Do Qualified Foreign Institutional Investors Herd in Taiwan's Securities Market?
AbstractThis paper investigates whether and why qualified foreign institutional investors (QFIIs) in Taiwan herd when picking stocks. The evidence shows that QFIIs herd in Taiwan's securities market: They follow each other into and out of the same securities. We identify how the herding behavior forms and how it changes over time. The results suggest that there is an industry effect when QFIIs pick up stocks. They herd on securities classified in specific industries and also prefer stocks with high past returns as well as large firm size, supporting the argument that QFIIs are momentum traders. Characteristic herding and investigative herding explain QFIIs' trading behavior in Taiwan.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Emerging Markets Finance and Trade.
Volume (Year): 44 (2008)
Issue (Month): 4 (July)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=111024
firm size; herding; momentum trading; qualified foreign institutional investors (QFIIs);
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- Demirer, Riza & Kutan, Ali M. & Chen, Chun-Da, 2010. "Do investors herd in emerging stock markets?: Evidence from the Taiwanese market," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 283-295, November.
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