TAILIEUCHUNG - Industry herding, spillover index and investment strategy

This study investigates the spillover effects of the herding behavior of institutional investors in industries using the new spillover index. We further examine the lead-lag relationship between the herding spillover index and stock market. Finally, this paper furthers our understanding of the momentum strategy in industries. The empirical evidence indicates that industry herding in terms of semi-conductor manufacturing has had a significant impact on other types of industry herding. Second, since the industry herding spillover index and the selling industry herding spillover index have led to stock index returns, we conjecture that the industry herding spillover effect is a predicate to stock returns. Finally, the results support the claim that an institutional investor is an industry momentum trader. Moreover, we find that a long position in relation to higher or lower herding winners and a short position in relation to low herding losers yields good subsequent returns. | Journal of Applied Finance Banking vol. 8 no. 6 2018 131-155 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2018 Industry Herding Spillover Index and Investment Strategy Tung-Yueh Pai1 and Yen-Hsien Lee2 Abstract This study investigates the spillover effects of the herding behavior of institutional investors in industries using the new spillover index. We further examine the lead-lag relationship between the herding spillover index and stock market. Finally this paper furthers our understanding of the momentum strategy in industries. The empirical evidence indicates that industry herding in terms of semi-conductor manufacturing has had a significant impact on other types of industry herding. Second since the industry herding spillover index and the selling industry herding spillover index have led to stock index returns we conjecture that the industry herding spillover effect is a predicate to stock returns. Finally the results support the claim that an institutional investor is an industry momentum trader. Moreover we find that a long position in relation to higher or lower herding winners and a short position in relation to low herding losers yields good subsequent returns. JEL classification numbers G02 G23 Keywords Industry herding Spillover Index Momentum 1 Introduction Recent studies report evidence on institutional industry herding. This study examines whether institutional industry herding plays an important role and has 1 Department of Institute of Management Minghsin University of Science and Technology Taiwan 2 Corresponding Author Department of Finance Chung Yuan Christian University Taiwan Article Info Received June 4 2018. Revised June 22 2018 Published online November 1 2018 132 Tung-Yueh Pai and Yen-Hsien Lee three primary objectives. First this study uses institutional investor data to calculate the institutional industry herding spillover effect and to construct an institutional industry herding spillover index employing the new .

• Đầu tư Chứng khoán
• Industry herding
• Spillover index
• Investment strategy
• Spillover index and investment strategy
• Industry momentum trader