Directional Herding Behaviour and Momentum Profitability
This study investigates momentum profitability and directional herding levels (DHD) in Vietnamese stock market. Stocks are divided into three directional herding levels groups by sorting DHD defined as stock price movements relative to the market. Our findings indicate significantly larger positive momentum profits for extremely high (low) directional herding levels groups than medium group over 6 months, suggesting U-shape patterns across different three groups. Also, our results show directional herding levels momentum anomalies where we construct directional herding levels momentum strategies of buying winners for high (low) directional herding level group and selling losers for low (high) directional herding level group. Finally, significantly larger positive directional herding momentum profits are found when considering global (non-) financial crisis periods. Therefore, our findings would shed more valuable insights on directional herding and momentum profitability.
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Document Type: Research Article
Affiliations: Department of Finance, Chaoyang University of Technology, Taichung 41349, Taiwan
Publication date: July 1, 2018
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