Herding Behavior in Taiwan Futures Market

• Main Authors: Gau, Anbang, 高安邦
• Other Authors: Gau, Yinfeng
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/93519295835192571055

碩士 === 國立暨南國際大學 === 國際企業學系 === 99 === This thesis aims to investigate herding behavior by type of traders in the Taiwan Futures Exchange (TAIFEX). By applying the method proposed by Lakonishok, Shleifer and Vishny (1992) (the LSV model) and Wermers (1999), we measure the degree of herding among foreign institutional traders, domestic institutional traders, futures proprietary firms and individual traders, based on the unique trading data of each account. We find that there is a significantly negative correlation between the basis and the degree of herding in institutional traders. However, the degree of herding in individual traders is positively related to the basis. This study also reveals that the degree of herding increases with probability of informed trading (PIN) in the TAIFEX.