Leader? Size-Dependent Herding in the US Equity Fund Market
Authors
Kim
;
Sei-Wan
;
Young-Min
Ewha Authors
김세완
SCOPUS Author ID
김세완
Issue Date
2024
Journal Title
Journal of Economic Theory and Econometrics
ISSN
1229-2893
Citation
Journal of Economic Theory and Econometrics vol. 35, no. 1, pp. 85 - 104
Keywords
Asymmetric herding
;
equity fund
;
individual investor
;
institutional investor
Publisher
Korean Econometric Society
Indexed
SCOPUS
Document Type
Article
Abstract
We examine the herding behavior of individual investors on institutional investors in the US equity fund market. In this paper, individual investors are households entrusting money to mutual funds, while institutional investors are non-household entities. Our empirical investigation determines that the significant herding behavior of individual investors is based on the trading size of institutional investors. In particular, we find evidence that herding in the US equity mutual fund market is triggered by the largest selling and buying of institutional investors. This indicates that the presence of asymmetry in individual investors’ herding behavior depends on the size of institutional investors’ trade. Further, we find that herding in the US equity fund market is related to market-wide risk aversion, which is intensified in institutional investors’ big selling. © 2024, Korean Econometric Society. All rights reserved.
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