Chen, Yi-Chang; Wu, Hung-Che; Zhang, Yuanyuan; Kuo, … - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-16
The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in Taiwan’s...