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.
|Effective start/end date||1/08/15 → 30/06/17|
- Futures market
- Probability of informed trading (PIN)
Explore the research topics touched on by this project. These labels are generated based on the underlying awards/grants. Together they form a unique fingerprint.