Synchronous Movement Effects of Stock Returns in Taiwan Stock Market

Hsien-Yi Lee ； Lian-Chun Lee ； Yung-Jang Wang ； Li-Che Huang

《Advances in Investment Analysis and Portfolio Management》 5期 (2012/04) Pp. 1-21

https://doi.org/10.6291/AIAPM.2012.05.01

並列摘要

This study explores the synchronous movement effects of various stock groups during different periods in Taiwan Stock Market. The research period is from 1996 to 2008 (covering nearly 13 years) and includes five stock market cycles. The empirical evidence indicates that the returns of the large and small size, high price and strong financial credit stock groups move up together during the initial period of bull markets, and the returns of the small size, low price and weak financial credit stock groups move up together during the final period of bull markets. Furthermore, in a bear market, the returns of the small size stock groups during the initial period and of the large size, high price and strong and weak financial credit stock groups during the final period move down together. As such, the synchronous stock return movement effects are mainly concentrated on the bull market and the final period of a bear market. These analytical results imply that investor herding behavior is inconsistent in the bull and bear markets.

並列關鍵字

Co-Movement Effect ； Herding Behavior ； Bull (Bear) Market

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