Home
Add Document
Sign In
Create An Account
An Empirical Investigation of Herding Behavior in CEE Stock ... - Core
Recommend Documents
No documents
An Empirical Investigation of Herding Behavior in CEE Stock ... - Core
Download PDF
9 downloads
0 Views
218KB Size
Report
Comment
Keywords: Herding behavior; SizeYranNed portfolios; Global
financial crisis
; ... and Eastern Europe: Bulgaria, Croatia, Czech Republic, Estonia, Hungary,
Latvia
, ... (
2008
) examine herding behavior in financial marNets where informed and.
Available online at www.sciencedirect.com
ScienceDirect Procedia Economics and Finance 25 (2015) 354 – 361
WK$QQXDO&RQIHUHQFHRQ)LQDQFHDQG$FFRXQWLQJ$&)$3UDJXHWK0D\
$Q(PSLULFDO,QYHVWLJDWLRQRI+HUGLQJ%HKDYLRULQ&((6WRFN 0DUNHWVXQGHUWKH*OREDO)LQDQFLDO&ULVLV )LOLS$QJHOD0DULDD 3HFH$QGUHHD0DULDD3RFKHD0DULD0LUXQDD a
Babeú-Bolyai University of Cluj-Napoca, Finance Department, Teodor Mihali, 58-60, 400591 România
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
© 2015 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license 7KH$XWKRUV3XEOLVKHGE\(OVHYLHU%9 (http://creativecommons.org/licenses/by-nc-nd/4.0/). 3HHUUHYLHZXQGHUUHVSRQVLELOLW\RI8QLYHUVLW\RI(FRQRPLFV3UDJXH)DFXOW\RI)LQDQFHDQG$FFRXQWLQJ Peer-review under responsibility of University of Economics, Prague, Faculty of Finance and Accounting Keywords:+HUGLQJEHKDYLRU6L]HUDQNHGSRUWIROLRV*OREDOILQDQFLDOFULVLV&URVVVHFWLRQDODEVROXWHGHYLDWLRQRIUHWXUQ
,QWURGXFWLRQ +HUGLQJEHKDYLRULVDKRWWRSLFLQWKHILQDQFLDOOLWHUDWXUHHVSHFLDOO\DIWHUDFULVLVRFFXUUHQFH7KLVFRXOGEHGXHWR WKHIDFWWKDWLUUDWLRQDOLWLHVLQLQYHVWPHQWEHKDYLRUKDYHJHQHUDWHGPDQ\VSHFXODWLYHEXEEOHVRYHUWKHKLVWRU\+HUGLQJ EHKDYLRULQVWRFNPDUNHWVLVGHILQHGDVDQLQYHVWRUWHQGHQF\WRLJQRUHKLVMXGJPHQWDQGWRPLPLFWKHGHFLVLRQVRI
&RUUHVSRQGLQJDXWKRU E-mail address:DQJHODILOLS#HFRQXEEFOXMUR
2212-5671 © 2015 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of University of Economics, Prague, Faculty of Finance and Accounting doi:10.1016/S2212-5671(15)00745-5
Filip Angela-Maria et al. / Procedia Economics and Finance 25 (2015) 354 – 361
355
RWKHUSHRSOH7KLVWHQGHQF\KDVLPSRUWDQWFRQVHTXHQFHVIRUILQDQFLDOPDUNHWVEHFDXVHLWGULYHVDVVHWVSULFHVDZD\ IURPWKHLUIXQGDPHQWDOYDOXH7KHSUHVHQFHRIKHUGLQJEHKDYLRUPD\EH PRUHSHUVLVWHQWGXULQJSHULRGVRIPDUNHW VWUHVVGXHWRLQYHVWRUVEHOLHYHWKDWLIWKH\IROORZWKHFURZGWKH\ZLOOREWDLQWKHPDUNHWSHUIRUPDQFH $FFRUGLQJ WR %LNKFKDQGDQL DQG 6KDUPD WKHUH DUH WZR PDLQ IRUPV RI KHUGLQJ EHKDYLRU intentional DQG spurious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³LQIRUPDWLRQDO FDVFDGH´ 5HSXWDWLRQ EDVHG KHUGLQJ RFFXUV ZKHQ DQ XQSURIHVVLRQDO PDQDJHU XQFHUWDLQ DERXW KLV DELOLW\RIFRQVWUXFWLQJDSHUIRUPLQJLQYHVWPHQWSRUWIROLRDQGLQRUGHUWR³NHHSWKHP\VWHU\´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¶KHUGLQJEHKDYLRU LQWHQVWRFNPDUNHWVIURP&HQWUDODQG(DVWHUQ(XURSH%XOJDULD&URDWLD&]HFK5HSXEOLF(VWRQLD+XQJDU\/DWYLD /LWKXDQLD 6ORYHQLD 3RODQG DQG 5RPDQLD ,Q RUGHU WR DFKLHYH WKLV JRDO ZH HPSOR\ WKH cross-sectional absolute standard deviation&6$' SURSRVHGE\&KDQJet al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et al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cross-sectional standard deviation of returns &66' ,I WKH
356
Filip Angela-Maria et al. / Procedia Economics and Finance 25 (2015) 354 – 361
GLVSHUVLRQ RI LQGLYLGXDO VWRFN UHWXUQV LV VPDOO GXULQJ WKH SULFH IOXFWXDWLRQV WKHQ WKHUH LV HYLGHQFH IRU KHUGLQJ EHKDYLRURQWKHPDUNHW&KULVWLHDQG+XDQJWHVWHGWKHLUPRGHORQWKH86HTXLW\PDUNHWDQGWKH\IRXQGQRKHUGLQJ &KDQJ et al. H[WHQGHG WKH SLRQHHULQJ PRGHO RI &KULVWLH DQG +XDQJ DQG SURSRVHG WKH cross-sectional absolute standard deviation DV D PHDVXUH RI UHWXUQ GLVSHUVLRQV ZKLFK SURYHV WR EH PRUH UREXVW 8VLQJ PRQWKO\ UHWXUQVRQ86+RQJ.RQJ-DSDQ6RXWK.RUHDDQG7DLZDQVWRFNV&KDQJet al ILQGQRHYLGHQFHRIKHUGLQJ IRU WKH GHYHORSHG FRXQWULHV LH 86 +RQJ .RQJ DQG -DSDQ 2Q WKH RWKHU VLGH WKH\ LGHQWLILHG WKH SUHVHQFH RI KHUGLQJIRUWKHWZRHPHUJLQJPDUNHWVLQFOXGHGLQWKHVWXG\6RXWK.RUHDDQG7DLZDQ'HPLUHUDQG.XWDQ ILQGQRKHUGLQJEHKDYLRUIRUPDWLRQLQ&KLQHVHVWRFNPDUNHWVERWKIRU6KDQJKDLDQG6KHQ]KHQ6WRFN([FKDQJHV,Q FRQWUDVW WKH HPSLULFDO ILQGLQJV RI 7DQ et al. IRU WKHVH PDUNHWV VKRZ WKH H[LVWHQFH RI KHUGLQJ EHKDYLRU &KLDQJ DQG =KHQJ LQYHVWLJDWHV KHUGLQJ EHKDYLRU IRU FRXQWULHV GLYLGHG LQWR DGYDQFHG VWRFN PDUNHWV $XVWUDOLD)UDQFH*HUPDQ\+RQJ.RQJ-DSDQWKH8QLWHG.LQJGRPWKH8QLWHG6WDWHV /DWLQ$PHULFDQPDUNHWV $UJHQWLQD %UD]LO &KLOH 0H[LFR DQG $VLDQ PDUNHWV &KLQD 6RXWK .RUHD 7DLZDQ ,QGRQHVLD 0DOD\VLD 6LQJDSRUH7KDLODQG 7KHLUUHVXOWVVKRZWKHSUHVHQFHRIKHUGLQJEHKDYLRULQHDFKFRXQWU\H[DPLQHGH[FHSWLQJWKH 86DQG/DWLQ$PHULFD7KHVHILQGLQJVFRQWUDGLFWWKHSUHYLRXVUHVXOWVRI&KDQJet al. DQG'HPLUHUDQG.XWDQ ZKRGLVFRYHUHGWKDWWKHUHLVQRKHUGLQJLQGHYHORSHGPDUNHWVUHVSHFWLYHO\LQ&KLQHVHPDUNHW7KHHYLGHQFH RI&KDQJet al. DUHDOVRFRQWUDGLFWHGE\&KHQ ZKRH[DPLQHVZKHWKHULQYHVWRUVKHUGLQPDUNHWV GHYHORSHGHPHUJLQJDQGIURQWLHU DQGILQGVHYLGHQFHRIKHUGLQJEHKDYLRULQDOPRVWDOOFRXQWULHVLQFOXGLQJ &KLQHVHPDUNHW ,QRUGHUWRGHWHFWKHUGLQJEHKDYLRULQ86DQG6RXWK.RUHDQVWRFNPDUNHWV+ZDQJDQG6DOPRQ GHYHORSHG WKHstate space model ZKLFKLVEDVHGRQWKHFURVVVHFWLRQDOGLVSHUVLRQVRIWKHIDFWRUVHQVLWLYLW\RIVWRFNVZLWKLQD JLYHQPDUNHW7KH\IRXQGHYLGHQFHRIKHUGLQJEHKDYLRUWRZDUGVWKHPDUNHWLQERWKXSDQGGRZQPDUNHWV'HVSLWH WKHJHQHUDOFRQVHQVXVWKH$VLDQDQG5XVVLDQ&ULVLVGLPLQLVKHGKHUGLQJDQGWKHVHFULVLVDUHREYLRXVO\WXUQLQJSRLQWV LQKHUGLQJEHKDYLRU 5HJDUGLQJ WKH (XURSHDQ PDUNHWV WKH VWXGLHV RQ KHUGLQJ EHKDYLRU DUH PRUH VSRUDGLF +RZHYHU LW ZRUWK PHQWLRQLQJ WKH ZRUN RI 2XDUGD et al. ZKR H[DPLQHG WKH KHUGLQJ EHKDYLRU DW WKH OHYHO RI WHQ VHFWRUV FRPSRVLQJ WKH 6WR[[ LQGH[ 7KHLU HPSLULFDO ILQGLQJV VKRZ WKH SUHVHQFH RI KHUGLQJ LQ DOO WKH LQYHVWLJDWHG VHFWRUVH[FHSWLQJWKHFRQVXPHUJRRGV $VFDQEHVHHQPRVWRIVWXGLHVFRQFHUQLQJKHUGLQJEHKDYLRULQVWRFNPDUNHWVZHUHIRFXVHGRQ86DQG$VLD,W EHFRPHVREYLRXVWKHQHHGIRUVXFKDVWXG\LQ&HQWUDODQG(DVWHUQ(XURSHDQPDUNHWVJLYHQWKDWLQHPHUJLQJDQG IURQWLHUPDUNHWVWKHUHLVDVORZDVVLPLODWLRQRILQIRUPDWLRQLQWRSULFHDQGWKHUHIRUHWKHLQYHVWRUV¶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
CSADt
n ¦ Rit Rmt n i
ZKHUHQUHSUHVHQWVWKHQXPEHURIREVHUYDWLRQVWKHUHWXUQRIDVVHWLDWWLPHWDQGLVWKHUHWXUQRIWKHPDUNHWDW WLPHW'XULQJSHULRGVRIPDUNHWVWUHVVWKHUHODWLRQVKLSEHWZHHQUHWXUQGLVSHUVLRQVRILQGLYLGXDOVWRFNVDQGPDUNHW UHWXUQLVH[SHFWHGWREHQRQOLQHDU2XDUGDet al. XVHDPRGLILHGVSHFLILFDWLRQRI&KDQJet al. LQRUGHU WRDVVHVVKHUGLQJ
CSADt
E E Rm t E Rm t E Rm t H t
Filip Angela-Maria et al. / Procedia Economics and Finance 25 (2015) 354 – 361
&KDQJ HW DO FRQVLGHU WKDW GXULQJ SHULRGV RI UHODWLYHO\ ODUJH PDUNHW SULFH PRYHPHQWV WKH UHODWLRQVKLS EHWZHHQUHWXUQGLVSHUVLRQVRILQGLYLGXDOVWRFNVDQGPDUNHWUHWXUQLVH[SHFWHGWREHQRQOLQHDU,QRUGHUWRUHGXFHWKH HIIHFWRIPXOWLFROOLQHDULW\ZHIROORZ
×
Report "An Empirical Investigation of Herding Behavior in CEE Stock ... - Core"
Your name
Email
Reason
-Select Reason-
Pornographic
Defamatory
Illegal/Unlawful
Spam
Other Terms Of Service Violation
File a copyright complaint
Description
×
Sign In
Email
Password
Remember me
Forgot password?
Sign In
Our partners will collect data and use cookies for ad personalization and measurement.
Learn how we and our ad partner Google, collect and use data
.
Agree & close