碩士 / 嶺東科技大學 / 經營管理研究所 / 98 / This research is to explore whether the herding phenomenon exists among the stock markets across the six countries in Asia Pacific, and variations in herding behavior before and after the financial tsunami, stock market goes up and down; secondly, to explore the variance in herding behavior under different market structures and different daily stock price limit. The research objects are Four Asian Tigers (Taiwan, Hong Kong, Singapore and Korea), China and Japan, with research data collected from TEJ database and DataStream in terms of daily basis between Jan, 1, 2006 and August 31st, 2009 to proceed analysis accordingly, using Cross-Section Absolute Deviation model to determine herding behavior change of overall stock market. It is found that : (1) a significant herding behavior in new emerging markets while there is not in developed countries; (2) a herding behavior existed between Korea and Japan (during the entire period and after the financial tsunami only) when the stock market goes up, also an asymmetrical variance in risk and remuneration; (3)under various daily price limit, only Taiwan, China and Korea report significant herding behavior; (4) no significant difference in herding behavior for the remuneration calculation method in different markets across the nations.
| Identifer | oai:union.ndltd.org:TW/098LTC00457006 |
| Date | January 2010 |
| Creators | Ju-Feng Wei, 魏如鋒 |
| Contributors | Yih-Wenn Laih, 賴藝文 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 36 |
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