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Empirical Models of Herding Behaviour for Asian Countries with Confucian Culture

机译:亚洲儒教文化国家牧群行为的经验模型

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The purpose of this study is to investigate the insights of herding behavior in the Confucian markets by conducting a set of empirical tests. More specifically this study investigates a sample of 7 countries and 13 markets to gain a deeper understanding of the causes of herding behavior and the potential factors that cause investors to behave in a group manner. Following a comprehensive review of the existing methodologies on herding behavior this study employs return dispersion approaches and herding tests developed by Chang et al. (2000) and Tan et al. (2008). This study investigates a sample of 13 stock markets of seven Asian economies with three different hypotheses. Those economies, which are considered to have Confucian culture, are mainland China, Hong Kong, Japan, South Korea, Taiwan, Singapore, and Vietnam. The hypotheses of this study aim to investigate formation of herding behavior in different market and economic circumstances. In testing the empirical models, this study uses OLS regression for the main test as well as regression with Newey and West (1987) for the robustness test of each result from OLS regression analysis. Data of this study consists of 13 index returns (Shanghai A and B share, Shenzhen A and B share, Hang Seng index, NIKKEI225, TOPIX, KOSDAQ, KOSPI, Straits Times Index, TAIEX, and indices of Hanoi and Hochiminh city Stock Exchanges) and returns of their constituent stocks. The time period of the sample data is from January 01, 1999 to December 31, 2014. All data were collected from the Thomson Reuters Datastream database. According to the empirical findings, all hypotheses are accepted. The sample markets demonstrate significant herding behavior in general and significant herding behavior in different markets conditions, such as in rising-falling markets and high-low market volatility states. This study has some major contributions to the literature of herding behavior and the link between herding behavior and cultural aspects. First, this study uses dataset of 13 Confucian stock markets of seven Asian economies, with time range from 1999 to 2014. Second, this research developed and tested three different hypotheses, and all of them are accepted. Third, this study adds the new dimension of the cultural aspects in order try to explain the root causes to herding behavior amonginvestors in the equity markets. Recognizing that the Confucian culture appears to be one of the most influential cultural aspects in management, this study examines herding behavior of Confucian culture in stock markets under the umbrella of one empirical study. According to the findings of this study, Confucian culture has a positive and significant effect on herding behavior among investors in equity markets.
机译:这项研究的目的是通过进行一组实证检验来调查儒家市场中羊群行为的见解。更具体地说,本研究对7个国家和13个市场的样本进行了调查,以更深入地了解羊群行为的成因和导致投资者以集体方式行事的潜在因素。在对现有的放牧行为方法进行了全面回顾之后,本研究采用了Chang等人开发的收益分散法和放牧测试。 (2000)和Tan等。 (2008)。这项研究以三种不同的假设对七个亚洲经济体的13个股票市场进行了调查。被认为具有儒家文化的经济体是中国大陆,香港,日本,韩国,台湾,新加坡和越南。本研究的假设旨在调查不同市场和经济环境下羊群行为的形成。在检验经验模型时,本研究使用OLS回归进行主要检验,并使用Newey和West(1987)进行回归,对来自OLS回归分析的每个结果进行稳健性检验。本研究的数据包括13种指数回报率(上海A和B股,深圳A和B股,恒生指数,NIKKEI225,TOPIX,KOSDAQ,KOSPI,海峡时报指数,TAIEX以及河内和胡志明市证券交易所的指数)及其成分股的回报。样本数据的时间段是从1999年1月1日到2014年12月31日。所有数据均从Thomson Reuters Datastream数据库中收集。根据经验发现,所有假设都被接受。样本市场在总体上表现出显着的羊群行为,在不同的市场条件下(例如,在下降市场和高低市场波动状态下)都表现出显着的羊群行为。这项研究对羊群行为的文献以及羊群行为与文化方面之间的联系有重要贡献。首先,本研究使用了七个亚洲经济体的13个儒家股票市场的数据集,时间范围为1999年至2014年。其次,本研究开发并检验了三种不同的假设,并且所有假设都被接受。第三,本研究增加了文化方面的新维度,以试图解释股票市场中投资者之间的羊群行为的根本原因。认识到儒家文化似乎是管理中最有影响力的文化方面之一,本研究在一项实证研究的框架下研究了儒家文化在股票市场中的放牧行为。根据这项研究的结果,儒家文化对股票市场投资者之间的羊群行为具有积极而显着的影响。

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