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標題: Analysis of Herding Behavior among Institutional Investors during Financial Tsunami
作者: 黃愛倫
Huang, Ai-Lun
關鍵字: herding;從眾行為;positive feedback strategy;institutional investor;financial tsunami;正向回饋交易;機構投資人;金融海嘯
出版社: 財務金融系所
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The paper examines the herding behavior of institutional investors (foreign investors, funds, and dealers) on LSV measure in Taiwan from January 2, 2008 to the end of March, 2009. We study the composition of MSCI stock before and during financial tsunami─the newest cresis. Ther purposes of this thesis are as follows: First of all, the thesis examines the market herding behavior of stock among institutional investors in Taiwan. Second, how does market performance affect herding behavior. Third, if herding exists in the markets, what factors cause herding behavior? (stock return, market return, exchange return) Finally, observe the price-setting imbalance after financial shock.
The empirical results are as follow : we find evidence of positive feedback trading and herding by funds and dealers before the period of crisis, but foreign investors insignificant. During the crisis period, foreign investors use positive feedback trading and sell losers quickly. Know that funds have agency problem, when confronting change of circumstances, the influence of sell together is small than dealers. Dealers have two strategies confronting crisis: First, sell in large quantities;Second, play the role of market maker. Herding behavior will makes price more efficient and increases transaction. Institutional investors will take advantage of information of specific stocks , even herding measure is positively correlated with stock return, and negatively correlated with market return. We can say stock return predominant market return.From my study, there are differences between ordinary day and during financial cresis.

本研究利用從眾行為模型:採用Lakonishok et al. (1992) LSV指標,以摩根士丹利成分股(台灣市場)為標的。將機構投資人區分為外資、投信基金、自營商等三大法人,以比較從眾行為在不同類型機構投資人之間的差異,此篇研究貢獻在於提出最新的金融風暴作為研究事件,來定義金融海嘯前與金融海嘯期間從眾程度。研究主題分別包括從眾行為之衡量、三類投資人在股市大盤表現走勢差異時的從眾效果及各股報酬、大盤報酬、匯率報酬(當期、前期、後期)與從眾指標關聯性危機事件對各類投資人買賣交易差額的差異性。
其他識別: U0005-0207200920523700
Appears in Collections:財務金融學系所

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