市場壓力與資訊風險對於從眾行為之影響:台灣期貨市場之實證分析

Project Details

Description

This project studies herding among different groups of traders in the Taiwan Futures Exchange (TAIFEX) , using on the unique tick-by-tick trading data of each account in the TAIFEX. Basing on the approach proposed by Lakonishok, Shleifer and Vishny (1992) and Wermers (1999), we use an adjusted herding index to measure the degree of herding of different investor groups, including foreign institutional traders, domestic institutional traders, and individual traders. We further study determinants of the level of herding and examine how market states, information risk, basis, returns, liquidity, volatility, and the probability of informed trading (PIN) affect the extent of herding.
StatusFinished
Effective start/end date1/08/1530/06/17

Keywords

  • Herding
  • Futures market
  • Probability of informed trading (PIN)

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