Financial crisis and herding behavior across Countries
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 97 === This paper mainly examines under what conditions herding behavior is likely to become more significant and obvious, in which I modify Hwang and Salmon (2004)’s methodology and use the returns data of Taiwan Weighted Index, Taiwan 50 stock Index, S&P 500 st...
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ndltd-TW-097NCCU53210552015-11-20T04:18:48Z http://ndltd.ncl.edu.tw/handle/37759097459342232098 Financial crisis and herding behavior across Countries 金融危機與跨國從眾行為 吳立渝 碩士 國立政治大學 國際經營與貿易研究所 97 This paper mainly examines under what conditions herding behavior is likely to become more significant and obvious, in which I modify Hwang and Salmon (2004)’s methodology and use the returns data of Taiwan Weighted Index, Taiwan 50 stock Index, S&P 500 stock and Dow Jones Industry Index of the sample period of October 1, 2003 to February 28, 2009 to test if there is any multinational herding behavior. I find that Taiwan investors in this sample period follow (even imitate) the investment actions of American investors. In more details about the herding patterns, we have found three main phenomena. First, herding behavior mainly occurs significantly during relatively quiet period, say, before the financial crisis, rather than when the market is under stress. The economic situations in 2007 and 2008 are much worse than in 2003, 2004, and 2005, but numbers of months exhibiting significant herding in these bad situations are less. Second, the longest lasting time of herding is March 2005 to January 2006, which totally lasts for eleven months, and this period is before 2007 and 2008 in which the financial systems are destroyed badly. Third, herding always happens in January, November and December given the sample period. 胡聯國 2009 學位論文 ; thesis 49 en_US |
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碩士 === 國立政治大學 === 國際經營與貿易研究所 === 97 === This paper mainly examines under what conditions herding behavior is likely to become more significant and obvious, in which I modify Hwang and Salmon (2004)’s methodology and use the returns data of Taiwan Weighted Index, Taiwan 50 stock Index, S&P 500 stock and Dow Jones Industry Index of the sample period of October 1, 2003 to February 28, 2009 to test if there is any multinational herding behavior. I find that Taiwan investors in this sample period follow (even imitate) the investment actions of American investors. In more details about the herding patterns, we have found three main phenomena. First, herding behavior mainly occurs significantly during relatively quiet period, say, before the financial crisis, rather than when the market is under stress. The economic situations in 2007 and 2008 are much worse than in 2003, 2004, and 2005, but numbers of months exhibiting significant herding in these bad situations are less. Second, the longest lasting time of herding is March 2005 to January 2006, which totally lasts for eleven months, and this period is before 2007 and 2008 in which the financial systems are destroyed badly. Third, herding always happens in January, November and December given the sample period.
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胡聯國 |
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胡聯國 吳立渝 |
author |
吳立渝 |
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吳立渝 Financial crisis and herding behavior across Countries |
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吳立渝 |
title |
Financial crisis and herding behavior across Countries |
title_short |
Financial crisis and herding behavior across Countries |
title_full |
Financial crisis and herding behavior across Countries |
title_fullStr |
Financial crisis and herding behavior across Countries |
title_full_unstemmed |
Financial crisis and herding behavior across Countries |
title_sort |
financial crisis and herding behavior across countries |
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2009 |
url |
http://ndltd.ncl.edu.tw/handle/37759097459342232098 |
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AT wúlìyú financialcrisisandherdingbehavioracrosscountries AT wúlìyú jīnróngwēijīyǔkuàguócóngzhòngxíngwèi |
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