臺灣博碩士論文加值系統

本文藉由各投信公司旗下基金的持股來觀察公司的特質與基金群集行為的關聯。文中將投信特質分為外商股東持股比例與年代背景兩種，研究期間為民國84月1月~89年9月，共69個月， 全樣本包含15家投信，共45支基金,並以電子類股市場的持股為觀察對象。採用Lakonishok, Shleifer 與 Vishny (1992) 與Grinblatt, Titman & Wemmers (1994) 所提出的群集指標UHM, SHM, FHM及經本文修改後的FHMt來衡量總體群集現象與投信正逆向操作的關係。
經實證結果發現：
1. 在總體電子類股上有群集行為。
2. 總體投信族群皆有平均逆向操作的群集行為。
3. 外資持股比例對投信旗下基金群集行為沒有顯著影響，年代背景對投 信旗下基金群集行為略有影響。
4. 在總體群集現象明顯增減期間，外資持股比例高低水準不同的投信多有明顯操作上的反應，但兩者的操作策略沒有明顯差異。

In this research we study the relationship between the characteristics of fund management corporations and the herding effect which they make on Taiwan electrical security market. Two different characteristics of the fund management corporations are discussed in this study. The first characteristic we concern about is the foreign share of fund management corporations which is distinguished to “high ratio” and “low ratio”. The other characteristic we focus on is the established periods of fund management corporations which is classified to “the first generation” and “the second generation”.
The study period of our research totally endures 68 months crossing from January of 1995 to September of 2000. The samples we survey include 15 fund management corporations, 45 funds, and the related electrical stocks of Taiwan security market. We apply UHM ( Lakonishok & Shleifer & Vishy , 1992), SHM, FHM (Grinblatt & Timan & Wemmers, 1994), and FHMt (modified by our research) to evaluate the herding behavior and the investment strategy tended to be “with the herding” or “against the herding”.
Finally, we have the following results:
1.There exists significant herding behavior of all funds on the Taiwan electrical Security market.
2.The investment strategies all groups of funds took are significantly against the herd in the whole study period..
3.In the study period, there exists no herding effect for “foreign share” characteristic but little herding effect for “established period” characteristic.
4.In the specific period of greatest herding variation, the funds of “high ratio” and “low ratio” respond to their investment strategies significantly and the reactions of these two groups exist no significant difference.

目　錄
中文摘要 …………………I
英文摘要 ………………… II
誌謝 …………………III
目錄 …………………IV
圖目錄 …………………VI
表目錄 …………………VII
第一章　緒論
1.1 研究背景與動機 …………………. 1
1.2 研究範圍與目的 …………………. 6
1.3 研究流程 …………………. 6
1.4 研究限制 …………………. 6
1.5 論文架構 ………………… 7
第二章　文獻探討
2.1　相關的群集行為理論 ………………… 9
2.2　群集現象的測度 …………………12
2.3　文獻彙總 …………………15
第三章 　研究設計　
3.1　研究範圍與樣本 ..………………17
3.2 研究假說 ………………..18
3.3 研究與檢定方法 ………………..21
第四章 實證結果與分析
4.1　市場的買賣群集行為 ………………..33
4.2　個別特質投信的群集行為 ………………..36
4.3　特殊期間的策略分析 .………………..41
第五章 結論與建議 .………………..44
參考文獻 ……………….46
附 錄 頁 次
附錄一 ………………..49
附錄二 ………………..53
附錄三 ………………..61
附錄四 ………………..63
附錄五 ………………..64

中文部分
[1]羅峻松(民八六)，「共同基金群集行為之研究」，台灣科技大學管理技術研究所碩士論文。
[2]羅巧紋(民八七)，「共同基金慣性投資策略、從眾行為與操作績效關係之研究」，輔仁大學管理學研究所碩士論文。
[3]陳世杰(民八七)，「台灣股票市場群集行為與追逐效果之研究」，台灣科技大學管理技術研究所碩士論文
[4]林鼎傑(民八七)，「共同基金排名效果對基金經理人最適薪資的影響-代理問題的探討」，台灣大學國際企業學研究所碩士論文。
[5]郭效佩(民八八)，「共同基金群集行為及其對股價之影響研究」，朝陽技術學院財務金融研究所碩士論文。
[6]陳忠慶、吳正治等，「Smart 雜誌」(民八七.九月)，創刊號，頁150-182。
[7]顏瑞秀(民八六)，「經理人過去績效與投資組合策略長期分析」，台灣大學財務金融研究所碩士論文。
[8]曾少芳(民八六)，「國內股票型基金風格與績效持續性之研究」，台灣大學財務金融研究所碩士論文。
英文部分
[9] Banerjee, A. [1992], “A Simple Model of Herd Behavior.” Quarterly Journal of Economics, Vol.108, No.3, pp. 797-817.
[10] Bikhchandani,S. and Hirshleifer,D and Welch,I. [1992] , “A Theory of Fads, Fashion, Custom, and Cultural Change as Information Cascades” Journal of Potential Economics, Vol.100 No.5, pp. 992-1026.
[11] Froot,K.A. and Scharfstein,D.S. and Stein J.C. [1992], “Herd on the Street: Information Inefficiencies in a Market with Short-Term Speculation”Journal of Finance, Vol.47, No.4, pp. 1461-1481.
[12] Grinblatt, M and Titman, S and Wemmers, R. [1994], “Momentum Investment Strategies, Portfolio Performance, and Herding:A Study of Mutual Fund”, American Economic Review, Vol.85, No.4, pp. 1089-1105.
[13] Hirsheleifer,D and Subrahmanyam A. and Titman,S. [1994], “Security Analysis and Trading Patterns When Some Investors Receive Information before Others, Journal of Finance, Vol.49, No.5, pp.1665-1698
[14] Lakonishok, J and Shleifer ,A and Thaler.R.H and Vishny, R.W.[1991] ,“Window Dressing by Pension Fund Managers” American Economic Review, Vol.81, No.2, pp. 27-31.
[15] Lakonishok, J and Shleifer ,A and Vishny, R.W.[1992] ,“The Impact of Institutional and Trading on Stock Price” Journal of Financial Economics, Vol.32, No.1, pp. 23-44.
[16] Scharfstein,D.S. and Stein J.C. [1989] “Herd Behavior and Investment”The American Economic Review, Vol. 80, No.3, pp. 465-479.
[17] Wemmers,R. [1999], “Mutual Fund Herding and Impact on Stock Prices” Journal of Finance , Vol.54, No.2, pp. 581-621.