臺灣博碩士論文加值系統

本研究主要目的在於以上市電子個股為例，探討外資和散戶之間的從眾行為，以及投資人心中是否存在代表性偏誤。
本研究使用向量自我迴歸模型及Granger因果關係檢定進行外資買賣超及散戶買賣超之間關聯性研究，研究期間為2005年1月1日至2005年12月31日，共計有247筆樣本資料，資料型態皆是日資料，研究結果如下：
外資對鴻海買賣超變動領先一般投資人對宏碁買賣超變動，一般投資人對宏碁買賣超變動同時存在從眾行為與代表性偏誤；一般投資人對鴻海買賣超變動領先外資對鴻海買賣超變動，外資對鴻海買賣超變動同時存在從眾行為與代表性偏誤，可以採取本研究中所建議的反向操作策略進行投資，能使投資更趨於理性化。
外資對華碩買賣超變動領先一般投資人對鴻海買賣超變動，一般投資人對鴻海買賣超變動存在反從眾行為；外資對宏碁買賣超變動領先一般投資人對華碩買賣超變動，一般投資人對華碩買賣超變動也存在反從眾行為，從眾行為與代表性偏誤容易產生過度自信的投資，反從眾行為正好可以從中獲取更大的報酬。

The primary purpose of this research is take individual stock in listing stock electronic companies as the example, to study on herding behavior between foreign investors and individual investors, and whether investors have representativeness heuristic in the mind.
In this study, we used “Vector Auto Regression Model” and “Granger Causality Test” to study on the relationship between foreign investors and individual investors buying and selling exceed, samples are selected from daily data, from January 1, 2005 to December 31, 2005, includes 247 trading days. The study concluded the following results:
Individual investors buying and selling exceed on ACER plays follower roles, who follow foreign investor buying and selling exceed on FOXCONN, individual investors buying and selling exceed on ACER had herding behavior and representativeness heuristic.
Foreign investors buying and selling exceed on FOXCONN plays follower roles, who follow individual investor buying and selling exceed on FOXCONN, foreign investors buying and selling exceed on FOXCONN had herding behavior and representativeness heuristic. Can adopt the operation of reverse strategy proposed in this research and make the investment in more rational.
Individual investors buying and selling exceed on FOXCONN plays follower roles, who follow foreign investor buying and selling exceed on ASUS, individual investors buying and selling exceed on FOXCONN had anti-herding behavior.
Individual investors buying and selling exceed on ASUS plays follower roles, who follow foreign investor buying and selling exceed on ASUS, individual investors buying and selling exceed on ASUS also had anti-herding behavior.Herding behavior and representativeness heuristic easier to make overconfidence investment, anti-herding behavior can get better reward.

謝　辭 Ⅰ
中文論文提要 Ⅱ
英文論文提要 Ⅲ
目　錄 Ⅴ
圖　次 Ⅶ
表　次 Ⅷ
第一章　緒　論 1
第一節　研究背景 1
第二節　研究動機 4
第三節　研究目的 5
第四節　論文架構 6
第二章　文獻回顧 7
第一節　外資的組成與投資範圍 7
第二節　外資開放政策的流程 9
第三節　外資投資現況 12
第四節　從眾行為 13
第五節　代表性偏誤 16
第三章 研究方法 17
第一節 單根檢定 17
第二節 向量自我迴歸模型 20
第三節 預測誤差變異數分解 22
第四節 衝擊反應函數 24
第五節 因果關係檢定 26
第四章　實證結果與分析 28
第一節 樣本資料的選取與來源 30
第二節 資料處理 31
第三節 單根檢定 32
第四節 向量自我迴歸模型 33
第五節 預測誤差變異數分解 38
第六節　衝擊反應函數 42
第七節　因果關係檢定 60
第五章 結論與建議 62
第一節 研究結論 62
第二節 研究貢獻 64
第三節 研究限制 65
第四節 未來研究建議 66
參考文獻 67

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