教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Investors' Herd Behavior: Rational or Irrational?
學年102
學期1
出版(發表)日期2013/10/16
作品名稱Investors' Herd Behavior: Rational or Irrational?
作品名稱(其他語言)
著者Lin, William T.; Tsai, Shih-Chuan; Lung, Pei-Yau
單位淡江大學財務金融學系
出版者Chichester: Wiley-Blackwell Publishing Ltd.
著錄名稱、卷期、頁數Asia-Pacific Journal of Financial Studies 42(5), pp.755–776
摘要This study examines the relationships between the herding of various investor groups and trading noise in the Taiwan stock market to determine whether any of the investor groups tend to herd rationally. The study uses a unique and comprehensive data set on intraday transactions and limit order books of the Taiwan Stock Exchange (TWSE). We calculate the high-frequency herding measures and trading noise in a call auction market. We find that institutional investors are likely to be informed traders and herd rationally based on superior information. Institutional investors' herding has a negative impact on trading noise. Their buy (sell) herding predicts positive (negative) future market returns. By contrast, the herding of individual investors tends to contain limited information, as it increases trading noise; the buy (sell) herding of individuals is negatively correlated with future market returns. These findings are more significant for stocks with higher turnover.
關鍵字Trading noise;Herding;Institutional investors;Individual investors;Intraday transactions
語言英文
ISSN2041-6156
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式,電子版,紙本
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