The Herding Behavior of Professionals and Its Impact in the Korean Stock Market

Kim, Jee Hyun; Choe, Hyuk

Korean Journal of Financial Studies 2012;41(3):463-495.
Published online June 30, 2012.

Jee Hyun Kim, Hyuk Choe

The Herding Behavior of Professionals and Its Impact in the Korean Stock Market

김지현, 최혁

Abstract

Using the KRX/IFB intraday database which includes detailed information pertaining to the identity of the investor for each and every transaction, this paper investigates the herding behavior of professional investors and its impact on stock prices with the LSV herding measure. We find an asymmetric impact of buy herding and sell herding; while there is no return reversal following sell herding, buy herding is followed by return reversal. We also find evidence that return reversal after buy herding is stronger especially for stocks with lower analyst coverage.

Key Words: 군집행동 단기영향,군집행동 장기영향,매도 군집행동,매수 군집행동,정보 비대칭,Buy Herding,Information Asymmetry,Long-Term Herding Effect,Sell Herding,Short-Term Herding Effect