臺灣博碩士論文加值系統

本研究利用Sias(2004)的從眾指標，以1999年至2012年期間的季交易資料為樣本，分析美國三大交易所NYSE、AMEX、NASDAQ中，機構投資人的從眾行為，且將其拆解為「追隨本身」與「追隨其他機構」買進或賣出相同證券，再加入動能交易探討其與機構投資人從眾行為的關係，並分析買進比例對證券未來報酬的影響，以及探討從眾行為與情緒指標間的關聯性。
實證結果顯示，機構投資人確實存在追隨本身以及追隨其他機構買進或賣出相同證券的行為，即機構投資人間存在從眾行為。在不限制被幾間機構投資人交易下(即只要有被交易的證券就納入樣本)，迴歸係數來自「追隨本身」過去的買賣行為的比例，大於來自「追隨其他機構」的比例。且機構投資人買進比例較高及較低的證券，為主要影響機構投資人從眾行為的部分。
加入上個季別的證券報酬率，結果顯示動能交易確實存在機構投資人的從眾行為中，但本季買進比例受到前季別的買進比例影響較為強烈，反觀受到前季別報酬的影響則較小。且實證結果顯示，不論在最小平方法下，亦或是各個分量迴歸時，機構投資人前季的買進比例，與本季證券的報酬率皆呈現負相關。
最後，再進一步探討從眾行為與情緒指標間的關聯性，結果顯示ICS及UMCSENT與「追隨本身」占迴歸係數的比例皆為正向的顯著相關，即市場整體狀況佳、市場消費者信心指數增加時，機構投資人會趨向追隨本身過去的交易策略作投資；而此兩指標與「追隨其他機構」占迴歸係數的比例呈現負向顯著相關。

This paper examines the herding behavior on Sias measurement. We analyze the herding behavior of institutional investors in top three exchanges for all NYSE, AMEX, and NASDAQ stocks. Institutional ownership data are quarterly from March 1999 through September 2012. The cross-sectional correlation can be directly decomposed into the portion that result from following their own trades and the portion that result from following other institutional investor's trades. Second, we examines the relationship between momentum strategy and herding behavior of institutional investors. Third, we examine how the institutional demand affect the future return of securities. Finally, we analyze the relationship between herding behavior and sentiment indicators.
The empirical result are as follow：the results reveal that institutional investors follow themselves and each other into and out of the same securities over the period of time (herd). Restricting the sample to securities with at least one institutional traders, yields the ratio of cross-sectional correlation from following their own trades are greater than the ratio from following other institutional investor's trades. The larger and smaller portion of institutional demand are the major part to affect the herding behavior of institutional investors.
We add lag return as a standardized independent variable. The results reveal that institutional momentum trading may result from institutional herding. And institutions' demand is much more strongly related to their own lag demand than lag returns. No matter what measurement we use, OLS or quantile regression, we find prior-quarter institutional demand is negatively correlated with returns.
Finally, we further explore the association between herding behavior and sentiment indicators. The results reveal that ICS and UMCSENT are positively correlated with "following their own" accounted for the proportion of regression coefficient (statistically significant). That is, when increasing in consumer confidence index, institutional investors will tend to follow their own past trading strategy for investment； While these two indicators are negatively correlated with "following other institution" accounted for the proportion of regression coefficient.

摘 要 i
Abstract ii
目 錄 iii
表目錄 iv
圖目錄 v
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻回顧 4
第一節 從眾行為的定義與理論 4
第二節 從眾行為的實證與研究 6
第三節 分量迴歸法 8
第三章 資料及研究方法 10
第一節 資料來源及研究期間 10
第二節 樣本選取標準 10
第三節 研究方法 12
第四章 實證結果分析 16
第一節 從眾行為的實證分析 16
第二節 依買進比例分群後的從眾行為 20
第三節 動能交易與機構投資人的從眾行為 21
第四節 買進比例對未來報酬的影響 26
第五節 從眾行為與情緒指標間的關聯性 28
第五章 結論與建議 32
第一節 研究結論 32
第二節 研究建議 33
參考文獻 34
附錄 37

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