The Impact of Price Limit on the Herding Behaviors of Investors
| Autor: | Jhen-Yi Jian, 簡禎儀 |
|---|---|
| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 This study uses the data from the Taiwan Stock Exchange (TWSE) from October 20, 2014 to December 31, 2015 to examine the impact of price limit on herding. The cross-sectional absolute deviation（CSAD） is used to measure herding behavior. This study further investigates the effect of the expansion of price limits on fundamental and non-fundamental herding. In addition, we examine herding spillover effect between stock and future market, and explore whether herding spillover effect varies following the expansion of price limit. The empirical results show that herding behavior exists in Taiwan stock market; herding effect of electronic industry is higher than that of non-electronic industry and herding is greater when market is down. Overall, the wider price limit decreases the herding effect; herding behavior disappears after the expansion of price limit when market is up, but does not affect herding behavior when market is down. This study finds that herding in Taiwan stock market is fundamental herding, and such fundamental herding significantly decreases after the adoption of new price limit regime. The analysis of the spillover effect shows the herding spillover effect from future market to stock market exists, vice versa; however, the new price limit policy leads to the spillover effect to disappear. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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