Herd behavior in Malaysian capital market: An empirical Analysis
This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United St...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Reprograph Craiova Publishers
2009
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/8015/1/Herd_behavior_in_Malaysian_capital_market_An_empirical_Analysis.pdf http://irep.iium.edu.my/8015/ http://mpra.ub.uni-muenchen.de/13303/ |
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| Summary: | This study examines the existence of herd behavior among foreign
investors in the Malaysian capital market. In methodology, the study
analyzes the herd behavior by estimating vector error correction (VECM)
model of FPI inflows as well as FPI outflows from/to major investors such
as the United States, United Kingdom, Singapore and Hong Kong using
quarterly data covering the period of Q1:1991 to Q3:2007. Additionally,
we adopt an innovation accounting by simulating variance decompositions
(VDC) and impulse response functions (IRF) for further inferences. The
findings support the belief that there is a strong herd instinct prevailing
among foreign investors in the Malaysian capital market. |
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