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?

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 t...

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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
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Institution: De La Salle University
Language: English
id oai:animorepository.dlsu.edu.ph:etd_bachelors-17773
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-177732022-01-27T01:59:56Z 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? Garcia, Christina Leoncio, Nicasio L. So, Reginald P. Yazon, Frederick Reginald A. 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. 2002-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/17260 Bachelor's Theses English Animo Repository
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
description 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.
format text
author Garcia, Christina
Leoncio, Nicasio L.
So, Reginald P.
Yazon, Frederick Reginald A.
spellingShingle Garcia, Christina
Leoncio, Nicasio L.
So, Reginald P.
Yazon, Frederick Reginald A.
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?
author_facet Garcia, Christina
Leoncio, Nicasio L.
So, Reginald P.
Yazon, Frederick Reginald A.
author_sort Garcia, Christina
title 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?
title_short 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?
title_full 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?
title_fullStr 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?
title_full_unstemmed 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?
title_sort 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?
publisher Animo Repository
publishDate 2002
url https://animorepository.dlsu.edu.ph/etd_bachelors/17260
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