| Summary: | 碩士 === 國立高雄大學 === 國際高階經營管理碩士在職專班(IEMBA) === 97 === The aim of this study is to apply intraday data to examine the herding tendency of investor’s behavior and investor sentiments. This study differs from previous literature in at least three important aspects. First, this study uses intraday data to do empirical investigation. Second, this study investigates the impacts of great events on the investor’s behavior and the investor sentiments. Finally, we explore the lead-lag relationship among investor’s behavior, investor sentiments, and stock price performance. Our empirical results reveal that investor sentiment leads investor behavior, and both of them have herding tendency for the GARCH(1,1) model with great event dummy variables. Moreover, the conditional volatility of investor sentiments after great events happened is significantly different from that before great events happened.
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