Herd behavior and idiosyncratic volatility

被引：41

作者：

Huang, Teng-Ching ^{[1
]}

Lin, Bing-Huei ^{[1
]}

Yang, Tung-Hsiao ^{[1
]}

机构：

[1] Natl Chung Hsing Univ, Taichung 402, Taiwan

来源：

JOURNAL OF BUSINESS RESEARCH | 2015年 / 68卷 / 04期

关键词：

Herding; Idiosyncratic volatility; Equity return dispersion; Financial crisis; ASYMMETRIC VOLATILITY; IMPLIED VOLATILITY; EXPECTED RETURNS; EQUITY MARKETS; CROSS-SECTION; STOCK RETURNS; GOOD-NEWS; CRISIS; RISK; AUTOCORRELATION;

D O I：

10.1016/j.jbusres.2014.11.025

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：763 / 770

页数：8

共 38 条

[1] The cross-section of volatility and expected returns [J].