台灣股票市場從眾行為之研究__臺灣人文及社會科學引文索引資料庫

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題名：	台灣股票市場從眾行為之研究
作者：	洪福彬
作者(外文)：	Fu-Pin Hung
校院名稱：	大葉大學
系所名稱：	管理研究所博士班
指導教授：	陳君達
學位類別：	博士
出版日期：	2009
主題關鍵詞：	從眾行為；狀態空間模型；行為財務；Herding Behavior；State Space Model；Behavior Finance
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:33

本文旨在探討台灣上市股票市場散戶投資人的從眾行為，樣本期間為1996年1月1日至2007年12月31日的日資料，利用系統風險離散程度作為投資人的從眾指標。實證結果顯示，台灣股票市場散戶投資人具有明顯的從眾行為。進一步探討影響散戶投資人從眾之因素可發現，散戶投資人在進行投資時，除了會依據股票報酬、股票報酬波動性、股票週轉率與外資持股比例之高低調整其投資行為外，公司規模與市場價值比亦會影響散戶投資人的交易行為。當公司規模愈小之股票，從眾行為則愈顯著，而公司規模較大者，則出現正(同)向的從眾交易行為。同時經濟景氣與否(如1997年亞洲金融風暴、股市的多空頭)與股票市場自由化的變革(如外國專業投資機構制度之解除)，亦會顯著影響散戶投資人的從眾行為。研究另發現，2000年與2004年二次總統選舉期間，散戶投資人亦出現顯著的從眾行為。值得一提的是，當考慮股票市場結構變化時，發現股票市場結構改變後的從眾行為高於股票市場結構改變前。

以文找文

In this paper we use daily data from January 1, 1996 to December 31, 2007 to in-vestigate individual investors’ herding behavior by the cross-sectional dispersion of systematic risk (beta) in Taiwan’s stock market. The empirical results show that indi-vidual investors do have apparent herding behavior in Taiwan’s stock market. We fur-ther analyze the factors which could cause the individual investors herding behavior and find that besides the stock return, the volatility of stock return, the stock turnover rate, and the foreign investor’s shareholding ratio, the individuals might also adjust their in-vestment strategies by firm size and BE/ME ratio. The stocks with smaller firm sizes re-flect more significant herding behavior and there is positive herding behavior in the stocks of larger firms. In addition, the business cycle (such as the 1997 Asian financial crisis, bullish/bearish stock market), stock market liberalizations (such as the removal of Qualified Foreign Institutional Investors), and the presidential elections would also generate and affect herding behavior. It is noteworthy that there is a stronger herding behavior after the structural change of the stock market than before the structural change

以文找文

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