Stock Return, Volatility, Volume Change and Herding Behavior in the Pre- and Post-Crash Periods

• Main Authors: Yen-lin Huang, 黃雁琳
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/55330374901301048421

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === The purpose of this study is from the herd of behavioral finance to explore traditional efficient market hypothesis that cannot explain the unusual market price volatility. The study period was divided into the bubble and bust period to discuss herd behavior, the relationship between stock returns, volatility and volume change of the stock market in Taiwan. The empirical results show that in bubble period there is a one-way causal relationship between the Taiwan stock market volatility and herding; in burst period there is a one-way causal relationship between the Taiwan weighted stock index returns, herding and volatility. The herding showed a two-way feedback with the volatility and volume change. There are higher explanatories of herding variancce from stock returns and volume change. It means there is short-term interaction higher between each other.