We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and … to order imbalances. Investors demand compensations for herding. A 1% increase in the degree of herding this year …

generates price series imultaneously exhibiting all three of the following features that can be found in the data. 1) Prices … agree with the evidence that reductions in price, e.g. sales, are usually short-lasting and that the highest price in a … sample tends to be the most quoted price. Discrete and asymmetric pricing is a seller's optimal response to his limited …

leads to price stabilization whereas buy side herding results in, prices adjusting slowly. We find that the abolition of …This paper analyzes the trading activity of Taiwanese open-end equity mutual fund herding behaviour over the period of … 1996 to 2008. We find evidence of both directional and directionless herding. We also find that sell-side fund herding …