The authors are grateful to the anonymous referee for helpful comments and suggestions with respect to the first version of the paper. The authors acknowledge the financial support of the Spanish Ministry of Science and Innovation (ECO2009-12819), ERDF funds, the Caja de Ahorros of the Inmaculada (Europe XXI Programme), the Government of Aragon and the Government of Navarra.
Market sentiment: a key factor of investors’ imitative behaviour
Version of Record online: 7 APR 2011
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
Accounting & Finance
Volume 52, Issue 3, pages 663–689, September 2012
How to Cite
Blasco, N., Corredor, P. and Ferreruela, S. (2012), Market sentiment: a key factor of investors’ imitative behaviour. Accounting & Finance, 52: 663–689. doi: 10.1111/j.1467-629X.2011.00412.x
- Issue online: 7 SEP 2012
- Version of Record online: 7 APR 2011
- Received 10 March 2010; accepted 21 February 2011 by Robert Faff (Editor).
- Behavioural finance;
- Stock market
The aim of this paper is to explore herding behaviour among investors to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity. The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997–2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor.