Portfolio Performance in Relation to Herding Behavior in the Taiwan Stock Market

Chiao-Yi Chang, Hsiang-Lan Chen and Zong-Ru Jiang

Emerging Markets Finance and Trade, 2012, vol. 48, issue 0, 82-104

Abstract: Herding behavior, which is investing in crowded stocks during a specific period, will push the target stocks' return down or up. Using both institutional and individual investors' intraday trading data to calculate the measure of daily herding, we find that a zero-cost investing strategy of buying long and high and selling short and high is profitable. The profits gained strategically through herding by individual investors are greater than those earned by institutional investors. This means institutional investors reflect the information quickly and, although they do behave as a herd, it is harder to exploit the herding of institutional investors to make strategically gained profits.

Keywords: herding; individual investor; institutional investor (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://mesharpe.metapress.com/link.asp?target=contribution&id=T557566427T64456 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:48:y:2012:i:0:p:82-104

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().