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Luận văn thạc sĩ UEH herding behavior in vietnamese stock market, empirical evidence from quantile
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UNIVERSITY OF ECONOMICS HO CHI MINH CITY
International School of Business
--------------------------
Phan Dang Bao Anh
HERDING BEHAVIOR IN VIETNAMESE STOCK
MARKET: EMPIRICAL EVIDENCE FROM
QUANTILE REGRESSION ANALYSIS
MASTER OF BUSINESS (Honours)
Ho Chi Minh City – Year 2015
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UNIVERSITY OF ECONOMICS HO CHI MINH CITY
International School of Business
--------------------------
Phan Dang Bao Anh
HERDING BEHAVIOR IN VIETNAMESE STOCK
MARKET: EMPIRICAL EVIDENCE FROM
QUANTILE REGRESSION ANALYSIS
ID: 22130006
MASTER OF BUSINESS (Honours)
SUPERVISOR: A.Pro.Dr. VO XUAN VINH
Ho Chi Minh City – Year 2015
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ACKNOWLEDGEMENT
Firstly, I would like to express my gratefulness to my supervisor A.Prof. Dr.Vo
Xuan Vinh for his professional guidance, intensive support, valuable suggestions,
instructions and continuous encouragement during the time of research and writing
this thesis.
I would like to express my deepest appreciation to ISB Research Committee for
their valuable time as their insightful comments and meaningful suggestions were
contributed significantly for my completion of this research.
My sincere thanks also go to all of all of my lecturers at International Business
School- University of Economics Ho Chi City for their teaching and guidance during
my Master course.
Last but not least, I would like to thanks my family, whom were always
supporting me and encouraging me with their best wishes.
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TABLE OF CONTENT
CHAPTER 1: INTRODUCTION................................................................................1
1.1. Research background........................................................................................... 2
1.2. Research gap ........................................................................................................ 4
1.3.Research objectives............................................................................................... 5
1.4. Research methodology and scope........................................................................ 6
1.5. Research structure................................................................................................ 7
CHAPTER 2: LITERATURE REVIEW ...................................................................8
2.1 Theoretical literature review................................................................................. 8
2.2. Empirical literature review ................................................................................ 11
2.3. Measuring herding in financial markets ............................................................ 19
2.4. Hypothesis development.................................................................................... 25
CHAPTER 3: RESEARCH METHODOLOGY .....................................................27
3.1. Data collection and sample description ............................................................. 27
3.2. Regression model for testing the hypotheses..................................................... 28
3.2.1 Regression model for testing the presence of herding bahavior in Vietnamese
stock market:.......................................................................................................... 28
3.2.2 Regression model for estimation the degree of herd in rising and falling
market:................................................................................................................... 29
3.3. Regression methodology.................................................................................... 30
3.3.1. Research process ......................................................................................... 31
3.3.2. Quantile regression analysis........................................................................ 31
CHAPTER 4: EMPIRICAL RESULT .....................................................................34
4.1. Decriptive statistics............................................................................................ 34
4.2 Correlation analysis among variables................................................................. 35
4.3. Regression result................................................................................................ 36
4.3.1. Evidence on herd presence in Vietnamese stock market ............................ 36
4.3.2 Herding behavior in up and down markets .................................................. 38
4.4 Regression result from Quantile regression analysis.......................................... 39
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CHAPTER 5: CONCLUSION AND IMPLICATIONS......................................... 45
5.1. Conclusion..........................................................................................................45
5.2. Implications of herding behavior in Vietnamese stock market .........................46
5.3. Limitations and further research direction .........................................................48
REFERENCES........................................................................................................... 50
APPENDICES ............................................................................................................ 55
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LIST OF TABLES
Table 1.1: A summary of empirical evidence on herding behavior ............................ 15
Table 3.1: Summary of data observations used in the study ....................................... 27
Table 4.1: Descriptive statistics for daily market return and cross-sectional absolute
deviation (CSAD) for the Vietnamese stock market from 1/2005 to 4/2015 ............. 34
Table 4.2. Correlation among main variables ............................................................. 35
Table 4.3: Regression result of herding behavior in Vietnamese stock market .......... 36
Table 4.4: Regression results of herding behavior in rising and declining market ..... 38
Table 4.5: Analysis of herding behavior in Vietnamese stock market by quantile
regression. .................................................................................................................... 40
Table 4.6: A summary of research results ................................................................... 43
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1
ABSTRACT
This study examines the herding behavior of investors in Vietnamese stock
market using data sample of 299 companies listed on Ho Chi Minh City Stock
Exchange. Using a least square method, the author finds evidence of herding presence
in rising and falling market when considering over the period of 2005 – 4/2015 as well
as in the periods of pre-crisis and post-crisis. By applying quantile regression analysis
to estimate the herding equation, the author find supporting evidence of herding during
the period studied as well as when splitting the market into two sub-periods; however,
the level of this trend is somewhat different conditional on quantile region.
Key words: herding behavior, Vietnamese stock market, quantile regression,
asymmetry.
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