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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92920

    Title: The price impact of foreign institutional herding on large-size stocks in the Taiwan stock market
    Authors: Lu, Yang-Cheng;Fang, Hao;Nieh, Chien-Chung
    Contributors: 淡江大學財務金融學系
    Keywords: Institutional herding;The price-impact of herding Firm size;Panel threshold;Taiwan stock market
    Date: 2012-08
    Issue Date: 2013-10-24 01:41:19 (UTC+8)
    Publisher: New York: Springer New York LLC
    Abstract: 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.
    Relation: Review of Quantitative Finance and Accounting 39(2), pp.189-208
    DOI: 10.1007/s11156-011-0244-1
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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