TY  - JOUR
AB  - Purpose This paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016.Design/methodology/approach Observations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model.Findings Although a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX).Originality/value The results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.
VL  - 11
IS  - 2
SN  - 1753-9269
DO  - 10.1108/JERER-06-2017-0021
UR  - https://doi.org/10.1108/JERER-06-2017-0021
AU  - Akinsomi Omokolade
AU  - Coskun Yener
AU  - Gupta Rangan
AU  - Lau Chi Keung Marco
PY  - 2018
Y1  - 2018/01/01
TI  - Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs
T2  - Journal of European Real Estate Research
PB  - Emerald Publishing Limited
SP  - 169
EP  - 186
Y2  - 2024/05/10
ER  -