A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach

The aim of this study is to investigate the herding beta transmission between return and volatility. We have used dynamic conditional correlation model with mixed-data sampling (DCC-MIDAS) for analysis. evidence demonstrates that a key transmitter in Taiwan’s stock market. significant estimation DCC-MIDAS explains phenomenon highly time-varying behavior. By means based on our rolling forecasting method robustness check Markov-switching regression approach using four types portfolios, indicates there are correlations betas herding. In addition, it also reveals forms markets during subprime crisis period.