A Study on the Herd Behaviour A Case of Vietnamese Stock Market  

Oleh:

Le, Uyen Minh

Jenis: Article from Proceeding
Dalam koleksi: The 14th Asia Pacific Industrial Engineering and Management Systems Conference (APIEMS), 3-6 December 2013 Cebu, Philippines, page 1-12.
Topik: Herd behaviour; cross-sectional standard deviation; cross-sectional absolute deviation; probability approach; Vietnamese Stock Market
Fulltext: 1147.pdf (579.66KB)

Isi artikel

This research examines the presence of herd behavior in Vietnamese Stock Market during 2006 to 2012. Besides using statistics methods suggested by Christie and Huang (1995); and Chang et al. (2000), this work proposes a new probability approach, which is based on market index return and market dispersion, to capture herd behavior. This new method enables me to detect herding in a given trading day. According to results attained from daily data of Ho Chi Minh Stock Exchange Center, a main center of Vietnamese Stock Market, existence of herd is found during the whole period as using the statistics methods. To be more concrete, herding days are detected via the new probability method in this work.

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