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Herding in Investment Trusts: New Evidence Using Tick-by-Tick Data

Unknown author

International Real Estate Review2025https://doi.org/10.53383/100406article
ABDC C
Weight
0.50

What the paper says

We study herding behaviour in Indian investment trusts, which comprise real estate investment trusts (REITs) and infrastructure investment trusts (InvITs), from July 2021 to March 2025.We employ two distinct methodologies: the high-frequency herding intensity statistic of Patterson and Sharma (2006), and a modified version of the return dispersion-based approach of Chang et al. (2000).The results provide clear evidence of herding in these markets, which is notable given that they have relatively less information asymmetry, volatility, and cash flow uncertainty than traditional equities.Noticeably, herding is absent before the reduction of the minimum trading lot size to one unit by the Indian regulatory body, the Securities and Exchange Board of India, in late 2021, which indicates the influence of increased retail participation.During COVID-19, herding was more pronounced in REITs than in InvITs, thus reflecting heightened uncertainty in the commercial real estate sector.These findings have broader implications for regulation, portfolio management, and market efficiency.

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https://doi.org/https://doi.org/10.53383/100406

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@article{unknown2025,
  title        = {{Herding in Investment Trusts: New Evidence Using Tick-by-Tick Data}},
  author       = {Unknown author},
  journal      = {International Real Estate Review},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.53383/100406},
}

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Herding in Investment Trusts: New Evidence Using Tick-by-Tick Data

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.