Herd behaviors in index futures trading: Driving factors and impact on market volatility
This study analyzes market index futures data on the Taiwan Futures Exchange to explore herd trading behaviors and their impact on the market. The study finds that herd behaviors are prevalent in all trading directions and that investor sentiment is a more direct explanation than information chasing...
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| Veröffentlicht in: | The journal of futures markets 2023-10, Vol.43 (10), p.1373-1392 |
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| container_issue | 10 |
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| container_title | The journal of futures markets |
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| creator | Wu, Ming‐Hung Hu, Wan‐Ting Weng, Pei‐Shih |
| description | This study analyzes market index futures data on the Taiwan Futures Exchange to explore herd trading behaviors and their impact on the market. The study finds that herd behaviors are prevalent in all trading directions and that investor sentiment is a more direct explanation than information chasing. Herding in intraday trading increases market volatility on the same day but decreases it on the following day. Additional tests show that overnight trading has a weaker herding tendency and a less noticeable market correction on the following day, which can be attributed in part to the lower participation of retail traders in overnight sessions. The analysis using overnight trading reinforces the relevance of retail trading in explaining herd trading. Overall, the study offers new evidence and insights into herd behaviors in the derivatives market dominated by retail investors. |
| doi_str_mv | 10.1002/fut.22413 |
| format | Article |
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Overall, the study offers new evidence and insights into herd behaviors in the derivatives market dominated by retail investors.</description><subject>Behavior</subject><subject>Derivatives</subject><subject>Futures</subject><subject>herd behaviors</subject><subject>index futures</subject><subject>information chasing</subject><subject>investor sentiment</subject><subject>market volatility</subject><subject>retail investors</subject><subject>Same day</subject><subject>Trading</subject><subject>Volatility</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2023</creationdate><recordtype>article</recordtype><recordid>eNp1kM1KAzEURoMoWKsL3yDgysW0N38zjTup1goFNy24C5lMoqnTmZpMq317oyO4Ei7kBg4nXz6ELgmMCAAdu103opQTdoQGBGSeScn4MRoALSArGOGn6CzGNQBIyWGAnuc2VLi0r3rv2xCxb9JU9hMn0S7YiLugK9-83OC74PdpwU6b7pvUTYX9ZptuuG3wRoc32-F9W-vO1747nKMTp-toL37PIVrN7pfTebZ4enic3i4yw3jBssKKijhqgRJdpUSECEstM7Q0BQVjKyecIYQUJYgcJq5kVIIWUuRSABGMDdFV792G9n1nY6fW7S406UlFJ0LK1AXnibruKRPaGIN1aht8ynxQBNR3cSr9V_0Ul1jcs9a0jY9_ZNLxnHJKEjLukQ9f28P_LjVbLXvpFwbXeSs</recordid><startdate>202310</startdate><enddate>202310</enddate><creator>Wu, Ming‐Hung</creator><creator>Hu, Wan‐Ting</creator><creator>Weng, Pei‐Shih</creator><general>Wiley Periodicals Inc</general><scope>OQ6</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><orcidid>https://orcid.org/0000-0003-4583-698X</orcidid><orcidid>https://orcid.org/0000-0002-0988-2041</orcidid></search><sort><creationdate>202310</creationdate><title>Herd behaviors in index futures trading: Driving factors and impact on market volatility</title><author>Wu, Ming‐Hung ; Hu, Wan‐Ting ; Weng, Pei‐Shih</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3473-7e5d1f2e021ad940115e2e3c2bc720cedf5fc1117b05608fb3290a59569501533</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2023</creationdate><topic>Behavior</topic><topic>Derivatives</topic><topic>Futures</topic><topic>herd behaviors</topic><topic>index futures</topic><topic>information chasing</topic><topic>investor sentiment</topic><topic>market volatility</topic><topic>retail investors</topic><topic>Same day</topic><topic>Trading</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Wu, Ming‐Hung</creatorcontrib><creatorcontrib>Hu, Wan‐Ting</creatorcontrib><creatorcontrib>Weng, Pei‐Shih</creatorcontrib><collection>ECONIS</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Wu, Ming‐Hung</au><au>Hu, Wan‐Ting</au><au>Weng, Pei‐Shih</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Herd behaviors in index futures trading: Driving factors and impact on market volatility</atitle><jtitle>The journal of futures markets</jtitle><date>2023-10</date><risdate>2023</risdate><volume>43</volume><issue>10</issue><spage>1373</spage><epage>1392</epage><pages>1373-1392</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><abstract>This study analyzes market index futures data on the Taiwan Futures Exchange to explore herd trading behaviors and their impact on the market. 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| ispartof | The journal of futures markets, 2023-10, Vol.43 (10), p.1373-1392 |
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| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | Behavior Derivatives Futures herd behaviors index futures information chasing investor sentiment market volatility retail investors Same day Trading Volatility |
| title | Herd behaviors in index futures trading: Driving factors and impact on market volatility |
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