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標題: 融資券者與機構投資人的從眾傾向
Herding Tendency of Margin Traders, Short Sellers, and Institutional Investors
作者: 林盈課
關鍵字: 應用研究;herding tendency;經濟學;從眾傾向;從眾指標;融資者;融券者;機構投資人;herding measures;margin traders;short sellers;institutional investors
本文探討融資融券者以及本國、外國機構投資人在台灣股票市場的從眾傾向,樣本使用台灣股票市場的日買賣資料,探討五種投資者的投資行為以檢測從眾的現象。本文採用數種從眾指標來衡量,包括由Lakonishok et al. (1992)提出的方向從眾指標(direction herding);Hwang andSalmon (2004)的因子離差從眾指標(factor deviation herding);Sias (2004)的串聯從眾指標(cascade herding)及回饋從眾指標(feedback herding);Christie and Huang (1995)的離差從眾指標(deviation herding);交易買賣超從眾指標(buy-sell-difference for trader herding);Chang et al.(2000) 的絕對離差從眾指標(absolute deviation herding)。除了分析從眾現象外,本文亦衡量動能交易以及交易與報酬間關係,進一步探討從眾行為是否與公司特性有關,如公司規模大小、報酬波動性以及股票週轉率。本文是第一篇整合各類從眾模型的研究,採用不同觀點的從眾行為指標,實證結果將助於理解融資融券者以及本國、外國機構投資人在新興市場的從眾行為,對於股票市場的從眾學術文獻以及行為財務學有所貢獻。

This paper investigates the herding tendency of margin traders, short sellers, and foreign anddomestic institutional investors in Taiwan's stock market. Using daily buy and sell data, this studylooks within five subsets of investors in order to detect their herding phenomenon. Several herdingmeasures are employed by adopting the methods of Lakonishok et al. (1992) for direction herding,Hwang and Salmon (2004) for factor deviation herding, Sias (2004) for cascade herding and forfeedback herding, Christie and Huang (1995) for deviation herding, buy-sell-difference for tradeherding, and Chang et al. (2000) for absolute deviation herding. In addition to herding analysis, wemeasure momentum trading and the relation between trades and returns. The study further investigateswhether herding behaviors are associated with firm's characteristics such as market size, returnvolatility, and share turnover. The findings will shed light on understanding the herd behaviors ofmargin traders, short sellers, foreign investors, and domestic institutional investors in emergingmarkets by taking different herding perspectives. The empirical evidence will contribute to herdingliterature and behavioral finance.
其他識別: NSC99-2410-H005-024
Appears in Collections:財務金融學系所

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