Research in the herding behavior of Taiwan’s stock market.

• Main Authors: Yi-Huei Chu, 朱憶惠
• Other Authors: Jing-Tong Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/55381089415772230359

碩士 === 銘傳大學 === 財務金融學系碩士班 === 98 === In the late 1960s and early 1970s, Eugene Fama''s efficient market hypothesis asserts the price of securities can be sufficiently and immediately responded by all available information. Therefore, investors cannot defeat the market continuously to obtain excess profits. In the actual trading market, prices not always reflect all the information efficiently and the information which investors held could be behind the time. And when new information is launched, prices cannot respond right away (There is a change extent under the trading market in Taiwan.) Under this kind of trading environment, the insider can obtain excess profits because of the high-exposure to the private information. Due to the different information held by institutional investors and individual investors, there are differences between their behaviors of investment. However, owing to the restriction on information gathering and research method, it is unable to compare the differences in behavior of herding between institutional investors and individual investors. In stock trading market nowadays, since the individual investors’ trading volume accounts for 70% of the whole market, in this study, we compare the herding behavior between institutional investors and investors of whole market. In this study, we analyze the trading information of 1,308 companies in the trading market from Jan. 2005 to Dec. 2009 and discuss if Foreign Investment Institution, Domestic Institution, and Dealer have herding behavior. This study focuses on the fluctuation interval of stock price and discusses the herding behavior between the investors of whole stock market and institutional investors. We then study the interactive relationship between the institutional investors’ herding behavior and the return of TAIEX as well as that among Foreign Investment Institution, Domestic Institution, and Dealer. The study result shows the herding behavior of whole market is obvious when the market under both acute decline and rise. This study defines the fluctuation according to the sequence of change extent. We found when TAIEX is under severe fluctuation, the herding behavior of the investors of whole market is more obvious than that of institutional investors. Also, when the market is under the decline tendency, the investors’ herding behavior is more obvious that it is under the rise tendency.