Cross-Country Effects for International Gold Market’s Herding Behavior

• Main Authors: Shao-Ting Chen, 陳紹庭
• Other Authors: Chia-Lin Chang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/17654328086908234724

碩士 === 國立中興大學 === 應用經濟學系所 === 104 === Abstract 　　Under the tide of globalization, the market is bound with factors of uncertainties. When facing the different kind of pressure, the inventors will somewhat ignore their original self-judgment and follow others to make their decisions, which turns out to be herding behavior. The international gold market plays an important role, which is always viewed as the substitute of security market. The main objects of the research include the most representative gold market in Europe, America and Asia respectively and daily data used from 3 January 2007 to 31 July 2015.The aim of the paper is to find out whether there are existing herding behaviors among these countries. 　　The paper uses cross-sectional absolute deviation model and granger causality model to test whether others exist herding behavior when choosing one country to be the objective country. And the paper further divides cross-sectional absolute deviation model into return up model and return down model in order to test whether exist different herding behavior at specific satiation. The result shows that when the only United Kingdom to be the objective country, America、Hong Kong ,and Japan herd the United Kingdom at return down model. The others are not herding phenomenon. The result also shows that the United Kingdom and America have significant effect to the others at granger causality model and form a circular-priced relationship. 　　The paper picks up the four most representative country across Europe、America , and Asia. The past literatures rarely show herding behavior at the gold market point and usually at the stock market or investors point. Thus, the paper provides different researc-h views. If it can be used more country data to compare with each other in the future, it will increase the integrity of herding behavior study.