Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/53852
標題: 台灣股票市場從眾行為之再探討
A Reexamination of Herding Behavior in Taiwanese Stock Markets
作者: 楊聲勇
關鍵字: 應用研究;管理科學;從眾行為;股市報酬離散度;分量迴歸;市場買賣超;融資融券交易
摘要: 
In line with the empirical work of Christie and Huang (1995) and Chang et al. (2000), we apply a more refined method to reexamine the herd behavior in two Taiwanese equity markets, Taiwan Stock Exchange (TSE) and GreTai Securities Market (OTC). Moreover, extending the literature, we reexamine the extent of herding behavior specifically with regard to the impacts from the trading volume and other market conditional information such as high versus low trading volume, trading imbalance of different traders and margin trading activities. Finally, we try to detect how investors respond to the global financial crisis and herding behavior during the crisis.

本研究以Christie and Huang (1995) and Chang et al. (2000) 的兩篇研究市場從眾行為的研究為基礎,並採用更新與更適合的研究與檢定方法(分量迴歸模型與檢定)來重新審視從眾行為在兩個台灣股票交易市場(台灣證券交易所和證券櫃檯買賣中心)的情況。此外,不同於過去的文獻,我們進一步審視從眾行為的程度受市場重要訊息的影響,包括交易量和其他市場條件的資訊,如高與低交易量市場情況,機構投資人與一般散戶的連續買賣超情形,和市場保證金交易(融資與融券)活動的活絡情形,市場從眾行為受到的影響與變化。最後,我們並研究台灣投資者如何應對全球金融危機,在危機發生期間從眾行為的變化。
URI: http://hdl.handle.net/11455/53852
其他識別: NSC100-2410-H005-011
Appears in Collections:財務金融學系所

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