Examination of Herd Behavior in Stock Markets:Emerging Markets V.S. Developed Countries

Autor:	Hong-Ru Jiang, 江宏儒
Rok vydání:	2002
Druh dokumentu:	學位論文 ; thesis
Popis:	90 This study examines investors’ herd behavior within different international stock markets, especially compares investors’ behavior in developed markets with emerging markets. We use CSSD and CSAD to measure the deviation of stock returns and then examine the relations between the deviation degree and equal-weighted market returns. Christie and Huang applied CSSD in 1995 and CSAD was demonstrated by Chang et al. (2000). The herd behavior exists if the deviation of stock return and equal-weighted market return have negative nonlinear relation. We find the evidence of herd behavior exists in emerging markets, but no herd behavior in developed markets. We also find that A share is more significant than B share in China stock markets.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/70117559411913009669 Zobrazit plný text záznamu