臺灣博碩士論文加值系統

近年來許多實證研究發現人的行為對於資產價格產生影響，因此投資決策時必需將投資人的心理因素加入考量。其中投資人會跟隨其他投資人之決策，進行相同方向的投資，此為從眾行為。過往的從眾行為研究集中股票市場的從眾行為，本文檢驗期貨市場中的從眾行為。
本文根據台灣期貨交易所中日內(intraday)交易紀錄。實證發現自營商的確於當日(Daily)時存在從眾行為，但是在日內(intraday)時並未發生於上午11：30~12:30時段；而績效為負的自營商於該時段出現反向操作行為，進行相反方向的買入(賣出)。

The impact on asset’s price of human behavior receives lots of attention. In making investment decisions, the consideration of mental factors is significant. One of these important mental factors considered in this study is “Herding behavior”. The aim of this study is to examine the motivation behind herding behavior exhibited by future floor traders.
The data we use is intraday and from the records of Taiwan Futures Exchange (TFE). The finding of our empirical analysis shows that floor traders exhibit herding behavior in daily trading period, however, such behavior disappears in period at AM11:30 to PM12:30 section. Further, The floor traders of negative performance show the opposite direction trading behavior, exhibit the different buying(selling) trade.

摘要 i
abstract ii
目錄 iv
第壹章、緒論 1
第貳章、文獻探討 3
第一節、產生從眾行為的原因 3
第二節、從眾行為的實證文獻 4
第參章、資料與研究方法 6
第一節、資料描述 6
第二節、自營商的從眾行為 7
第肆章、實證結果與分析 11
第一節、敘述統計 11
第二節、Intraday herding behavior 12
第三節、Daily herding behavior 檢驗 26
第四節、實證分析 28
第伍章、結論與建議 30
參 考 文 獻 31
附錄 35

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