Momentum profitability and directional herding: Evidence from emerging and frontier markets
| Autor: | Minh-Giang Hoang, 黃明江 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 This study examines relations between momentum profitability and directional herding. We consider Vietnam and Taiwan as the frontier and emerging markets respectively. Dividing into three directional herding groups based on sorting price movements for individual stocks relative to their corresponding markets, our findings indicate that directional herding behaviors can have significantly larger positive momentum profits for extreme high (low) directional herding groups than medium group for short horizon (over 6 months) in both markets. It is interesting that there are similar U-shape patterns across different three directional groups in both markets but the largest profits for low (high) directional herding groups in Vietnam (Taiwan). Then, to test the existence of directional herding anomaly, following Lee and Swaminathan (2000), we further use the sorting criteria to reconstruct directional herding momentum strategies of buying winners with larger (smaller) than the market for extreme high (low) directional herding group and selling losers with smaller (larger) than the market for extreme low (high) directional herding group. Directional herding anomalies in above two cases in both markets are obtained. Finally, similar results for directional herding are found to be significantly larger positive momentum profits when considering global (non-) financial crisis periods. Therefore, our findings would shed more valuable insights on directional herding and momentum profitability. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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