Chen, Yi-Chang; Wu, Hung-Che; Zhang, Yuanyuan; Kuo, … - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-16
demonstrates that herding is a key transmitter in Taiwan’s stock market. The significant estimation of DCC-MIDAS explains that the … reveals that herding forms in Taiwan’s markets during the subprime crisis period. …The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used …