Browsing by Author "Iqbal, Muhammad Sabeeh"

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Open Access
Information cascades, short-selling constraints, and herding in equity markets
(Elsevier, 2020-05) Tiniç, M.; Iqbal, Muhammad Sabeeh; Mahmud, S. F.
This paper examines the relationship between informed trading and herding in Borsa_Istanbul. Our firm-level cross-sectional analysis assertsthat informed trading can significantly increase future herding levels. Furthermore, we show that the relationship between informed trading andherding intensifies under short-selling restrictions. Our results confirm the predictions of the informational cascades framework where the in-dividuals disregard their private information to follow others. We show that information cascades are relevant both for buy-side herding and sell-side herding. Short-selling restrictions may reinforce the herding behaviour since informed investors may not be able to clear out potential price misalignments.
Open Access
Institutional investment horizon, herding, and stock returns
(2020-12) Iqbal, Muhammad Sabeeh
This thesis investigates the interaction between the herding behavior of institutions classified by their investment horizons and the role of investment horizon of institutions in driving the book-to-market effect. First, we examine the price impact of the herding behavior of short- and long-horizon institutional investors. We categorize the institutional herding as same-side herding when both types of institutions herd on the buy-side or sell-side together and as opposite-side herding when short-horizon institutions buy while the long-horizon institutions sell or vice versa. We find that the previously documented destabilizing impact of long-horizon institutional herding is only observed on opposite-side herding. Moreover, short-horizon institutional herding improves the stock price discovery process confirming the belief that they are more informed. Second, we investigate the differential contribution of institutions with different investment horizons in book-to-market effect. We find that long-horizon institutions tend to buy (sell) stocks with positive (negative) past intangible information. This behavior exacerbates market overreaction and magnifies intangible return reversals and thus contributes to book-to-market effect. On the other hand, short-horizon institutions trade independent of intangible information, and their trading in the direction of intangible information does not contribute to book to market effect. Moreover, our findings also support that short-horizon institutions are better informed than long-horizon institutions.