本文檢定新興市場與已開發市場的從眾現象是否有顯著的差異，實證方法為Christie and Huang (1995)所提出的橫斷面標準離散程度指標（Cross-Sectional Standard Dispersion, CSSD）與Chang et al. (2000)所導出的橫斷面報酬絕對誤差指標（Cross-Sectional Absolute Deviation, CSAD）衡量股票的離散程度。實證指出已開發市場並不存在從眾現象，而新興市場則存在顯著的從眾行為。這可能肇因於已開發市場的個經資訊較透明，投資人較能判定個別公司的好壞，故不同公司間的體質優劣就能表現在股價上。而新興國家的個經資訊的透明度較不足，使得投資者易依據興論或總經消息作投資決策，此使得新興市場的股票報酬離散程度相較於資本定價模型的理論離程度低。本文亦檢定多頭與空頭時，各國從眾現象是否有所差異，結果發現每個國家間 的確存在多空從眾不對稱現象。本研究亦進一步將樣本以股本大小分類成若干投資組合，結果顯示從眾現象與股本大小並無顯著關係。在大陸股票市場中，A股提供給中國當地投資人作交易，B股給外國投資人作交易。本研究比較兩者間的從眾現象是否有顯著差異，結果發現資訊較具優勢的外國投資人的從眾現象較不明顯。

This study examines investors' herd behavior between different international stock markets. In particular, we compare investors' herding behavior in developed markets with emerging markets. The Cross-Sectional Standard Dispersion (CSSD) proposed by Christie and Huang (1995), and Cross-Sectional Absolute Deviation (CSAD) proposed by Chang et al. (2000) are used to measure the herd behavior in the stock markets. It is found that the herd behavior exists in emerging markets, but not in developed markets. We also find that the herding behavior in A share is more significant than that that in B shares for China stock markets.