Accesso libero

Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?

INFORMAZIONI SU QUESTO ARTICOLO

Cita

Amel-Zadeh, A. (2011). The return of the size anomaly: Evidence from the German stock market. European Financial Management, 17(1), 145‒182. https://doi.org/10.1111/j.1468-036X.2010.00581.x10.1111/j.1468-036X.2010.00581.x Search in Google Scholar

Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992‒1026.10.1086/261849 Search in Google Scholar

Blasco, N., Corredor, P., & Ferreruela, S. (2012). Does herding affect volatility? Implications for the Spanish stock market. Quantitative Finance, 12(2), 311‒327. https://doi.org/10.1080/14697688.2010.51676610.1080/14697688.2010.516766 Search in Google Scholar

Blasco, N., Corredor, P., & Ferreruela, S. (2017). Herding, volatility, and market stress in the Spanish stock market. In F. Economou, K. Gavriilidis, G. N. Gregoriou & V. Kallinterakis (Eds.), Handbook of Investors’ Behaviour During Financial Crises (pp. 151‒168). https://doi.org/10.1016/B978-0-12-811252-6.00009-810.1016/B978-0-12-811252-6.00009-8 Search in Google Scholar

Bradshaw, M. T. (2002). The use of target prices to justify sell-side analysts’ stock recommendations. Accounting Horizons, 16(1), 27‒41. https://doi.org/10.2308/acch.2002.16.1.2710.2308/acch.2002.16.1.27 Search in Google Scholar

Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1‒20. https://doi.org/10.1287/mnsc.2013.175110.1287/mnsc.2013.1751 Search in Google Scholar

Chan, K., & Hameed, A. (2006). Stock price synchronicity and analyst coverage in emerging markets. Journal of Financial Economics, 80(1), 115‒147. https://doi.org/10.1016/j.jfineco.2005.03.01010.1016/j.jfineco.2005.03.010 Search in Google Scholar

Chang, C. L., McAleer, M., & Wang, Y. A. (2020). Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19. Renewable and Sustainable Energy Reviews, 134, 110349. https://doi.org/10.1016/j.rser.2020.11034910.1016/j.rser.2020.110349 Search in Google Scholar

Chen, P. J. (2016). The effects of analysts’ herding on traders: Evidence from the Taiwan stock market. Asia-Pacific Financial Markets, 23(2), 203‒227. https://doi.org/10.1007/s10690-016-9216-810.1007/s10690-016-9216-8 Search in Google Scholar

Chiang, M. T., & Lin, M. C. (2019). Market sentiment and herding in analysts’ stock recommendations. The North American Journal of Economics and Finance, 48, 48‒64. https://doi.org/10.1016/j.najef.2019.01.00710.1016/j.najef.2019.01.007 Search in Google Scholar

Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behaviour in global stock markets. Journal of Banking & Finance, 34(8), 1911‒1921. https://doi.org/10.1016/j.jbankfin.2009.12.01410.1016/j.jbankfin.2009.12.014 Search in Google Scholar

Corbet, S., Dowling, M., & Cummins, M. (2015). Analyst recommendations and volatility in a rising, falling, and crisis equity market. Finance Research Letters, 15, 187‒194. https://doi.org/10.1016/j.frl.2015.09.00910.1016/j.frl.2015.09.009 Search in Google Scholar

Economou, F., Hassapis, C., & Philippas, N. (2018). Investors’ fear and herding in the stock market. Applied Economics, 50(34‒35), 3654‒3663. https://doi.org/10.1080/00036846.2018.143614510.1080/00036846.2018.1436145 Search in Google Scholar

Eyster, E., & Rabin, M. (2010). Naïve herding in rich-information settings. American Economic Journal: Microeconomics, 2(4), 221‒243. https://doi.org/10.1257/mic.2.4.22110.1257/mic.2.4.221 Search in Google Scholar

Firth, M., Lin, C., Liu, P., & Xuan, Y. (2013). The client is king: Do mutual fund relationships bias analyst recommendations?. Journal of Accounting Research, 51(1), 165‒200. https://doi.org/10.1111/j.1475-679X.2012.00469.x10.1111/j.1475-679X.2012.00469.x Search in Google Scholar

Frijns, B., & Huynh, T. D. (2018). Herding in analysts’ recommendations: The role of media. Journal of Banking & Finance, 91, 1‒18.10.1016/j.jbankfin.2018.03.010 Search in Google Scholar

Jegadeesh, N., & Kim, W. (2010). Do analysts herd? An analysis of recommendations and market reactions. The Review of Financial Studies, 23(2), 901‒937. https://doi.org/10.1093/rfs/hhp09310.1093/rfs/hhp093 Search in Google Scholar

Koopman, S. J., Jungbacker, B., & Hol, E. (2005). Forecasting daily variability of the S&P 100 stock index using historical, realized and implied volatility measurements. Journal of Empirical Finance, 12(3), 445‒475. https://doi.org/10.1016/j.jempfin.2004.04.00910.1016/j.jempfin.2004.04.009 Search in Google Scholar

Lien, D., Hung, P. H., & Chen, L. W. (2020). Analyst recommendations, herding intensity, and trading performance. Asia-Pacific Journal of Financial Studies, 49(5), 772‒802. https://doi.org/10.1111/ajfs.1231310.1111/ajfs.12313 Search in Google Scholar

Loang, O. K., & Ahmad, Z. (2020). Social factors and herd behaviour in developed markets, advanced emerging markets and secondary emerging markets. Journal of Contemporary Eastern Asia, 19(1), 97‒122. https://doi.org/10.17477/jcea.2020.19.1.097 Search in Google Scholar

Medovikov, I. S. (2019). Can stock analysts predict market risk? New evidence from Copula theory. Finance: Theory and Practice, 23(1), 38‒48. https://doi.org/10.26794/2587-5671-2019-23-1-38-4810.26794/2587-5671-2019-23-1-38-48 Search in Google Scholar

O’Laughlin, K. D., Martin, M. J., & Ferrer, E. (2018). Cross-sectional analysis of longitudinal mediation processes. Multivariate behavioural research, 53(3), 375‒402. https://doi.org/10.1080/00273171.2018.145482210.1080/00273171.2018.1454822 Search in Google Scholar

Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of Business, 61‒65. https://doi.org/10.1086/29607110.1086/296071 Search in Google Scholar

Prasad, M., Bakry, W., & Varua, M. E. (2020). Examination of information release on return volatility: A market and sectoral analysis. Heliyon, 6(5), 388‒385. https://doi.org/10.1016/j.heliyon.2020.e0388510.1016/j.heliyon.2020.e03885 Search in Google Scholar

Raafat, R. M., Chater, N., & Frith, C. (2009). Herding in humans. Trends in Cognitive Sciences, 13(10), 420‒428. https://doi.org/10.1016/j.tics.2009.08.00210.1016/j.tics.2009.08.002 Search in Google Scholar

Shams, S., & Golbabaei, A. (2020). The relationship between investors herding and volatility. Iranian Journal for Business and Economics, 2(3), 1‒6. https://dx.doi.org/10.2139/ssrn.370322410.2139/ssrn.3703224 Search in Google Scholar

Shi, Y., Zheng, Y., Guo, K., Jin, Z., & Huang, Z. (2020). The evolution characteristics of systemic risk in China’s Stock Market based on a dynamic complex network. Entropy, 22(6), 614‒623. https://doi.org/10.3390/e2206061410.3390/e22060614 Search in Google Scholar

Su, C., Zhang, H., & Hudson, R. S. (2020). The time-varying performance of UK analyst recommendation revisions: Do market conditions matter?. Financial Markets, Institutions & Instruments, 29(2), 65‒89. https://doi.org/10.1111/fmii.1212610.1111/fmii.12126 Search in Google Scholar

Thaker, H. M. T., Mohamad, A., Kamil, N. K. M., & Duasa, J. (2018). Information content and informativeness of analysts’ report: Evidence from Malaysia. Journal of Financial Reporting and Accounting, 16(4), 742‒763. https://doi.org/10.1108/JFRA-09-2017-008710.1108/JFRA-09-2017-0087 Search in Google Scholar

Wang, K. Y., & Huang, Y. S. (2019). Effects of transparency on herding behaviour: Evidence from the Taiwanese stock market. Emerging Markets Finance and Trade, 55(8), 1821‒1840. https://doi.org/10.1080/1540496X.2018.150428910.1080/1540496X.2018.1504289 Search in Google Scholar

Xu, N. (2019). Herding in Chinese Stock Market: Evidence from two stock exchanges. 2019 International Conference on Economic Development and Management Science, 67‒72. Search in Google Scholar

Xu, N., Jiang, X., Chan, K. C., & Wu, S. (2017). Analyst herding and stock price crash risk: Evidence from China. Journal of International Financial Management & Accounting, 28(3), 308‒348. https://doi.org/10.1111/jifm.1206210.1111/jifm.12062 Search in Google Scholar

eISSN:
2450-0097
Lingua:
Inglese
Frequenza di pubblicazione:
4 volte all'anno
Argomenti della rivista:
Business and Economics, Political Economics, other, Finance, Mathematics and Statistics for Economists, Econometrics