中 文 摘 要
本研究之目的在探討台灣股票市場上外資、共同基金、自營商及散戶等四類投資人群聚交易之特性，並分析股票特性及回饋交易策略與各類投資人群聚行為之關聯性。本研究依據投資人日內委託單及成交單資料，及利用Lakonishok et al.(1992) 之群聚指標來衡量投資人的群聚行為。
實證顯示研究期間內，機構投資人（外資、共同基金及自營商）確實存在群聚交易現象，並以共同基金的群聚程度最為強烈，應是由於代理問題所導致，而散戶的群聚行為則較不明確。
在探討各類投資人群聚行為與股票特性之關聯性部分，本研究採市值、成交筆數及負債淨值比三項股票特性變數，除探究股票特質之個別效果外，並針對機構投資人採用線性迴歸及logistic迴歸予以檢視。研究結果顯示外資與自營商的群聚交易行為會集中於小型股；機構投資人的群聚程度在成交筆數少的股票較為強烈；而共同基金則對負債淨值比高之個股的群聚現象較明顯。
關於投資人之群聚交易是否肇因於採取回饋交易策略方面，本研究觀察四類資人之群聚值與前期股價報酬及買賣交易差額三者間之關係，結果顯示外資及自營商乃是因採行回饋交易策略而促使群聚交易現象的發生，至於在共同基金及散戶並無發現其群聚行為與回饋交易策略之運用具明顯的關聯性。
綜上所述，本研究推論外資之群聚行為主要是因猜測他人交易之訊息及運用正向回饋策略所導致；至於共同基金的群聚現象受代理問題的影響最大；自營商則容易去觀察同業間之交易內涵並加以跟隨，加上採行反向回饋交易策略亦會提高群聚行為之程度。

目 錄
論文摘要
表目錄
圖目錄
第壹章　緒 論 1
第一節　研究動機與目的 1
第二節　研究問題 6
第三節　研究架構 7
第貮章　文獻探討 8
第一節　群聚交易行為的理論發展 8
第二節　群聚交易行為對股價之影響 13
第三章　研究方法 21
第一節　資料來源 21
第二節　研究期間與樣本選取標準 22
第三節　資料處理與變數衡量 24
第四節　研究模式 29
第肆章　實證結果與分析 38
第一節　敘述性統計 38
第二節　各類投資人之群聚交易行為 39
第二節　各類投資人群聚行為與股票特性之關聯性 43
第四節　各類投資人群聚行為與回饋交易策略之關聯性 49
第伍章　結論與建議 53
第一節　研究結論 53
第二節　研究貢獻 55
第三節　研究限制 56
第四節　研究建議 56
參考文獻 76

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