(3.236.228.250) 您好!臺灣時間:2021/04/13 13:10
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:梁鳳玲
研究生(外文):LIANG,Feng-Ling
論文名稱:台灣股票市場各類投資人群聚交易行為分析
論文名稱(外文):Analysis of Herding Behavior among Various Types of Investors in Taiwan Stock Market
指導教授:林岳喬林岳喬引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:81
中文關鍵詞:群聚交易回饋交易策略機構投資人日內交易資料
外文關鍵詞:HerdFeedback TradingInstitutional TradersIntraday Trade Data
相關次數:
  • 被引用被引用:53
  • 點閱點閱:488
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:150
  • 收藏至我的研究室書目清單書目收藏:0
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
參 考 文 獻
中文部分
江宏儒,2002。股票市場從眾行為之探討:新興市場與已開發國家之比較,國立高雄第一科技大學財務管理研究所未出版碩士論文。
吳孟君,2000。共同基金從眾行為與價格發現之研究,國立中正大學財務金融研究所未出版碩士論文。
吳政樂,1999。證券自營商之從眾行為與投資策略分析,國立中央大學財務管理研究所未出版碩士論文。
李香瑩,2002。散戶交易行為與投資績效,輔仁大學金融研究所未出版碩士論文。
李雅婷,2001。法人持股、從眾之股票特性與風險分散效果之研究,國立中正大學財務金融研究所未出版碩士論文。
杜樹森,1996。機構投資人交易行為對股票市場之影響-以國內共同基金為例,國立政治大學財務管理研究所未出版碩士論文。
林伊玫,1996。機構投資人從眾行為研究-以封閉式基金為例,國立中山大學企業管理研究所未出版碩士論文。
林雋琦,2001。國內共同基金從眾現象及原因分析,雲林科技大學企業管理所未出版碩士論文。
施生元,2001。投信、外資及散戶從眾行為之探討,元智大學管理研究所未出版碩士論文。
柯靜君,1998。機構投資人從眾行為之研究-以國內共同基金為例,國立成功大學企業管理研究所未出版碩士論文。
范揚洲,1999。共同基金擇股偏好與從眾行為之研究,國立中央大學財務管理研究所未出版碩士論文。
翁英傑,1996。自營商及外資之投資行為研究,輔仁大學金融研究所未出版碩士論文。
高妮瑋,2000。機構投資人持股偏好與績效之研究,國立中正大學會計研究所未出版碩士論文。
郭效佩,2000。共同基金群集行為及其對股價影響之研究,朝陽大學財務金融研究所未出版碩士論文。
曾麗文,2003。台灣開放式股票型基金從眾行為與基金績效之關係分析,朝陽科技大學財務金融研究所未出版碩士論文。
羅巧紋,1998。共同基金之慣性投資策略、從眾行為與操作績效關係之研究,輔仁大學管理學研究所未出版碩士論文。
羅峻松,1997。共同基金群集行為之研究,國立台灣工業技術學院管理技術研究所未出版碩士論文。
蘇惟宏,2000。機構法人從眾行為之研究-以國內股市集中交易市場為例,國立政治大學企業管理研究所未出版碩士論文。
英文部分
Banerjee, A. 1992. A simple model of herd behavior. Quarterly ournal of Economics 107: 797-817.
Banerjee, A., and D. Fudenburg. 2003. Word-of-mouth learning. Working paper, University of Harvard.
Barber, B., and T. Odean. 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance 55: 773-806.
Barberis, N., and A. Shleifer. 2001. Style Investing. Working paper, University of Chicago.
Bikhchandani, S., D. Hirshleifer, and I. Welch. 1992. A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy 100: 992-1026.
Brandenburger, A., and B. Polak. 1996. When managers cover their posteriors: Making the decisions the market wants to see. Rand Journal of Economics 27: 523-541.
Cai, F., G. Kaul, and L. Zheng. 2000. Institutional Trading and Stock Returns. Working paper, University of Michigan.
Chang, E. C., J. W. Cheng, and A. Khorana. 2000. An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance 24: 1651-1679.
Choe, H., B.C. Kho, and R. M. Stulz. 1999. Do foreign investor destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54: 227-264.
───, ───, and ───. 2001. Do domestic investors have more valuable information about individual stocks than foreign investors? Working paper, University of Seoul.
Christie, W. G., and R. D. Huang. 1995. Following the pied piper: Do individual returns herd around the market ? Financial Analysts Journal. 54: 31-37.
Cote, J., and D. Sanders. 1997. Herding behavior: Explanations and implications. Behavioral Research in Accounting 9: 20-45.
Covrig, V., S. T. Lau, and L. K. Ng. 2001. Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis. Working paper, University of California State.
Dahlquist, M., and C. Robertson. 2001. Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics 59: 413-440.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. Investor psychology and security market under and overreactions. Journal of Finance 53: 1839-1885.
De Long J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45: 375-395.
Del Guercio, D. 1996. The distorting effect of the prudent-man laws on institutional equity investments. Journal of Financial Economics 40: 31-62.
Dorn, D., G. Huberman, and P. Sengmueller. 2004. Do individual inverstor move together and thereby affect prices? Working paper, University of Drexel.
Dreman, D. 1979. Contrarian investment strategy: The psychology of stock market success. NY: Random House.
Falkenstain, E. G. 1996. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance 51: 111-135.
Friedman, B. M. 1984. A Comment: Stock Prices and Social Dynamics. Brookings Papers on Economic Activity 2: 504-508.
Friend, I., M. Blume, and J. Crockett. 1970. Mutual funds and other institutional investor. New York, NY: McGraw-Hill.
Froot, K., D. Scharfstein, and J. Stein. 1992. Herd on the street: Informational inefficiencies in a market with short-term speculation. Journal of Finance 47: 1461-1484.
Gervais, S., and T. Odean. 2001. Learning to be overconfident. Review of Financial Studies 14: 1-27.
Gompers, P., and A. Metrick. 2001. Institutional investors and equity prices. Quarterly Journal of Economics 116: 229-260.
Graham, J. R.1999. Herding among investment newsletters: Theory and evidence. Journal of Finance 54: 237-268.
Grinblatt, M., and S. Titman. 1993. Performance measurement without benchmarks: An examination of mutual fund returns. Journal of Business 66: 47-68.
───, ───, and R. Wermers. 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 85: 1088-1105.
───, and M. Keloharju. 2000. The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics 55: 43-67.
───, and ───. 2001. What makes investors trade? Journal of Finance 56: 589-616.
Hirshleifer, D., A. Subrahmanyam, and S. Titman. 1994. Security analysis and trading patterns when some investor receiver information before others. Review of Financial Studies 6: 1665-1698.
Iihara,Y., H. K. Kato, and T. Tokunaga. 2001. Investors’ herding on the Tokyo stock exchange. International Review of Finance 2: 71-98.
Jones, S. L., D. Lee, and E. Weis. 1999. Herding and feedback trading by different types of institutions and the effects on stock prices. Working paper, University of Indiana.
Kang, J. K., and R. M. Stulz. 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46: 3-28.
Keynes, J. M. 1936. The general theory of employment, interest, and money. London Macmillan.
Kim, W., and S. J. Wei. 2002. Foreign portfolio investors before and during a crisis. Journal of International Economics 56: 77-96.
Lakonishok, J., A. Shleifer, R. H. Thaler, and R. W. Vishny. 1991. Window dressing by pension fund managers. American Economic Review 81: 227-231.
───, ───, and R. W. Vishny. 1992. The impact of institutional trading on stock price. Journal of Financial Economics 32: 23-44.
───, ───, and ───.1994. Contrarian investment, extrapolation, and risk. Journal of Financial 49: 1542-1578.
Lee, C., A. Shleifer, and R. Thalter. 1991. Investor sentiment and the closed-end fund puzzle. Journal of Financial 46: 75-109.
Lobão, J., and A. P. Serra. 2003. Herding behavior: Evidence from Portuguese mutual funds. Working paper, Instituto de Estudos Financeiros e Fiscais.
Lux, T. 1995. Herd behavior, bubbles and crashes. Economic Journal 105: 881-896.
Maug, E., and N. Naik. 1996. Herding and delegated portfolio management: The impact of relative performance evaluation on asset allocation. Working paper, University of Berlin.
Neal, R., and M. S. Wheatley. 1998. Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33: 523-547.
Nofsinger, J., and R. W. Sias. 1999. Herding and feedback trading by institutional and individual investors. Journal of Finance 54: 2263-2295.
Odean, T. 1998. Are investors reluctant to realize their losses? Journal of Finance 53: 1775-1798.
Oehler, A. 1998. Do mutual fund specializing in German stocks herd ? Finanzmarkt und Portfolio Management 4: 452-465.
───, and G. G. Chao. 2002. Institutional herding in bond markets. Working paper, University of Bamberg.
Pingle, M. 1995. Imitation versus rationality: An experimental perspective on decision making. Journal of Socio-Economics 24: 281-315.
Scharfstein D. S., and J. C. Stein. 1990. Herd behavior and investment. American Economic Review 80: 465-479.
Shefrin, D., and J. Statman. 1985. The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance 40: 777-792.
Shiller, R. 1984. Stock prices and social dynamics. Brookings Papers on Economic Activity 2: 457-498.
───, and J. Pound. 1989. Survey evidence on the diffusion of interest and information among investors. Journal of Economic Behavior and Organization 12: 46-66.
Sias, R. W., L. Starks, and S. Titman. 2002. The price impact of institutional trading. Working paper, University of Washington State.
───. 2004. Institutional herding. The Review of Financial Studies 17: 165-206.
Smith, L., and P. N. Sorensen. 1994. Pathological Outcomes of Observational Learning. Working paper, University of Michigan.
Trueman, B. 1994. Analyst forecasts and herding behavior. The Review of Financial Studies 7: 97-124.
Voronkova, S., and M. T. Bohl. 2003. Institutional traders’ behavior in an emerging stock market: Empirical evidence on Polish pension fund investors. Working paper, European University Viadrina.
Welch, I. 1992. Sequential sales, learning, and cascades. Journal of Finance 47: 695-732.
Wermers, R. 1999. Mutual fund herding and the impact on stock prices. Journal of Finance 54: 581-622.
───. 2000. Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses. Journal of Finance 55: 1655-1695.
Wylie, S. 2002. Fund manager herding: A test of the accuracy of empirical results using US data. Working paper, University of Dartmouth.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔