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Herd behaviour in Malaysian capital market: An empirical analysis

Jarita Duasa () and Salina Kassim ()

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United States, United Kingdom, Singapore and Hong Kong using quarterly data covering the period of Q1:1991 to Q3:2007. Additionally, we adopt an innovation accounting by simulating variance decompositions (VDC) and impulse response functions (IRF) for further inferences. The findings support the belief that there is a strong herd instinct prevailing among foreign investors in the Malaysian capital market.

Keywords: Foreign portfolio investment; herd behavior; VECM; Impulse Response Function; Variance Decomposition (search for similar items in EconPapers)
JEL-codes: C12 C32 G15 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-sea
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Related works:
Journal Article: HERD BEHAVIOR IN MALAYSIAN CAPITAL MARKET: AN EMPIRICAL ANALYSIS (2009) Downloads
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