投資人的心理與行為偏誤:情緒、從眾、非從眾行為與動能的關聯性_

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題名：	投資人的心理與行為偏誤:情緒、從眾、非從眾行為與動能的關聯性
作者：	葉智丞
作者(外文)：	Chih-cheng Yeh
校院名稱：	雲林科技大學
系所名稱：	管理研究所博士班
指導教授：	李春安林哲鵬
學位類別：	博士
出版日期：	2010
主題關鍵詞：	投資人情緒；從眾；非從眾行為；動能；Investor Sentiment；Herding；Non-herding；Momentum
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:105

本文主要在探討投資人心理和行為偏誤的關聯性，以了解人們的心理和行為偏誤之間的影響關係，進而減低人們偏誤的心理。分為兩個議題進行研究，過去文獻提及動能效應時多以價格動能作為研究的重點，本篇研究第一個議題著眼於投資人情緒，觀察市場是否具有所謂的情緒動能，以及情緒動能與價格動能之間的關連性。結果發現，情緒動能確實存在，且市場報酬、情緒動能與價格動能之間彼此具有循環的關連性。台灣股市中短期的價格動能與低情緒輸家息息相關，中期的價格反轉則與高情緒輸家密不可分。若將投資人情緒納入考量，傳統的價格動能策略將能夠產生更佳的報酬，在大部分的情況下，採取買進高情緒輸家同時賣出低情緒贏家的投資策略，或者買進情緒動能同時賣出價格動能的投資策略，多能穩定持續地獲取報酬。
另一方面，過去文獻常分別探討投資人情緒或從眾行為對證券市場的影響，本篇研究第二個議題主要結合投資人的情緒、從眾與非從眾行為，除了檢視三者之間的關係以及對市場報酬與波動的影響外，亦觀察三者交互作用對證券市場的影響。結果發現，情緒影響從眾行為，從眾行為與非從眾行為互呈雙向因果關係。在多頭市場中投資人情緒或者在空頭市場中非從眾行為，與市場報酬有正向關係；在空頭市場中投資人情緒或者在多頭市場中非從眾行為，則與市場報酬有負向關係；從眾行為僅在空頭市場中與市場報酬呈負向關聯。投資人情緒與從眾行為增強了市場波動性，非從眾行為則緩和了市場的波動程度。此外，三者交互作用對市場報酬產生八種影響，分別代表著投資人在證券市場中的八種心理變化：懷疑、希望、樂觀、陶醉、過度自信、矛盾、悲觀與恐懼等階段，本文實證結果顯示，各個心理階段皆與市場報酬有很強的關聯性。

以文找文

This paper aims to discuss and understand the relationship between investor psychology and behavioral biases to reduce emotions and mental errors. The article is divided into two sections. Previous literature pays more attention on price momentum instead on sentiment momentum. In this study, we examined Taiwan stock market to reinvestigate price momentum, sentiment momentum, and the relationship between the price and sentiment momentums are examined. It is found that not only the price momentum but also the sentiment momentum exist in Taiwan stock market. Market returns, sentiment momentum, and price momentum form a complete round that repeats. We also find that the short-middle-term price momentum has connection with low-sentiment losers, and, the middle-term price reversal is related to high sentiment losers. In most cases, the strategy of buying high sentiment losers and selling low sentiment winners as well as the strategy of buying sentiment momentum and selling price momentum are observed to generate stable positive returns. This result is helpful for investors in making their long term investment plans.
Furthermore, previous literature used to pay more attention on investor sentiment or herding, while the paper focuses on the issue of the relationship among investor sentiment, herding and non-herding. The study also examines the impact of their interaction on stock market. It is found that investor sentiment affects herding, and herding and non-herding influence each other. Investor sentiment of bull market and non-herding of bear market have a positive relationship with market returns. Investor sentiment of bear market and non-herding of bull market have negative impact on market returns. Herding of bear market has negative influence on market returns only. Herding strengthens the market volatility, while non-herding weakens it. In addition, eight types of effects on the stock market resulted from the interaction among investor sentiment, herding and non-herding are corresponding respectively to eight psychological states of investor: suspicion, hope, optimism, euphoria, overconfidence, ambivalence, pessimism and fear. The study findings indicate that every psychological state has a significant influence on market returns.

以文找文

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