期刊論文
| 學年 | 101 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2012-08-01 |
| 作品名稱 | The price impact of foreign institutional herding on large-size stocks in the Taiwan stock market |
| 作品名稱（其他語言） | |
| 著者 | Lu, Yang-Cheng; Fang, Hao; Nieh, Chien-Chung |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | New York: Springer New York LLC |
| 著錄名稱、卷期、頁數 | Review of Quantitative Finance and Accounting 39(2), pp.189-208 |
| 摘要 | This study constructs a panel threshold regression model to explore the price impact of foreign institutional herding of firms listed in the Taiwan Stock Exchange during January 2000 to June 2008. Our panel threshold model is constructed to explore the price impact of foreign institutional investors’ herding in the Taiwan stock market after controlling the firm size. By examining the presence of threshold effect, this study analyzes whether firm size would obviously and asymmetrically affect the explanation for the effect of changes in foreign investors’ share ownership on abnormal returns. The empirical results of this study find the significant evidence of threshold effect which divides the stocks into large-size and small-size firms. It is found that foreign institutional investors in the Taiwan stock market tend to hold large-size stocks listed in the Taiwan Stock Exchange. There is an apparent increase in the subsequent abnormal returns on large-size stocks bought in bulk by foreign investors. The signals of changes in share ownership initiated by foreign institutional investors would reveal further information for improving the performance of asset reallocation decisions in Taiwan. The panel threshold model constructed in this paper well describes the price impact of institutional herding yet eschews the possibly subjective data snooping issue resulting from the two-pass sorting method as proposed by previous related researches. |
| 關鍵字 | Institutional herding; The price-impact of herding Firm size; Panel threshold; Taiwan stock market |
| 語言 | en_US |
| ISSN | 0924-865X 1573-7179 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92920 ) |