The Effects of Stock Characteristics on the Direction and Extent of Herding by Foreign Institutional Investors in the Taiwan Stock Exchange

Autor:	Hwey-Yun Yau, Hao Fang, Yang-Cheng Lu
Rok vydání:	2014
Předmět:	Financial economics Stock exchange Institutional investor Portfolio Stock market Business Herding General Economics Econometrics and Finance Finance Stock (geology)
Zdroj:	Emerging Markets Finance and Trade. 50:60-74
ISSN:	1558-0938 1540-496X
Popis:	We use a dynamic herding measure to explore the causes of foreign institutional investor (FII) herding in the Taiwan stock market and examine the effects of stock characteristics on the direction and extent of such herding. We find that FII herding primarily results from cascades rather than habit investing or momentum trading. The result of a panel smooth transition regression shows that FIIs' negative cascades focus on their largest net purchases of stocks, but FIIs' positive cascades focus on winner and small-sized stocks. To increase portfolio returns, investors can use FIIs' cascades to inform their stock purchases.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e599d760dee3d4ce35332d77f5c92607 https://doi.org/10.2753/ree1540-496x5002s204 Zobrazit plný text záznamu Plný text ve formátu PDF