財金系 林蒼祥 教授於
Investors' Herd Behavior: Rational or Irrational?
：Investors' Herd Behavior: Rational or Irrational?期刊論文Investors' Herd Behavior: Rational or Irrational?Lin, William T.; Tsai, Shih-Chuan; Lung, Pei-Yau淡江大學財務金融學系Trading noise;Herding;Institutional investors;Individual investors;Intraday transactionsChichester: Wiley-Blackwell Publishing Ltd.Asia-Pacific Journal of Financial Studies 42(5), pp.755–776This 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