EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET
Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015. We find that herding behavior is present in both Ho Chi Minh and Hanoi Stock Exchange...
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| Format: | Article |
| Language: | English |
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Dalat University
2017-03-01
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| Series: | Tạp chí Khoa học Đại học Đà Lạt |
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| Online Access: | http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/152 |
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| _version_ | 1832570254454161408 |
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| author | Đoàn Anh Tuấn Hoàng Mai Phương |
| author_facet | Đoàn Anh Tuấn Hoàng Mai Phương |
| author_sort | Đoàn Anh Tuấn |
| collection | DOAJ |
| description | Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015. We find that herding behavior is present in both Ho Chi Minh and Hanoi Stock Exchanges. Importantly, the results show an asymmetry in level of herding behavior in which the herding effect appears to be stronger during falling markets than during rising markets. The study also highlights important policy implications that can help to reduce investors’ complicated nonlinear reactions in the Vietnamese Stock market. |
| format | Article |
| id | doaj-art-5b243b4a0851442abddccd5c44569b2e |
| institution | Kabale University |
| issn | 0866-787X 0866-787X |
| language | English |
| publishDate | 2017-03-01 |
| publisher | Dalat University |
| record_format | Article |
| series | Tạp chí Khoa học Đại học Đà Lạt |
| spelling | doaj-art-5b243b4a0851442abddccd5c44569b2e2025-02-02T15:54:03ZengDalat UniversityTạp chí Khoa học Đại học Đà Lạt0866-787X0866-787X2017-03-01719610810.37569/DalatUniversity.7.1.152(2017)58EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKETĐoàn Anh Tuấn0Hoàng Mai Phương1Khoa Kinh tế và Quản trị Kinh doanh, Trường Đại học Đà LạtKhoa Kinh tế và Quản trị Kinh doanh, Trường Đại học Đà LạtUsing a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015. We find that herding behavior is present in both Ho Chi Minh and Hanoi Stock Exchanges. Importantly, the results show an asymmetry in level of herding behavior in which the herding effect appears to be stronger during falling markets than during rising markets. The study also highlights important policy implications that can help to reduce investors’ complicated nonlinear reactions in the Vietnamese Stock market.http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/152csadgarchhành vi bầy đànthị trường chứng khoán việt nam |
| spellingShingle | Đoàn Anh Tuấn Hoàng Mai Phương EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET Tạp chí Khoa học Đại học Đà Lạt csad garch hành vi bầy đàn thị trường chứng khoán việt nam |
| title | EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET |
| title_full | EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET |
| title_fullStr | EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET |
| title_full_unstemmed | EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET |
| title_short | EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET |
| title_sort | evidence of time varying herding behavior from the vietnamese stock market |
| topic | csad garch hành vi bầy đàn thị trường chứng khoán việt nam |
| url | http://tckh.dlu.edu.vn/index.php/tckhdhdl/article/view/152 |
| work_keys_str_mv | AT đoananhtuan evidenceoftimevaryingherdingbehaviorfromthevietnamesestockmarket AT hoangmaiphuong evidenceoftimevaryingherdingbehaviorfromthevietnamesestockmarket |