The Herding Effect in Japan, South Korea, and Taiwan

• Main Authors: Kai-An Hsueh, 薛凱安
• Other Authors: 邱建良
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/67xd6q

碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === This essay adopt daily stock price of Taiwan, Korea and Japan. Before the research, we make a statistical analysis and unit root test for the data, in case the data exist spurious regression. The result of this research shows that the original data exist unit root, but after first-difference, the data do not exist unit root anymore, so as the return. This essay has been analyzed based of return. According to the literature, for example, Chiang and Zheng (2010) explained that herding behavior exist the characteristic of non-linear, therefore, this essay use CSAD model to observe the herding behavior. This research divides into two parts and analyzes respectively. The first, we use CSAD model to discuss if above mentioned three countries exist herding behavior. Second, we further add in Markov Switching model to observe if these three countries have relatively more contribution of herding behavior under high volatility environment, as the literature of Nofsinger and Sias (1999); and also as the literature of Chiang and Zheng (2010), who consider that there exist characteristic of non-linear and asymmetric.