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: Duasa, Jarita, Kassim, Salina H.
Format: Article
Language:English
Published: Reprograph Craiova Publishers 2009
Subjects:
Online Access:http://irep.iium.edu.my/8015/
http://irep.iium.edu.my/8015/
http://irep.iium.edu.my/8015/1/Herd_behavior_in_Malaysian_capital_market_An_empirical_Analysis.pdf
id iium-8015
recordtype eprints
spelling iium-80152011-11-24T21:01:52Z http://irep.iium.edu.my/8015/ Herd behavior in Malaysian capital market: An empirical Analysis Duasa, Jarita Kassim, Salina H. H Social Sciences (General) HB Economic Theory HC Economic History and Conditions 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. Reprograph Craiova Publishers 2009 Article PeerReviewed application/pdf en http://irep.iium.edu.my/8015/1/Herd_behavior_in_Malaysian_capital_market_An_empirical_Analysis.pdf Duasa, Jarita and Kassim, Salina H. (2009) Herd behavior in Malaysian capital market: An empirical Analysis. Journal of Applied Economic Sciences, 4 (1). pp. 45-57. ISSN 1843-6110 http://mpra.ub.uni-muenchen.de/13303/
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic H Social Sciences (General)
HB Economic Theory
HC Economic History and Conditions
spellingShingle H Social Sciences (General)
HB Economic Theory
HC Economic History and Conditions
Duasa, Jarita
Kassim, Salina H.
Herd behavior in Malaysian capital market: An empirical Analysis
description 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.
format Article
author Duasa, Jarita
Kassim, Salina H.
author_facet Duasa, Jarita
Kassim, Salina H.
author_sort Duasa, Jarita
title Herd behavior in Malaysian capital market: An empirical Analysis
title_short Herd behavior in Malaysian capital market: An empirical Analysis
title_full Herd behavior in Malaysian capital market: An empirical Analysis
title_fullStr Herd behavior in Malaysian capital market: An empirical Analysis
title_full_unstemmed Herd behavior in Malaysian capital market: An empirical Analysis
title_sort herd behavior in malaysian capital market: an empirical analysis
publisher Reprograph Craiova Publishers
publishDate 2009
url http://irep.iium.edu.my/8015/
http://irep.iium.edu.my/8015/
http://irep.iium.edu.my/8015/1/Herd_behavior_in_Malaysian_capital_market_An_empirical_Analysis.pdf
first_indexed 2023-09-18T20:17:36Z
last_indexed 2023-09-18T20:17:36Z
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