Journal article
Empirical Investigation of the Causal Relationships Among Herding, Stock Market Returns, and Illiquidity: Evidence from Major Asian Markets
Review of Pacific basin financial markets and policies, v 17(3), pp 1450018-1450018
01 Sep 2014
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We apply the Kalman filter method to estimate nine Asian markets and find evidence that stock return dispersions decline as markets experience stress conditions, supporting the existence of herding. This paper finds that herding behavior is time-varying and comoving across markets. Both linear and nonlinear Granger causality tests conclude that there is strong bilateral causality between herding and returns for all nine Asian markets. For markets in Japan, South Korea, and Thailand, we consistently find strong two-way causality exists in pairwise variables among herding, stock returns, and illiquidity. No consistent evidence can be drawn from other markets for other pairwise variables.
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Details
- Title
- Empirical Investigation of the Causal Relationships Among Herding, Stock Market Returns, and Illiquidity: Evidence from Major Asian Markets
- Creators
- Zhuo Qiao - University of MacauThomas C. Chiang - Drexel UniversityLin Tan - California State Polytechnic University
- Publication Details
- Review of Pacific basin financial markets and policies, v 17(3), pp 1450018-1450018
- Publisher
- World Scientific
- Number of pages
- 27
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000217086000005
- Scopus ID
- 2-s2.0-84906280024
- Other Identifier
- 991019167662904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance