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Title: Investor sentiment and herding : an empirical study of UK investor sentiment and herding behaviour
Author: Hudson, Yawen
ISNI:       0000 0004 5359 9598
Awarding Body: Loughborough University
Current Institution: Loughborough University
Date of Award: 2015
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The objectives of this thesis are: first, to investigate the impact of investor sentiment in UK financial markets in different investment intervals through the construction of separate sentiment measures for UK investors and UK institutional investors; second, to examine institutional herding behaviour by studying UK mutual fund data; third, to explore the causal relation between institutional herding and investor sentiment. The study uses US, German and UK financial market data and investor sentiment survey data from 1st January 1996 to 30th June 2011. The impact of investor sentiment on UK equity returns is studied both in general, and more specifically by distinguishing between tranquil and financial crisis periods. It is found that UK equity returns are significantly influenced by US individual and institutional sentiment and hardly at all by local UK investor sentiment. The sentiment contagion across borders is more pronounced in the shorter investment interval. The investigation of institutional herding behaviour is conducted by examining return dispersions and the Beta dispersions of UK mutual funds. Little evidence of herding in return is found, however strong evidence of Beta herding is presented. The study also suggests that beta herding is not caused by market fundamental and macroeconomic factors, instead, it perhaps arises from investor sentiment. This is consistent between closed-end and open-ended funds. The relation between institutional herding and investor sentiment is investigated by examining the measures of herding against the measures of investor sentiment in the UK and US. It suggests that UK institutional herding is influenced by investor sentiment, and UK institutional sentiment has a greater impact as compared to UK market sentiment. Open-end fund managers are more likely to be affected by individual investor sentiment, whereas closed-end fund managers herd on institutional sentiment.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Investor sentiment ; Contagion ; Institutional investors ; Equity returns ; Herding behaviour ; Investment decisions