This study investigates investment behavior of Taiwan market participants from different aspects of measure, especially with regard to their tendency to forming herding behavior. By applying concepts of Cross-Sectional Absolute Dispersions (CSAD), we find significant evidence of herding behavior in the Taiwan market. Evidences suggest that the herding formation in Taiwan market is strongly influenced by the US market and we should not ignore the impact of globalization. With regard to the issue of financial crises, we find no herding behavior during the 1998 Asian Crisis but partial evidence shows that herding activities may be influenced by crisis during the 2000 Internet Bubble and 2008 Sub-prime Crisis in the Taiwan market. Moreover, all empirical results are reexamined using Quantile analysis to avoid potential bias in estimations. Finally, results from applying herding behavior in portfolio management indicate that investing in stocks of lower liquidity and volatility can reduce the risk of portfolios.

There are three purposes in this thesis. First of all, the thesis examines the market herding behavior of real estates in Taiwan. Second, if herding exists in the markets, what factors cause herding behavior? Finally, how does herding behavior affect market performance? The empirical results show there is no herding evidence in the real estates markets when market moves downward. There are different results between different real estates and periods when market moves upward. There is obvious herding behavior in the pre-sale houses in Taipei City. Herding behavior also exist lag phenomenon. During lag period, there is obvious herding behavior in the pre-sale houses in Taipei when market moves upward. There is weak herding behavior in the other real estates, including pre-sale houses of Taipei County, existing houses and land. We find that macro factors such as money supply, GDP growth rate, saving amount, incoming and micro factors such as market depth and market return in the last period will cause herding behavior. Finally, herding behavior, price volatility and transaction amount volatility have Granger causality. Herding behavior will makes price more efficient and increases transaction.

[pt] O objetivo desse trabalho é observar, com base no modelo de Chang, Cheng e Khorana (2000), se há indícios de que houve efeito manada no mercado de ações brasileiro no período que compreende entre 2010 e 2015. Esse período é marcado por forte instabilidade política e econômica do Brasil e pode-se notar uma grande volatilidade no índice Bovespa. Essa dissertação de mestrado tem por objetivo avaliar, sob os aspectos de finanças comportamentais, se há ou não indícios de que houve algum movimento de efeito manado em um período recente no mercado de ações brasileiro. Outros estudos já testaram o modelo de Cheng et. Al em outros mercados e no próprio mercado brasileiro em períodos diferentes. Após a análise dos resultados do modelo no período citado, não foi possível encontrar indícios de efeito manada no mercado brasileiro. / [en] The aim of this study is to observe, based on the model of Chang, Cheng and Khorana (2000), if there is evidence that there were herding in the Brazilian stock market in the period that goes from 2010 to 2015. This period was marked by a strong political and economic instability and it is possible to notice a great volatility in the Bovespa index. This dissertation aims at evaluating, under the behavioral finance aspects, whether or not there is any indication that there has been any movement of herding in a recent period in the Brazilian stock market. Other studies have already tested the model of Cheng et. Al in other markets and in the Brazilian market itself in different periods. After analyzing the results of the model in the mentioned period, it was not possible to find evidence of a herd behavior in the Brazilian market.