臺灣博碩士論文加值系統

本研究探討中國上海與台灣股票市場於2010至2016年間，從眾行為是否對產業動能策略產生影響，以上證180指數成分股、台灣50指數和台灣中型100指數成分股為樣本，並將各產業分成四類：贏家從眾、贏家反從眾、輸家從眾及輸家反從眾。實證結果發現，從眾與反從眾對於贏家產業之動能報酬影響大於輸家產業。其次，不論是贏家產業或是輸家產業，大都是反從眾的報酬/損失優於從眾的報酬/損失。在所有投資組合中，贏家反從眾向大盤組持有一個月的報酬最高。最後，根據零成本投資組合報酬分析，以從眾與反從眾結合贏家與輸家產業所創造出來的動能報酬，台灣市場顯著優於中國市場。

This study explores the herding behavior on the industry momentum effect, using the constituents of SSE180 Index, Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2010 to 2016 as an example. And the industries are divided into four categories: winner/loser industries of herding/anti-herding. The results indicate that, at first, the herding/ anti-herding behavior has more influence in the winner industry than the loser industry. Second, the profitability of industry momentum strategies depends on the level of herding in an industry. The industries of anti-herding, no matter they are winner or loser industries, yield significantly higher subsequent returns than the industries of herding. Third, the winner industries with anti-herding behavior generate the highest return during subsequent 1 month. Finally, the asymmetry in the relationship between herding and momentum returns is in fact the driving factor behind profitable, zero-cost momentum strategies and suggests that the level of herding in an industry must be considered in the implementation of industry momentum strategies in Taiwan stock market.

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 4
第四節 研究流程 5
第二章 文獻探討 6
第一節 從眾行為與動能 6
第二節 產業從眾 9
第三章 研究設計 10
第一節 數據 10
第二節 研究方法 11
第三節 投資組合的建構及步驟 12
第四章 實證結果與分析 15
第一節 研究期間與樣本說明 15
第二節 實證結果 15
第五章 結論與建議 48
第一節 結論 48
第二節 建議 48
參考文獻 49
附錄 53

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