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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)
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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.