Industry herding, spillover index and investment strategy
Industry herding, spillover index and investment strategy
This study investigates the spillover effects of the herding behavior of institutional investors in industries using the new spillover index. We further examine the lead-lag relationship between the herding spillover index and stock market. Finally, this paper furthers our understanding of the momentum strategy in industries. The empirical evidence indicates that industry herding in terms of semi-conductor manufacturing has had a significant impact on other types of industry herding. Second, sin