The Effects of Stock Characteristics on the Direction and Extent of Herding by Foreign Institutional Investors in the Taiwan Stock Exchange

被引：6
|
作者：
Fang, Hao [1 ]
Lu, Yang-Cheng [2 ]
Yau, Hwey-Yun [3 ]
机构：
[1] Hwa Hsia Inst Technol, Assets & Property Management Dept, Taipei, Taiwan
[2] Ming Chuan Univ, Dept Finance, Taipei, Taiwan
[3] Natl Taipei Coll Business, Accounting & Informat Dept, Taipei, Taiwan
来源：
EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷
关键词：
FII; herding; informational cascades; momentum trading; PSTR; stock characteristics; PORTFOLIO PERFORMANCE; PANEL-DATA; FUND; MARKETS; IMPACT; BEHAVIOR; MODEL;
D O I：
10.2753/REE1540-496X5002S204
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use a dynamic herding measure to explore the causes of foreign institutional investor (FII) herding in the Taiwan stock market and examine the effects of stock characteristics on the direction and extent of such herding. We find that FII herding primarily results from cascades rather than habit investing or momentum trading. The result of a panel smooth transition regression shows that FIIs' negative cascades focus on their largest net purchases of stocks, but FIIs' positive cascades focus on winner and small-sized stocks. To increase portfolio returns, investors can use FIIs' cascades to inform their stock purchases.
引用
收藏
页码：60 / 74
页数：15
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