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標題: 台灣股票市場個別投資人與機構投資人從眾行為之關係
The Dynamics of Individual and Institutional Investors Herding Behavior in Taiwan Stock Market
作者: 許凱翔
Shin, Kai-Shiang
關鍵字: herding behavior;從眾行為;institutional and individual investor;VAR (Vector Autoregression) model;機構與個別投資人;向量自我迴歸模型
出版社: 財務金融系所
引用: 中文部分 江宏儒,2002,股票市場從眾行為之探討:新興市場與已開發國家之比較,高雄第一科技大學財務管理研究所碩士論文。 林雋琦,2001,國內共同基金從眾現象及原因分析,雲林科技大學企業管理研究所碩士論文。 林皇瑞,2004,法人機構從眾行為之研究-以證券自營商與外資為研究對象,國立台灣科技大學財務金融研究所碩士論文。 李春安、賴藝文,2005,股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為之研究,台灣管理學刊。 施生元,2001,投信、外資及散戶從眾行為之探討,國立中山大學財務管理研究所碩士論文。 郭春吟,2007,外資持股之股價共移與從眾現象研究,雲林科技大學財務金融研究所碩士論文。 陳志宏,2007,台灣股市從眾行為之分析,元智大學管理研究所碩士論文。 吳政樂,1998,證劵自營商之從眾行為與投資策略分析,中央大學財務管理研究所碩士論文。 蘇惟宏,2000,機構法人從眾行為之研究-以國內股市集中交易市場為例,政治大學企業管理學系碩士論文。 英文部分 Banerjee, A., 1992, A simple model of herd behavior, Quarterly Journal of Economics 107, 797-817. Bikhchandani, S., Hirshleifer, D. and I. Welch, 1992, A theory of fads, fashion, custom, and culture change as information cascades, Journal of Political Economy 100, 992-1026. Chang, E., Chang, J., and Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective, Journal of Banking & Finance 24, 1651-1679. Choi, N., Sias, R., 2009. Institutional industry herding, Journal of Financial Economics 94, 469–491. Christie, G., and Huang, R., 1995. Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal (July-August), 31-37. David, S., and Stein, J., 1990. Herd behavior and investment, American Economic Review 80, 465-479. Devenow, Andrea, and Ivo Welch, 1996. Rational herding in financial economics, European Economic Review 40, 603-615. Falkenstein, E., 1996, Preferences for stock characteristics as revealed by mutual fund portfolio holdings, Journal of Finance 51, 111-135. Froot, K., Scharfstein, D., and Stein, J., 1992, Herd on the street: Informational inefficiencies in a market with short-term speculation, Journal of Finance 47, 1461-1484. Gompers, P., Metrick, A., 2001. Institutional investors and equity prices. Quarterly Journal of Economics 116, 229–260. Graham, J., 1999, Herding among investment newsletters: Theory and evidence, Hirshlerfer, David, Avanidhar Subrahmanyam, Sheridan Titman, 1994. Security analysis and trading patterns when some investors receive information before others, Journal of Finance 49, 1665-1698. Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32, 23-43. Lee, B., Li, W., Wang, S., 2010. The dynamics of individual and institutional trading on the Shanghai Stock Exchange, Pacific-Basin Finance Journal 18, 116–137. Li, W., Rhee, S., and Wang, S., 2009, Differences in Herding:Individual vs. Institutional Investors in China, Working Paper Nofsinger, J. and Sias, R., 2004, Herding and feedback trading by institutional and individual investors, Journal of Finance 54, 2263-2295. Sias, R., 2004. Institutional herding, Review of Financial Studies 17, 165-206. Sims, A.C., 1980. Macroeconomics and Reality, Econometrical 48, 1-48. Tan, L., Chiang, T., Mason, J., Nelling, E., 2007, Herding behavior in Chinese stock markets: An examination of A and B shares, Pacific-Basin Finance Journal 16, 61–77. Wermers, R., 1999. Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-622.
The thesis is aimed to examine whether herding behavior exists in Taiwan stock market. Previous studies used the return-based cross-sectional standard deviation (CSSD) proposed by Christie and Huang (1995) or the return-based cross-sectional absolute deviation (CSAD) proposed by Chang, Cheng and Khorana (2000) to identify investors' herding behavior. To explore the information contents of trading volume as well as the trading behavior by different types of investors, this thesis constructs a trading volume-based cross-sectional standard deviation (CSSD) to jointly test investors' herding behavior by dividing the investors into two groups, institutional and individual investors.
This thesis obtains consistent results indicating herding behavior exists in Taiwan stock market as tested by the returned-based CSSD, CSAD and the trading volume-based CSSD. As the market faced extreme upward price movement, investors suppressed their own beliefs in favor of the market consensus much more than what they did during the periods of extreme downward price movement. From the Granger-Causality test, this thesis further finds the return-based herding measure Granger causes the trading volume-based herding measure. Furthermore, the individual investors herd on the institutional trading as well as the average market return. Thus, we conclude that in Taiwan stock market, both the individual and institutional investors herd around the market consensus; while the individual investors further herd on the institutional trading.

本研究旨在探討台灣股票市場從眾行為的現象,以往的研究大多使用Christie和Huang (1995)所提出的報酬率橫斷面標準差(CSSD)與Chang, Cheng 和Khorana (2000)所提出的報酬率橫斷面絕對離差(CSAD)來檢驗整體證券市場投資人是否存在從眾行為。本研究進一步將市場投資人區分為機構投資人與個別投資人,並加入以成交量為基礎所建構之成交量橫斷面標準差(volume-based CSSD),聯合檢驗台灣證券市場不同類別的投資人是否存在從眾行為及其從眾程度之差異。
其他識別: U0005-2106201013523000
Appears in Collections:財務金融學系所

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