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題名：外資和股票投資人羊群效應：臺灣觀光類股實證研究
書刊名：觀光與休閒管理期刊
作者：練有為
作者(外文)：Lan, Yu-wei
出版日期：2017
卷期：5:1
頁次：頁67-79
主題關鍵詞：Johansen共整合分析；Granger因果檢定；程式交易；羊群效應；正反饋交易；Johansen's cointegration analysis；Granger casualty test；Program trading；Herd effect；Positive feedback trading
原始連結：連回原系統網址new window
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近年來陸客為台灣觀光市場的重要客源，而觀光類股之榮枯也隨著政府政策變化，如何提升觀光類股投資效率是吾人所關切的議題，本研究採用2007年11月3日至2017年1月20日的日資料進行程式交易，配合Johansen共整合檢定和Granger因果檢定來檢視台灣觀光類股之羊群效應，發現加入外資現貨之投資資訊之獲利優於用觀光類股領頭羊晶華(2707)之股價資訊，證實本研究之假說：運用外資現貨資料交易之模式可以提升台灣觀光類股之投資效率。
Mainland China tourist is the most important sources of tourism for Taiwan in recent years, however the stock market of Taiwan's tourism is influenced by government policy. How to improve the strategy of investment on the stock market is essential to investor, Daily data of Taiwan's tourism stock, covering the period from July, 3, 2007 to Jan, 2017, are employed. Johansen's maximum likelihood procedure and Granger causality are used to explain the herding behavior and positive feedback effect in tourism industry of Taiwan. It indicates that: Adopting the information of QFII's spot trading can improve the efficiency of investment on Taiwan's tourism stock.
期刊論文
1.Graham, J. R.(1999)。Herding Among Investment Newsletters: Theory and Evidence。Journal of Finance，54(1)，237-268。  new window
2.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance，52(1)，35-55。  new window
3.Devenow, A.、Welch, I.(1996)。Rational Herding in Financial Markets。European Economic Review，40，603-616。  new window
4.Granger, C. W. J.(1969)。Investigating causal relations by econometric model and cross-spectral methods。Econometrica，37(3)，24-36。  new window
5.Froot, Kenneth A.、Scharfstein, David S.、Stein, Jeremy C.(1993)。Risk Management: Coordinating Corporate Investment and Financing Policies。Journal of Finance，48(5)，1629-1658。  new window
6.Engle, R. F.、Granger, C. W. J.(1987)。Co-intergration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
7.Lan, Yu-Wei、Lin, Dan、Lin, Lu(2015)。Cointegration analysis of tourism demand by mainland China in Taiwan and stock investment strategy。Journal of Economic and Financial Studies，3(5)，1-9。  new window
8.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。The Journal of Finance，45(2)，375-395。  new window
9.Johansen, S.、Juselius, K.(1990)。Maximum likelihood estimation and inference on cointegration with applications to demand for money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
10.Granger, C. W. J.(1988)。Some recent development in the concept of causality。Journal of Econometrics，39，199-211。  new window
11.Black, Fischer(1986)。Noise。The Journal of Finance，41(3)，529-543。  new window
12.Kim, W.、Wei, S. X.(2002)。Offshore Investment Funds: Monsters in Emerging Market。Journal of Development Economics，68(1)，205-224。  new window
13.Lan, Yu-Wei、Lin, Dan、Lin, Lu(2014)。How to Invest Safely in Emerging Country during Global Financial Crisis: A Case Study of Taiwan。Global Journal of Management and Business Research，14(4)，1-15。  new window
14.Sias, R.、Straks, L.、Titman, S.(2001)。The Price Impact of Institutional Trading。Journal of Financial Economics，61，289-307。  new window
15.Welch, I.(2000)。Herding among Security Analysis。Journal of Financial Economics，58(3)，369-396。  new window
16.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
17.Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review，85(5)，1088-1105。  new window
18.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics，32(1)，23-43。  new window
19.Christie, William G.、Huang, Roger D.(1995)。Following the pied piper: Do individual returns herd around the market?。Financial Analysts Journal，51(4)，31-37。  new window
圖書
1.Williams, Larry(1999)。Long-term Secrets to Short-term Trading。John Wiley & Sons。  new window
 
 
 
 
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