| Summary: | 碩士 === 國立彰化師範大學 === 企業管理學系國際企業經營管理 === 101 === The main focus of this research is utilizing the M-value that was proposed by Grinblatt et al. (1995) to examine the herding behavior of foreign institutional investors, mutual funds and domestic security dealers in Taiwan’s stock market. This research also tries to find out the factors that influence the herding behavior. Longitudinal data on 136 Taiwanese firms during a five-year period (2008-2012) was collected, totally 103 trading days are chosen for analysis. The findings indicate that foreign institutional investors and mutual funds significantly exhibit herding behavior, but the domestic security dealers prefer contrarian strategy rather than herding behavior. Our finding also indicated that equity size, turnover rate and EP ration are three key determinants that influence institutional investors’ herding behavior. Finally, managerial implications and future research directions are discussed.
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