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Empirical investigation of the causal relationships among herding, stock market returns, and illiquidity: Evidence from major Asian markets
Qiao, Zhuo1; Chiang, Thomas C.2; Tan, Lin3
2014-09-01
Source PublicationReview of Pacific Basin Financial Markets and Policies
ISSN02190915
Volume17Issue:3
AbstractWe 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. © 2014 World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research.
DOI10.1142/S0219091514500180
Language英语
The Source to ArticleEngineering Village
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Document TypeJournal article
CollectionUniversity of Macau
Affiliation1.University of Macau, Avenida Padre Tomás Pereira, Taipa, China;
2.Finance Department, Drexel University, 3220 Market Street, Philadelphia, PA 19104, United States;
3.Finance, Real Estate and Law Department, California State Polytechnic University Pomona, 3801 West Temple Avenue, Pomona, CA 91768, United States
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Qiao, Zhuo,Chiang, Thomas C.,Tan, Lin. Empirical investigation of the causal relationships among herding, stock market returns, and illiquidity: Evidence from major Asian markets[J]. Review of Pacific Basin Financial Markets and Policies,2014,17(3).
APA Qiao, Zhuo,Chiang, Thomas C.,&Tan, Lin.(2014).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,17(3).
MLA Qiao, Zhuo,et al."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 17.3(2014).
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