Will Ambiguity Affect herding Behavior During Market Stress?

• Main Authors: HO, MENG-TA, 何孟達
• Other Authors: LIN, MEI-CHEN
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/11728528997853582808

碩士 === 國立臺北大學 === 企業管理學系 === 104 === The main purpose of this study is to investigate whether market ambiguity has impact on the herding behavior in Taiwan listed stock market. We adopt the change in volatility index (VIX) as a proxy for market ambiguity to conduct the analysis using three methods proposed by Chang, Cheng, & Khorana (2000) and Yao, Ma, & He (2014). Furthermore, we use the method proposed byFu (2010) to investigate whether ambiguity affects investors’ reaction in Taiwan stock market. Our study reveals that investors have herding behavior during extreme markets in Taiwan stock market. However, the herding behavior decreases with the volatility index.