کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1017073 940290 2015 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Herd behavior and idiosyncratic volatility
ترجمه فارسی عنوان
رفتار جمعیتی و نوسانات ویژه
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی

This study investigates the impact of idiosyncratic volatility on investment behavior of market participants in Taiwan equity market. Empirical results show that herd behavior exists in this equity market, and herding shows distinct patterns under various portfolios according to idiosyncratic volatility. Consistent with intuition, financial crisis in 2007–2008 enhances herding, especially portfolios with larger idiosyncratic volatility. An asymmetric response to news is not characteristic over periods of market stress across stock portfolios with different levels of idiosyncratic volatility. Results on financial industry and banking sector provide an interesting contrast to other industries. Finally, results show that various herd behaviors reflect the nature of that particular industry.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Business Research - Volume 68, Issue 4, April 2015, Pages 763–770
نویسندگان
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