Herding commonality in the cross-section of stocks

• Main Authors: Chih-Yuan Chang, 張志遠
• Other Authors: Wen-Shen Li
• Format: Others
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/3b3j2s

碩士 === 國立東華大學 === 財務金融學系 === 100 === For this research, we are looking at the Taiwan stock data from 1993 to March 2012. Utilizing the LSV indicators of herding measure, Nratio trading unbalanced and indicators of institutional ownership changes to explore the commonality of the stocks herding and market herding. The results showed that the commonality in the percentage of stock changes in herding and market herding is not obvious. However; after the stock market capitalization grouping, Nratio is significantly different and the degree of co-movement became greater with stocks market value. Furthermore, We analyzed the commonality of the stocks herding measure and market herding measure respectively, we found that the market herding have a positive impact on individual stocks herding. After adding the stock characteristic variables, we found that the commonality of herding measure is still significant, indicating that herding commonality is not affected by the explanatory variables. Lastly, we explored whether institutional investors have a preference for stock characteristics. We found that the stock price, market value and institutional investors holding will affect the herding measure on the stock. Institutional investor’s prefer herding on small stocks rather than large-cap stocks. Because institutional investors are mostly using the same analytical tools, so they become too focused on the same stocks caused by herd behavior.