臺灣博碩士論文加值系統

本研究有鑒於目前關於群聚交易現象之研究，大多以季或月之交易資料進行分析，但投資人的群聚交易多半於一、兩日內形成完畢，若以季或月之資料並無法準確地衡量各類投資人的群聚行為，而本研究因取得國內某知名券商資料，而其涵蓋從1998年到2001年9月的交易資料明細。故本研究得以每日交易資料為基礎並且連結不同投資人屬性以及股票屬性，觀察投資者群聚交易的行為。而所得實證結果如下：
首先，在全部樣本期間內，個別投資者確實存有群聚交易的現象，但是群聚的程度較先前文獻所發現的結果小。實證結果也顯示，群聚買入的現象是高於群聚賣出的現象。
其次，本研究發現，男性及線上交易投資人群聚交易行為比起女性和傳統交易投資人顯著的低，也就是過度自信愈高的投資人其群聚交易的行為似乎愈不明顯，亦即過度自信和群聚交易似乎呈現負向的關係。
然而，經由對於股票屬性進行不同面向切割後，得出個別投資者偏好買和賣過去表現佳的類股，進而群聚交易。並且，關注於大型及成長型類股，而產生群聚交易的行為。因此，代表性啟發偏誤、關注效果和錯置效果似乎是驅動群聚行為的主要因素。最後，觀察群聚交易後其後續報酬的表現，發現個別投資者不管是在買入或是賣出行為上似乎都做出不正確的決策。

The analyses of herding evidenced in literature were conducted in annually, quarterly, at best, monthly basis. None of them were daily based. It is improper to argue a herd when trades taking places with lag of a couple of months. In this study we obtained a dataset provided by a renowned brokerage house covering daily trading records of individual investors in January 1998 through September 2001, which allows us to investigate individual herding on a daily basis and connect herding to individual characteristics and stock attributes. Our empirical results are summarized as follows.
First of all, individual investors do demonstrate herding while to a lower degree than previous literatures. Herding on the buy side is higher than that on the sell side.
Secondly, we discover that male and on-line investors have a lower tendency to trade on herds than female and traditional investors, respectively. This phenomenon is reconciled with the overconfidence argument that overconfident investors are less likely to follow the herds.
Furthermore, in the connection of herding with stock attributes, we find that individual investors prefer to buy herd and sell herd on stocks with strong past return. They also pay attention on large and growth stocks and have a higher herding measure on these stocks. We elucidate the finding with the representative heuristic argument, attention-grabbing effect, and disposition effect. Finally, the subsequent returns of herding indicate that individual herding is suboptimal.

目錄Ⅰ
圖目錄Ⅱ
表目錄Ⅲ
第壹章、緒論1
第ㄧ節、研究背景與動機1
第二節、研究目的3
第貳章、文獻探討5
第ㄧ節、群聚行為定義5
第二節、機構投資者的群聚行為6
第三節、群聚行為之驅動因素8
第四節、個別投資者群聚行為14
第五節、群聚行為對股票報酬與波動性影響16
第参章、研究設計18
第ㄧ節、研究假說18
第二節、資料來源21
第三節、研究方法21
第肆章、實證結果25
一、樣本敘述統計值25
二、群聚行為結果28
三、不同個別投資人屬性下群聚行為31
四、不同股票屬性下群聚行為34
五、橫斷面迴歸結果37
六、買入與賣出強度分群之日後報酬結果39
第伍章、結論與建議42
第一節、研究結論42
第二節、研究建議44
第三節、研究限制44

参考文獻45
附錄51

圖目錄
附錄C、買入強度分群之超額報酬結果53
圖C-1、原始超額報酬53
圖C-2、市場調整超額報酬53
附錄D、賣出強度分群之超額報酬結果54
圖D-1、原始超額報酬54
圖D-2、市場調整超額報酬54
表目錄
表1-1、投資人類別交易比重2
表4-1、樣本敘述統計值7
表4-2、群聚行為結果-包含全部樣本、年以及月的統計分析30
表4-3、不同個別投資人屬性下平均群聚指標結果33
表4-4、不同股票屬性下平均群聚指標結果36
表4-5、橫斷面迴歸結果38
表4-6、買入與賣出強度分群之日後報酬結果41
附錄A、買入強度分群之日後超額報酬結果51
表A-1、原始日後超額報酬51
表A-2、市場調整超額報酬51
附錄B、賣出強度分群之日後超額報酬結果52
表B-1、原始日後超額報酬52
表B-2、市場調整超額報酬52

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