The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market

This thesis examines the role of volatility in mediating the relationship between analyst recommendations and herding in the Malaysian stock market from 2015 to 2021. Herding has been found as one of the causes of securities mispricing due to the collective behaviour of pushing prices away from fund...

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Main Author:	Ooi, Kok Loang
Format:	Thesis
Language:	English
Published:	2023
Subjects:	HD28-70 Management Industrial Management
Online Access:	http://eprints.usm.my/60479/1/24%20Pages%20from%20OOI%20KOK%20LOANG.pdf
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id	my-usm-ep.60479
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spelling	my-usm-ep.604792024-04-30T02:52:55Z The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market 2023-05 Ooi, Kok Loang HD28-70 Management. Industrial Management This thesis examines the role of volatility in mediating the relationship between analyst recommendations and herding in the Malaysian stock market from 2015 to 2021. Herding has been found as one of the causes of securities mispricing due to the collective behaviour of pushing prices away from fundamentals. Herding is often associated with financial crises due to information cascades or abandoning private information to follow the crowd. Nonetheless, the role of analyst recommendations in affecting herding can be too good to be true without considering the mediating role of volatility that triggers the investors’ emotions to make investment decisions. Hence, this study explores the existence of herding in the market and examines the impact of analyst recommendations on herding. For methodology, this study adopts the Cross-Sectional Standard Deviation (CSSD) by Chang, Cheng and Khorana (2000) and Cross-Sectional Absolute Deviation (CSAD) by Chiang and Zheng (2010) in the panel data and quantile regressions to detect herding. Based on the Baron and Kenny (1986) mediation model, the results show that herding exists in the Malaysian stock market, and volatility mediates the relationship between analyst recommendations and herding. Realized volatility is the only volatility measurement significant to analyst recommendations and herding because investors rely on the previous day’s stock price as the benchmark to trade. Besides, the dispersion of target price is the only variable of analyst recommendations shown to be significant to stock price volatility and herding. The result of the quantile regression indicates that herding is more pronounced in the upper quantile of CSAD. 2023-05 Thesis http://eprints.usm.my/60479/ http://eprints.usm.my/60479/1/24%20Pages%20from%20OOI%20KOK%20LOANG.pdf application/pdf en public phd doctoral Perpustakaan Hamzah Sendut Pusat Pengajian Pengurusan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HD28-70 Management Industrial Management
spellingShingle	HD28-70 Management Industrial Management Ooi, Kok Loang The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
description	This thesis examines the role of volatility in mediating the relationship between analyst recommendations and herding in the Malaysian stock market from 2015 to 2021. Herding has been found as one of the causes of securities mispricing due to the collective behaviour of pushing prices away from fundamentals. Herding is often associated with financial crises due to information cascades or abandoning private information to follow the crowd. Nonetheless, the role of analyst recommendations in affecting herding can be too good to be true without considering the mediating role of volatility that triggers the investors’ emotions to make investment decisions. Hence, this study explores the existence of herding in the market and examines the impact of analyst recommendations on herding. For methodology, this study adopts the Cross-Sectional Standard Deviation (CSSD) by Chang, Cheng and Khorana (2000) and Cross-Sectional Absolute Deviation (CSAD) by Chiang and Zheng (2010) in the panel data and quantile regressions to detect herding. Based on the Baron and Kenny (1986) mediation model, the results show that herding exists in the Malaysian stock market, and volatility mediates the relationship between analyst recommendations and herding. Realized volatility is the only volatility measurement significant to analyst recommendations and herding because investors rely on the previous day’s stock price as the benchmark to trade. Besides, the dispersion of target price is the only variable of analyst recommendations shown to be significant to stock price volatility and herding. The result of the quantile regression indicates that herding is more pronounced in the upper quantile of CSAD.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Ooi, Kok Loang
author_facet	Ooi, Kok Loang
author_sort	Ooi, Kok Loang
title	The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
title_short	The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
title_full	The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
title_fullStr	The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
title_full_unstemmed	The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market
title_sort	role of volatility in mediating the impact of analyst’ recommendations on herding in the malaysian stock market
granting_institution	Perpustakaan Hamzah Sendut
granting_department	Pusat Pengajian Pengurusan
publishDate	2023
url	http://eprints.usm.my/60479/1/24%20Pages%20from%20OOI%20KOK%20LOANG.pdf
_version_	1804888945138335744

The Role Of Volatility In Mediating The Impact Of Analyst’ Recommendations On Herding In The Malaysian Stock Market

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