Herd Behavior in Japanese Equity Market
碩士 === 元智大學 === 財務金融研究所 === 93 === This study examines the investor herd behavior in Japanese stock market. The measures of cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation relative to average market price return (CSAD) indicate evidence of herd behavior when the mar...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/09717486882809608569 |
| Summary: | 碩士 === 元智大學 === 財務金融研究所 === 93 === This study examines the investor herd behavior in Japanese stock market. The measures of cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation relative to average market price return (CSAD) indicate evidence of herd behavior when the market experienced large price movements during the period of 1975 and 2003, irregardless of whether daily, weekly or monthly equity returns being applied. In particular, the Japanese investor herd behavior is more pronounced in the down market than it is in the up market. Return dispersion shocks are also found to persist with daily or weekly data.
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