Artikel
A transmission of beta herding during subprime crisis in Taiwan's market: DCC-MIDAS approach
The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in Taiwan's stock market. The significant estimation of DCC-MIDAS explains that the herding phenomenon is highly dynamic and time-varying in herding behavior. By means of time-varying beta of herding based on our rolling forecasting method and robustness check of the Markov-switching regression approach using four types of portfolios, the evidence indicates that there are conditional correlations between betas and herding. In addition, it also reveals that herding forms in Taiwan's markets during the subprime crisis period.
- Language
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Englisch
- Bibliographic citation
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 9 ; Year: 2021 ; Issue: 4 ; Pages: 1-16 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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DCC-MIDAS
herding
Markov switching
subprime crisis
time-varying
- Event
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Geistige Schöpfung
- (who)
-
Chen, Yi-Chang
Wu, Hung-Che
Zhang, Yuanyuan
Kuo, Shih-Ming
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
-
Basel
- (when)
-
2021
- DOI
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doi:10.3390/ijfs9040070
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chen, Yi-Chang
- Wu, Hung-Che
- Zhang, Yuanyuan
- Kuo, Shih-Ming
- MDPI
Time of origin
- 2021
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