Herd behaviors in index futures trading: Driving factors and impact on market volatility
研究台湾期货交易所的指数期货数据，发现羊群行为普遍存在且投资者情绪比信息追逐更能解释该行为；日内羊群行为增加当日波动但降低次日波动，隔夜交易中羊群倾向较弱且零售交易者参与度低是部分原因。
Abstract This study analyzes market index futures data on the Taiwan Futures Exchange to explore herd trading behaviors and their impact on the market. The study finds that herd behaviors are prevalent in all trading directions and that investor sentiment is a more direct explanation than information chasing. Herding in intraday trading increases market volatility on the same day but decreases it on the following day. Additional tests show that overnight trading has a weaker herding tendency and a less noticeable market correction on the following day, which can be attributed in part to the lower participation of retail traders in overnight sessions. The analysis using overnight trading reinforces the relevance of retail trading in explaining herd trading. Overall, the study offers new evidence and insights into herd behaviors in the derivatives market dominated by retail investors.