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研究生:林君怡
研究生(外文):Lin Chun-Yi
論文名稱:流動性從眾行為
論文名稱(外文):Herd Behavior in Liquidity
指導教授:韓千山韓千山引用關係
指導教授(外文):Han Chien-Shan
學位類別:碩士
校院名稱:輔仁大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:37
中文關鍵詞:流動性從眾行為交易量CARA 函數
外文關鍵詞:liquidity、herd behavior、trade、CARA function
相關次數:
  • 被引用被引用:6
  • 點閱點閱:658
  • 評分評分:
  • 下載下載:227
  • 收藏至我的研究室書目清單書目收藏:5
過去學者的研究已提出幾點從眾行為的成因,包括薪資報酬(Compensation or
Payoff)的考量、名譽(Reputation)考量、外部性利益(Information Positivity)、資訊
瀑布流(Information Cascades)、代理問題(Agent Problem)、訊息來源相近(Similar
Signals)以及經驗分享與偏好。而本文由證券交易的角度思考並建立模型,提出從
眾行為產生之新觀點,亦即流動性從眾行為。
在某些情況下,交易者會選擇買進某檔股票主要是因為跟隨前期投資者的賣
出行為。一方面來說,前期投資者的結清部位,可使後期投資者以低廉的成本進
場,享有更大的利潤空間,進而跟進交易於相同資產;另一方面,後期投資者又
因為自己下一期結清部位時,使更後期投資人會被吸引而交易於相同資產,那時
他們進場造成的買壓會牽制住價格,能避免自己結清部位造成的價格過低情況,
形成一股保護作用。低廉的成本帶來的優渥利潤空間,與後期投資者進場所造成
的價格牽制這股保護作用,便足以使投資人放棄自己收到的訊息,做出從眾的決
策。這種基於「交易量」考量的從眾行為,本文定義為流動性從眾行為,實務上,
無論資產價值或股市訊息為何,有些股票的交易量始終勝於其他股票,亦是流動
性從眾行為所產生的結果。
Many scholars had already proposed several reasons for herd behavior.
Compensation, reputation, information positive, information cascades, agent problems,
similar signals and sharing experience are several chief considerations to herd behavior.
We’ll build a model on securities trading and propose a new idea of herd behavior in
liquidity.
In some situations, investors choose to buy the certain stock because of earlier
investors’ selling. On one hand, earlier investors’ selling provides later investors for
buying the same stock with low cost and earning more benefit. Then they follow to
make the same decision. On the other hand, later investors’ selling also can attract the
investors after later ones to trade the same stock. So the investors after later ones can
help hold the price because of their buying. Then the later investors can be protected
from selling their positions at low price.
Low cost bringing more benefits and later investors holding the price of the stock
can let all investors give up their own signal. So herd behavior occurs. This paper
defines that the same behavior on the basis of trading volume is herd behavior in
liquidity. In practice, no matter how much the asset values or what is the signal in the
stock market, the trading volume of some stocks are always more than others. That is
also the result of herd behavior in liquidity.
目錄
第一章緒論..................................................................................... 01
第一節研究背景與動機............................................................................. 01
第二節研究目的......................................................................................... 02
第三節研究架構......................................................................................... 03
第二章文獻回顧............................................................................. 05
第一節從眾行為之研究起源與定義......................................................... 05
第二節財務市場上之從眾現象................................................................. 06
第三節從眾行為之成因............................................................................. 09
第三章理論模型之建立................................................................... 14
第一節模型建立與假設............................................................................. 14
第二節均衡交易量導出............................................................................. 17
第三節模型穩定性..................................................................................... 22
第四章模型延展............................................................................. 25
第一節三期模型......................................................................................... 25
第二節 N 期模型.......................................................................................... 29
第五章結論與建議......................................................................... 32
第一節結論................................................................................................. 32
第二節研究建議......................................................................................... 33
參考文獻............................................................................................... 34
附錄....................................................................................................... 37
參考文獻
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