臺灣博碩士論文加值系統

本研究以Jagadeesh and Titman(1993) 所提出的動能投資策略下的動能獲利當作
市場效率之指標，並以中國市場A、B股差異與金融海嘯事件之特點，研究投資人
類別、投資人集合大小及金融海嘯對市場價格效率影響。
本研究發現結果有4:
1.A股市場具有顯著的反轉現象，B股市場並無顯著的動能或反轉現象。
2.B股市場的價格效率優於A股市場。
3.投資人集合大小不影響市場價格效率。
4.A股市場及B股市場，非金融海嘯期間之價格效率優於金融海嘯期間。

This research aims to explore whether investors types, pool of investors, and financial crisis would affect the market price efficiency. Based on the theory of Jagadeesh and Titman(1993), this research used the profits of momentum strategy as market price efficiency indicators.
The results of this research found that there are four:
1. A-share market has a significant reversal phenomenon, B-share market has no significant momentum or reversal phenomenon.
2. B-share market price efficient than A-share market.
3. Pool of investors does not affect the market price efficiency.
4.The period of non-financial crisis’s price efficient than the period of financial crisis in A-share market and the B-share market

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 5
第二章 文獻探討與假說發展 7
第一節 市場價格效率性與價格動能及反轉現象 7
第二節 中國股市與市場價格效率 10
第三節 投資人類別對市場價格效率之影響 13
第四節 投資人集合之大小對市場價格效率之影響 17
第五節 金融海嘯對市場價格效率之影響 19
第三章 研究方法 22
第一節 資料描述 22
第二節 實證模型設定及變數定義 22
第四章 實證結果分析 27
第一節 投資人類別與市場價格效率之影響 27
第二節 投資人集合之大小對市場效率之影響 40
第三節 金融海嘯對市場效率之影響 48
第五章 結論與建議 75
第一節 結論 75
第二節 建議 77
參考文獻 78

李春安、羅進水、蘇永裕，2006，動能策略報酬、投資人情緒與景氣循環之研究，財務金融學刊，第14卷第2期，73-109頁。
周賓凰、池祥萱、周冠男、龔怡霖， 2001， 行為財務學: 文獻回顧與展望，證券市場發展季刊, 第14卷第2期， 1-48頁。
楊淑琳、陳獻儀、游智賢，2006，交易強度、機構持股與交易投資人之交易行為，財務金融學刊，第14卷第2期，41-72頁。
詹場、謝俊魁，2012，上海、台灣及深圳股市交易成本之比較，2012台灣財務金融研討會。
Anand, A., Irvine, P., Puckett, A., and Venkataraman, K., 2013, Institutional trading and stock resiliency- Evidence from the 2007–2009 financial crisis, Journal of Financial Economics 108, 773-797.
Bachelier, L., 1900, Théorie de la speculation, Annales Scientifiques de L’École Normale Supérieure 17, 21 -86.
Badrinath, S. G., and Wahal, S., 2002, Momentum Trading by Institutions, Journal of Finance 57, 2249-2478.
Baker, K., and Haslam, J., 1973, Information Needs of Individual Investors, Journal of Accountancy 136, 64-69.
Belhoula, M., and Naoui, K., 2011, Herding and Positive Feedback Trading in American Stock Market: A Two Co-directional Behavior of Investors, International Journal of Business and Management 6, 244-252.
Berger, A., N., and Bouwman, C., H. S., 2013, How does Capital Affect Bank Performance during Financial Crises, Journal of Financial Economics 109, 146-176.
Chan, K. C., Cheng, T. W., and Fung, K. W., 2001, Ownership Restrictions and Stock-price Behavior in China, The Chinese Economy 34, 29-48.
Chan, K., Menkveld, A. J., and Yang, Z., 2008, Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount, Journal of Finance 63,159-196.
Cheema, M. A., and Nartea, G. V., 2013, Momentum Returns, Market States and the 2007 Financial Crisis, SSRN: http://ssrn.com/abstract=2229114.
Chen, G., Lee, B. O., and Rui, O. M., 2001, Foreign Ownership Restrictions and Market Segmentation in China’s Stock Markets, Journal of Financial Research 24, 133-155.
Chen, X., Kim, K. A., Yao, T., and Yu, T., 2010, On the Predictability of Chinese Stock Returns, Pacific-Basin Finanace Journal 18,403-425.
Chui, A., C. W., Titman, S., and Wei, K. C., J., 2010, Individual and Momentum Around the World, Journal of Finance 65, 361-392
Cooper, M. J., Gutierrez JR, R. C., and Hameed, A., 2004, Market States and Momentum, Journal of Finance 59, 1345-1365.
Daniel, K., 2011, Momentum Crashes, SSRN: http://ssrn.com/abstract=1914673.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998, Investor Psychology and Investor Security Market Under-and Overreactions, Journal of Finance 53, 1839-1886.
De Bondt, W. F. M., and Thaler, R., 1985, Does the Stock Market Overreact?, Journal of Finance 40,793-805.
De Bondt, W. F. M., and Thaler, R., 1987, Further Evidence of Investor Overreaction and Stock Market Seasonality, Journal of Finance 42, 557-581.
Fama, E. F., 1970, Efficient Capital Markets: A Review of Theory and Empirical, Journal of Finance 25, 383-417.
Fama, E. F., and French, K. R., 1993, Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics 33 , 3-56.
Griffin, J. M., Ji, X., and Martin, J. S., 2005, Global Momentum Strategies, Journal of Portfolio Management 31, 23-39.
Griffin, J. M., Ji, X., Martin, J. S., 2003, Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, Journal of Finance 58, 2515-2547.
Grinblatt, M., and Keloharju, M., 2000, The Investment Behavior and Performance of Various Investor Types: A study of Finland’s Unique Data set, Journal of Financial Economics 55, 43-67.
Grinblatt, M., Titman, S., and Wermers, R., 1995, Momentum Investment Strategies, Portfolio Performance and Herding: A Study of Mutual Fund behaviour, American Economic Review 85, 1088-1105.
Hameed, A., Kusnadi, K., 2002, Momentum Strategies: Evidence from the Pacific Basin Stock Markets, Journal of Financial Research 25, 383-397.
Hoffmann, A, O. I., Post, T., and Pennings, J., M. E., 2013, Individual Investor Perceptions and Behavior during the Financial Crisis, Journal of Banking & Finance 37, 60-74.
Hong, H., and Stein, J. C., 1999, A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets, Journal of Finance 54, 2143-2184.
Hong, H., T. Lim, and J., C. Stein, 2000, Bad News Travels Slowly Size, Analyst Coverage, and the Profitability of Momentum Strategies, Journal of Finance 55, 265-295.
Jagadeesh, N., 1990, Evidence of Predictable Behavior of Security Returns, Journal of Finance 45, 881-898.
Jagadeesh, N., and Titman, S., 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.
Jagadeesh, N., and Titman, S., 1995, Short-Horizon Return Reversals and the Bid-Ask Spread, Journal of Financial Intermediation 4, 116-132.
Kang, J., Liu, M. H., and Ni, S. X., 2002, Contrarian and Momentum Strategeies in the China Stock Market: 1993-2000, Pacific-Basin Finanace Journal 10, 243-265.
Lakonishok, J., Shleifer, A., and Vishny, R., 1992, The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics 32, 23-43.
Lang, M. H., and Lundholm, R. J., 1996, Corporate Disclosure Policy and Analyst Behavior, Accounting Review 71, 467-493.
Lehmann, B. N., 1990, Fads, Martingales and Market Efficiency, Quarterly Journal of Economics 105, 1-28.
Lo, A., and MacKinlay, C., 1990, When Are Contrarian Profits due to Stock Market Overreaction?, Review of Financial Studies 3, 175-205.
Ng, L., and Wu, F., 2007,The Trading Behavior of Institutions and Individuals in Chinese Equity Markets, Journal of Banking and Finance 31, 2695-2710.
Nofsinger, J. R. and Sias, R. W., 1999, Herding and Feedback Trading by Institutional and Individual Investors, Journal of Finance 54, 2263-2295.
Nofsinger, J. R., 2001, The Impact of Public Information on Investors, Journal of Banking and Finance 25, 1339-1366.
Pan, L., Tang, Y., and Xu, J., 2013, Weekly Momentum by Return Interval Ranking, Pacific-Basin Finance Journal 21, 1191–1208.
Pan, M. S., 2003, Sources of Winner-Loser Effects in National Stock Markets, Working Paper.
Rouwenhorst, K. G., 1998, International Momentum Strategies, Journal of Finance 53, 267-284.
Scharfstein, D. S., Stein, J. C., 1990, Herd Behavior and Investment, American Economic Review 80, 465-479.
Schuppli1, M., and Bohl, M., T., 2010, Do Foreign Institutional Investors Destabilize China’s A-Share Markets?, Int. Fin. Markets, Inst. and Money 20, 36-50.
Wang, C. Y., 2004, Relative Strength Strategies in China’s Stock Market: 1994-2000, Pacific-Basin Finance Journal 12, 159-177.
Yung , C., C- olak , G., and Wang, W., 2008, Cycles in the IPO market, Journal of Financial Economics 89, 192- 208.
Zhang, C. S., Zhang, D. Y., and Breece, J., 2011, Financial Crisis, Monetary Policy, and Stock Market Volatility in China, Annals of Economics and Finance 12, 371-388.