Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑会荣教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0378-4266(99)00096-5 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/126WOS source URL
其它资讯
摘要We examine the investment behavior of market participants within different international markets (i.e,, US, Hong Kong, Japan, South Korea, and Taiwan), specifically with regard to their tendency to exhibit herd behavior. We find no evidence of herding on the part of market participants in the US and Hong Kong and partial evidence of herding in Japan. However, for South Korea and Taiwan, the two emerging markets in our sample, we document significant evidence of herding. The results are robust across various size-based portfolios and over time. Furthermore, macroeconomic information rather than firm-specific information tends to have a more significant impact on investor behavior in markets which exhibit herding. In all five markets, the rate of increase in security return dispersion as a function of the aggregate market return is higher in up market, relative to down market days. This is consistent with the directional asymmetry documented by McQueen et al. (1996) (McQueen, G,, Pinegar, M.A., Thorley, S., 1996. Journal of Finance 51, 889-919). (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: G15.
着者Chang EC, Cheng JW, Khorana A
期刊名称Journal of Banking and Finance
出版年份2000
月份10
日期1
卷号24
期次10
出版社ELSEVIER SCIENCE BV
页次1651 - 1679
国际标準期刊号0378-4266
电子国际标準期刊号1872-6372
语言英式英语
关键词equity return dispersion; herd behavior; international capital markets; international finance
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
