Is there significant evidence for relative herding towards the market portfolio and/or factors such as growth, size, value, past gainers and losers within the period November 1996 to March 2002?

• Main Authors: Garcia, Christina, Leoncio, Nicasio L., So, Reginald P., Yazon, Frederick Reginald A.
• Format: text
• Language: English
• Published: Animo Repository 2002
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17260
• Institution: De La Salle University

This thesis is a direct application of Soosung Hwang and Mark Salmon's paper entitled "A NEW MEASURE OF HERDING AND EMPIRICAL EVIDENCE" to the Philippine setting. The framework is the first to be able to empirically distinguish between spurious and intentional herding which has been the flaw of past attempts to measure relative herding. Using the framework, the thesis was able to create a measure of relative herding from the period November 1996-March 2002. The model proved to be successful in identifying several months or periods with relative herding towards the defined market portfolio. The framework was also able to determine which kind of relative herding, (spurious or intentions) took place in the herding periods identified in the months being reviewed. Among these periods, the year of 1998 had the most number of months (8) in which herding took place. Being the year after the Asian Financial crisis, it is said that the Philippines was the last of all Asian countries to feel the pressure of such depression. This coincidentally suggests that herding may take place most during market stress and uncertainty.