Investors' herd behavior: Rational or irrational?

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


研究成果: 雜誌貢獻回顧評介論文同行評審

22 引文 斯高帕斯(Scopus)


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.

頁(從 - 到)755-776
期刊Asia-Pacific Journal of Financial Studies
出版狀態已發佈 - 2013 10月

ASJC Scopus subject areas

  • 金融


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