Do qualified foreign institutional investors herd in Taiwan's securities market?

被引：36

作者：

Chen, Yu-Fen ^{[1
]}

Wang, Chih-Yung ^{[2
]}

Lin, Fu-Lai ^{[3
]}

机构：

[1] Da Yeh Univ, Dept Business Adm, Changhua, Taiwan

[2] Ming Chuan Univ, Dept Business Management, Taipei, Taiwan

[3] Da Yeh Univ, Dept Finance, Changhua, Taiwan

来源：

EMERGING MARKETS FINANCE AND TRADE | 2008年 / 44卷 / 04期

关键词：

firm size; herding; momentum trading; qualified foreign institutional investors (QFIIs);

D O I：

10.2753/REE1540-496X440405

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates whether and why qualified foreign institutional investors (QFIIs) in Taiwan herd when picking stocks. The evidence shows that QFIIs herd in Taiwan's securities market: They follow each other into and out of the same securities. We identify how the herding behavior forms and how it changes over time. The results suggest that there is an industry effect when QFIIs pick up stocks. They herd on securities classified in specific industries and also prefer stocks with high past returns as well as large firm size, supporting the argument that QFIIs are momentum traders. Characteristic herding and investigative herding explain QFIIs' trading behavior in Taiwan.

引用

页码：62 / 74

页数：13

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