Herd Behavior in Taiwan Stock Market
Date Issued
2010
Date
2010
Author(s)
Chang, Yang-Jui
Abstract
Traditionally, economists hypothesize people, involving in economic activities, are of full rationality; however, as the rise of behavioral economics, scientists have found that human behaviors are between rationality and irrationality. In financial markets, randomly selected, a person makes decision of transactions by his own will, as conventional analyses said. Unfortunately, most of the time, more and more empirical evidence shows that people are influenced by other investors’ actions, and change their minds to herd others.
This article is to investigate the herd behavior in the Taiwan stock market, using the daily data, from 2006 to 2009, sample size of 995, of the trading conditions of all kinds of investors, with Quandt-Andrews test, univariate and multivariate GARCH models, the VAR model, and Granger causality test. The major findings are as follows: First, no matter what kinds of investors are, they all herd themselves. Second, investors, except the foreign brokers, herd other types of investors.
Subjects
Herd behavior
Quandt-Andrews test
Trading conditions
Multivariate GARCH model
Granger causality test
Type
thesis
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