| Summary: | 碩士 === 國立高雄第一科技大學 === 金融系碩士班理財組 === 104 === This paper aims to explore the herding behavior of investors in the US after a financial tsunami. We adopted Standard and Poor''s (S&P) financial index as the research object and the CSAD method proposed by Chang et al. to test investors'' herding behavior. The results indicate that there has been no herding behavior taking place in the US stock market. Because the method of minimum squares can only result in one mean number, the method is unable to provide more-in-depth results, such as variances under different quartiles. Therefore, this study goes one step further to add the number of quantile regressions into outcomes arising from an analysis of the statistical dispersion of returns demonstrated in S&P. The goal is to examine the various types of investor behavior to understand the different dispersion situations observed in S&P. The empirical result shows no herding behavior has ever been observed under different quantile. This is able to suggest that by using the methods of minimum squares and quantile regression, no herding behavior has ever been observed in the US stock market. This is because the US stock market is a mature market and the monitoring and supervising systems are strictly observed in the US stock market. In addition, the information disclosure level is quite high. Therefore, it is difficult to produce investor herding behavior in the US stock market.
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