臺灣博碩士論文加值系統

本研究之目的為檢視台灣股票市場中自營商、投信基金、外資及自然人四類投資人群聚現象特性，並分析股票特性、過去報酬與各類投資人群聚行為之關係，再利用向量自我相關迴歸(VAR)與 Granger 因果關係觀察各類投資人間群聚行為領先落後關係。本研究利用逐筆委託單與成交單資料以及採用Patterson and Sharma(2005)所提出的Bootstrapped runs test檢定日與日內群聚現象。實證結果顯示，各類投資人日內大致沒有顯著之群聚行為，日之群聚現象則只有外資較為顯著。
各類投資人群聚行為與股票特性關係部分，外資與自然人無論日與日內在市值較大、股票週轉率較高、市價淨值比較低之群組，有顯著之群聚行為；自營商日內群聚在高市價淨值比之群組顯著，其餘則是與投信基金相同皆無特別在某種特性之股票有群聚現象。各類投資人群聚行為與過去報酬之關係部分，日與日內結果大致相同，自營商沒有特別在某一群組顯著，投信基金群聚行為在過去報酬較低之群組顯著，外資則是在過去報酬較高之群組顯著，自然人在過去報酬較低與較高之群組顯著。
最後，由 VAR 與因果關係可以發現，外資與投信基金之群聚行為領先自然人之群聚行為。

We analyze whether Security Dealers,Mutual funds, Foreign Investors and Individual Investors are engaged in herding behavior in Taiwan stock market. Besides, we examine the daily and intraday relationship between characteristics of stocks and herding behavior of investors.Lastly,we use VAR and Granger Causality to detect whether leading or not of the behavior of herding for different types of investor.We use high frequency intraday data and employ the measure of herding by Patterson and Sharma(2005)to observe investors'' herding behavior.We find that all investors do not have herding behavior in intraday,but Foreign Investors have herding behavior in daily.
In characteristic of stocks, Foreign Investors and Individual Investors are heavily engaged in trading high capitalization stocks, high turnover stocks and low Price-Book Ratio stocks in intraday and daily. Security Dealers are similar to Mutual funds except that Security Dealers are heavily engaged in trading high Price-Book Ratio stocks in intraday.In past return,intraday results are similar to daily for different types of investors. Security Dealers are unapparent that they use herding in some past return quintile.Mutual funds use more herding in low past return quintile than high past return quintile and Foreign Investors are opposite to them.Individual Investors are heavily engaged in trading the lowest and the highest past return quintiles.
In addition, by VAR and Granger causility tset,We find the herding behavior of Foreign Investors and Mutual fund lead by Individual Investors.

目錄
表目錄...................................................vi
第一章 緒論.............................................1
第一節 研究動機與背景.................................1
第二節 研究目的.......................................6
第三節 研究架構.......................................7
第四節 研究流程.......................................8
第二章 文獻回顧.........................................9
第一節 群聚行為理論...................................9
第二節 不同類型投資人群聚行為之相關實證研究...........14
第三節 群聚行為對股價之影響...........................20
第三章 研究方法.........................................22
第一節 資料來源.......................................22
第二節 研究期間與樣本選取之標準.......................25
第三節 資料處理.......................................28
第四章 實證結果與分析...................................33
第一節 樣本敘述統計...................................33
第二節 各類投資人群聚行為分析.........................35
第三節 各類投資人群聚現象與股票特性之關聯.............36
第四節 各類投資人群聚行為與過去報酬之關係.............43
第五節 各類投資人之間日內群聚行為領先落後關係.........45
第五章 結論與建議.......................................48
第一節 研究結論.......................................48
第二節 對後續研究之建議...............................50
參考文獻.................................................51
附錄.....................................................55
表目錄
【表1-1】集中交易市場成交金額投資人類別比例表............5
【表1-2】集中交易市場投資法人交易概況表..................5
【表3-1】成交檔資料格式..................................24
【表3-2】委託檔資料格式..................................24
【表3-3】各類投資人日內群聚之樣本數......................27
【表4-1】各類投資人日內委託買進與賣出筆數................34
【表4-2】各類投資人日內群聚行為之敘述統計量..............34
【表4-3】各類投資人日群聚行為之敘述統計量................34
【表4-4】各類投資人日與日內群聚值........................35
【表4-5】各類投資人日與日內群聚值與市值之關係............38
【表4-6】各類投資人日與日內群聚值與股票週轉率之關係......40
【表4-7】各類投資人日與日內群聚值與市價淨值比之關係......42
【表4-8】各類投資人日內群聚值與過去報酬之關係............44
【表4-9】各類投資人日群聚值與過去報酬之關係..............44
【表4-10】各類投資人日內群聚行為VAR 分析結果.............47
【表4-11】各類投資人日內群聚行為Granger 因果關係檢定結果.47

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