Investors' herd behavior: Rational or irrational?

William T. Lin, Shih Chuan Tsai, Pei Yau Lung

研究成果: 雜誌貢獻综述文章同行評審

7 引文 斯高帕斯(Scopus)

摘要

This study examines the relationships between the herding of various investor groups and trading noise in the Taiwan stock market to determine whether any of the investor groups tend to herd rationally. The study uses a unique and comprehensive data set on intraday transactions and limit order books of the Taiwan Stock Exchange (TWSE). We calculate the high-frequency herding measures and trading noise in a call auction market. We find that institutional investors are likely to be informed traders and herd rationally based on superior information. Institutional investors' herding has a negative impact on trading noise. Their buy (sell) herding predicts positive (negative) future market returns. By contrast, the herding of individual investors tends to contain limited information, as it increases trading noise; the buy (sell) herding of individuals is negatively correlated with future market returns. These findings are more significant for stocks with higher turnover.

原文英語
頁(從 - 到)755-776
頁數22
期刊Asia-Pacific Journal of Financial Studies
42
發行號5
DOIs
出版狀態已發佈 - 2013 一月 1

ASJC Scopus subject areas

  • Finance

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