The Analysis Of Herding Behavior With And Without Options Issuance

• Main Authors: LEE, DONALD-ZHI-HAO, 李思澔
• Other Authors: LIN,JUN-BIAO
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/ndfv4v

碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 106 === The purpose of this study is to explore TWSE listed companies with and without options issuance whether they have herding behavior or not by utilizing the model of cross-sectional standard deviation of returns(CSSD) and cross-sectional absolute deviation of returns (CSAD). The research sample is categorized into the size of the market value, the size of the volume, and the impact on the herding behavior during the bear or bull market and up or down market. The empirical results show that all the markets have no herding behavior by employing the cross-sectional standard deviation of return (CSSD) model of extreme fluctuations of 5% and 10%. Moreover, the research sample can be found that the companies withoutoptions issuance, and which are small market value, low trading volume, and being in the bear market and down market period have herding behavior by the analysis of cross-sectional absolute deviation of return (CSAD).