Journal of

Marketing Development and Competitiveness

Scholar Gateway

Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

Zhang-Rauch (p. 64-70)

Alam-Yasin (p. 71-78)

Mattare-Monahan-Shah (p. 79-94)

Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF APPLIED BUSINESS AND ECONOMICS

Herding and Returns in Taiwan’s Stock Market

Author(s): Shinn-Juh Lin

Citation: Shinn-Juh Lin, (2017) "Herding and Returns in Taiwan’s Stock Market," Journal of Applied Business and Economics, Vol. 19, Iss.12, pp. 24-39

Article Type: Research paper

Publisher: North American Business Press

Abstract:

In this paper, we systematically examine the market herding behavior in Taiwan with monthly

observations of all common stocks from January 1991 to August 2016. Several interesting empirical

results emerge. First, Taiwan’s stock market herding is time-varying and negatively correlated with the

market sentiment. Secondly, irrespective of the factor model used in estimation, the degree of herding is

higher in the pre-2000 and the post-2008 periods. Thirdly, our quantile regression results indicate that

during market downturns, a higher degree of market herding can aggravate the panic of the market,

which causes the market return to drop even further.