University of Isfahan Journal of Asset Management and Financing 2383-1189 5 2 2017 06 22 Micro and Macro Herding by Investors and Their Effects on Market Volatility Micro and Macro Herding by Investors and Their Effects on Market Volatility 149 166 21578 10.22108/amf.2017.21578 FA Maryam Davallou Assistant Prof Financial Management, Faculty of Management and Accounting, Shahid Beheshty University, Tehran, Iran 0000-0003-3321-1165 S. Sajad Papaei MSc.in Financial Management, Alborz University, Qazvin, Iran Journal Article 2015 09 23 The purpose of this research is to examine herding by institutional and individual investors in micro and macro level and their effects on market volatility. In micro level, we compare herding by institutional and individual investors also examines the effect of firm’s characteristics on micro herding by panel data regression. In macro level, we test the influence of market factors on herding and the effect of macro herding on market volatility through time series regression. The results indicate that there is a herding tendency among both institutional and individual investors and shiw that the propensity to herd is higher in institutional investors. Herding depends on firm’s characteristics and institutional investors are more sensitive to these variables. In macro level results show that market return affects herding by institutional investors also market return causes herding, mainly by institutional investors, in the Granger causality sense. Finally, herding by institutional investors influences market volatility. The purpose of this research is to examine herding by institutional and individual investors in micro and macro level and their effects on market volatility. In micro level, we compare herding by institutional and individual investors also examines the effect of firm’s characteristics on micro herding by panel data regression. In macro level, we test the influence of market factors on herding and the effect of macro herding on market volatility through time series regression. The results indicate that there is a herding tendency among both institutional and individual investors and shiw that the propensity to herd is higher in institutional investors. Herding depends on firm’s characteristics and institutional investors are more sensitive to these variables. In macro level results show that market return affects herding by institutional investors also market return causes herding, mainly by institutional investors, in the Granger causality sense. Finally, herding by institutional investors influences market volatility. https://amf.ui.ac.ir/article_21578_789429ea6cdd7888a48fb050a42dcb68.pdf