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An Empirical Study of Herding Behavior in Taiwan Stock Market: Evidence from Quantile Regression Analysis

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0726110-143040
Date26 July 2010
CreatorsLee, Chin-ning
ContributorsPei-fen Chen, Yih Jeng, Chien-Chiang Lee
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0726110-143040
Rightscampus_withheld, Copyright information available at source archive

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