碩士 / 國立中興大學 / 財務金融系所 / 97 / The paper examines the herding behavior of institutional investors (foreign investors, funds, and dealers) on LSV measure in Taiwan from January 2, 2008 to the end of March, 2009. We study the composition of MSCI stock before and during financial tsunami─the newest cresis. Ther purposes of this thesis are as follows: First of all, the thesis examines the market herding behavior of stock among institutional investors in Taiwan. Second, how does market performance affect herding behavior. Third, if herding exists in the markets, what factors cause herding behavior? (stock return, market return, exchange return) Finally, observe the price-setting imbalance after financial shock.
The empirical results are as follow : we find evidence of positive feedback trading and herding by funds and dealers before the period of crisis, but foreign investors insignificant. During the crisis period, foreign investors use positive feedback trading and sell losers quickly. Know that funds have agency problem, when confronting change of circumstances, the influence of sell together is small than dealers. Dealers have two strategies confronting crisis: First, sell in large quantities;Second, play the role of market maker. Herding behavior will makes price more efficient and increases transaction. Institutional investors will take advantage of information of specific stocks , even herding measure is positively correlated with stock return, and negatively correlated with market return. We can say stock return predominant market return.From my study, there are differences between ordinary day and during financial cresis.
| Identifer | oai:union.ndltd.org:TW/097NCHU5304010 |
| Date | January 2009 |
| Creators | Huang, Ai-Lun, 黃愛倫 |
| Contributors | Doong, Shuh-Chyi, 董澍琦 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 60 |
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