In this study, we investigate the herding behavior of different types of investors, including proprietary dealers, investment trust, QFII and individuals, in the Taiwan stock market. Examining the relationship between Characteristics of stocks and herding behavior and influence of investor’s trading strategies on stock future price. We use intraday tick by tick order data and trade data to calculate the two measures of daily herding, introducing by Lakonishok et al. (1992) and Wermers (1999). It is apparent that proprietary dealers and QFII herd more heavily in large stocks, but investment trust and individuals herd more heavily in small stocks. We find that herding behavior of individuals is in accordance with information cascading hypothesis. Finally, we find that short heavily by QFII and individuals would destabilize future stock price, but total trading behavior speed information compounded into fundamental price.