{"title":"印度股票市场的投资者羊群行为:来自分位数回归的证据","authors":"A. Ansari","doi":"10.2139/ssrn.3743664","DOIUrl":null,"url":null,"abstract":"The study empirically investigates the herd behaviour of investors in the The the Indian equity market. Quantile regression approach is adopted over OLS (ordinary least square). The method proposed by CCK (Chang, Cheng and Khorana, 2000), based on cross sectional absolute deviation is used. An empirical examination of asymmetric effect on returns, high and low trading volume and volatility over daily data period from 2007-2017, shows reverse herding behaviour in the The the Indian equity market. The robustness analysis of large, mid and small cap firms also revealed evidence against herding. However, sub-period analysis of data revealed evidence of herding in many years (2007, 2010 and 2014 etc.). In general herding behaviour is not pervasive in the The the Indian equity market.","PeriodicalId":153840,"journal":{"name":"Emerging Markets: Finance eJournal","volume":"191 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Investor Herding Behaviour in the Indian Equity Market: Evidence From Quantile Regression\",\"authors\":\"A. Ansari\",\"doi\":\"10.2139/ssrn.3743664\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The study empirically investigates the herd behaviour of investors in the The the Indian equity market. Quantile regression approach is adopted over OLS (ordinary least square). The method proposed by CCK (Chang, Cheng and Khorana, 2000), based on cross sectional absolute deviation is used. An empirical examination of asymmetric effect on returns, high and low trading volume and volatility over daily data period from 2007-2017, shows reverse herding behaviour in the The the Indian equity market. The robustness analysis of large, mid and small cap firms also revealed evidence against herding. However, sub-period analysis of data revealed evidence of herding in many years (2007, 2010 and 2014 etc.). In general herding behaviour is not pervasive in the The the Indian equity market.\",\"PeriodicalId\":153840,\"journal\":{\"name\":\"Emerging Markets: Finance eJournal\",\"volume\":\"191 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Emerging Markets: Finance eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3743664\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Emerging Markets: Finance eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3743664","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
该研究对印度股市投资者的羊群行为进行了实证调查。对OLS(普通最小二乘法)采用分位数回归方法。采用CCK (Chang, Cheng and Khorana, 2000)提出的基于截面绝对偏差的方法。对2007-2017年每日数据期间回报、高交易量和低交易量以及波动性的不对称影响的实证研究显示，印度股市存在反向羊群行为。对大、中、小盘股公司的稳健性分析也揭示了反对羊群效应的证据。然而，数据的分段分析显示了许多年份(2007年、2010年和2014年等)的放牧证据。总体而言，羊群行为在印度股市并不普遍。
Investor Herding Behaviour in the Indian Equity Market: Evidence From Quantile Regression
The study empirically investigates the herd behaviour of investors in the The the Indian equity market. Quantile regression approach is adopted over OLS (ordinary least square). The method proposed by CCK (Chang, Cheng and Khorana, 2000), based on cross sectional absolute deviation is used. An empirical examination of asymmetric effect on returns, high and low trading volume and volatility over daily data period from 2007-2017, shows reverse herding behaviour in the The the Indian equity market. The robustness analysis of large, mid and small cap firms also revealed evidence against herding. However, sub-period analysis of data revealed evidence of herding in many years (2007, 2010 and 2014 etc.). In general herding behaviour is not pervasive in the The the Indian equity market.
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