Institutional Shareholding, Analyst Forecast and Institutional Herding Behavior
碩士 === 國立雲林科技大學 === 財務金融系 === 103 === In this paper, we make use of monthly data of firms listed from the Taiwan Stock Exchange (TSE). The sample period is from January 2000 to December 2014. Using herding measure proposed by Sias (2004) it tested the cross-sectional correlation between institution...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/04336396333025685607 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 103 === In this paper, we make use of monthly data of firms listed from the Taiwan Stock Exchange (TSE). The sample period is from January 2000 to December 2014. Using herding measure proposed by Sias (2004) it tested the cross-sectional correlation between institutional investors' trades in one period and other institutional investors' trades in the next period to directly examine whether institutional investors follow each other's trades. We employ Two-Stage Least Squares regression analysis to investigate herding of Institutional investors whether to be influenced by the holding share of institutional investors and the analysts' forecasts revision. The empirical results show that the influence of institutional investors increase holdings and the analysts' forecasts revision up are significant positive on buyer herd. Institutional investors will follow other institutional investors to buy. Seller herd is the opposite. Finally, the institutional investors herding are classified into foreign investment, investment trust and dealers herding. The empirical results are consistent with institutional investors
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