文章基本信息

标题：Industry Herding, Spillover Index and Investment Strategy
本地全文：下载
作者：Tung-Yueh Pai ; Yen-Hsien Lee
期刊名称：Journal of Applied Finance and Banking
印刷版ISSN：1792-6580
电子版ISSN：1792-6599
出版年度：2018
卷号：8
期号：6
出版社：Scienpress Ltd
摘要：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.
关键词：Industry herding; Spillover Index; Momentum