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研究生:黃雅嬬
研究生(外文):Ya-Ju Huang
論文名稱:現貨對期貨從眾行為之探討:以台灣電子及金融指數期貨成分股為例
論文名稱(外文):The Study of the Herding Behavior of Spot on Futures: Evidence on Taiwan Electronic and Financial Index Futures Constituent Stock
指導教授:傅澤偉傅澤偉引用關係
指導教授(外文):Tze-Wei Fu
學位類別:碩士
校院名稱:國防管理學院
系所名稱:國防財務資源研究所
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:2008
畢業學年度:96
語文別:中文
論文頁數:57
中文關鍵詞:從眾行為CSSDCSAD不對稱反應
外文關鍵詞:Herding behaviorCSSDCSADAsymmetric reaction
相關次數:
  • 被引用被引用:3
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本研究利用兩個指標:由Christie and Huang (1995)提出之橫斷面報酬標準差(CSSD)及由Chang et al. (2000)主張之橫斷面報酬差絕對值(CSAD)衡量市場報酬之離散程度,並利用此衡量指標檢測現貨市場是否對於期貨有從眾行為,且進一步檢測報酬離散程度在市場上漲及下跌時是否會產生差異。
研究交易期間為2006年7月3日至2007年6月29日,本研究採每15分鐘之日內報酬率。研究的樣本為在現貨及期貨市場交易量較大的電子類股及金融類股。
實證發現指數期貨成分股對指數期貨市場不存在從眾行為。我們亦實證發現多頭與空頭市場之報酬離散程度具有不對稱反應,顯示空頭市場之報酬率會較多頭市場趨近整體市場之報酬率,這可能是因為市場投資者害怕在空頭市場期間要承受潛在損失的心理,勝於他們享受在多頭市場所獲得潛在利益的心理所導致。
The present study uses two different measurements to measure the dispersion level of the markets’ returns: the cross-sectional standard deviation of returns (CSSD) proposed by Christie and Huang (1995) and the cross-sectional absolute deviation of returns (CSAD) demonstrated by Chang et al. (2000). And we use the measurements to examine if spot markets would herd on futures markets and further examine whether the dispersion level of returns has different reactions in upward markets and downward markets.
Data set on futures and spot trading is analyzed for the period 3 July 2006 through 29 June 2007. And the intraday return of every 15 minutes is used throughout this study. The samples to investigate are electronic sector stocks and financial sector stocks which have larger trading volume in spot and futures markets.
Empirical results show that index futures constituent stocks would not herd on index futures markets. We also empirically find that the dispersion level of returns has different reactions in upward and downward markets which demonstrate that the returns of down markets would be closer to market wide returns than up markets. Probable reason may be that market participants’ fear of the potential loss during a down market period of stress is more than the enjoyment of the potential gain during an up market period of stress.
中文摘要 I
英文摘要 II
誌 謝 III
目 錄 IV
圖目錄 VI
表目錄 VII
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 6
第四節 論文架構 7
第貳章 文獻探討 8
第一節 從眾行為之理論基礎 8
第二節 從眾現象相關模型 9
第三節 從眾行為之實證研究 13
第參章 研究設計 21
第一節 從眾行為之衡量 21
第二節 資料來源與樣本選取 26
第肆章 實證結果 30
第一節 類別現貨對類別期貨的從眾檢定 30
第二節 類別現貨對台股期貨的從眾檢定 35
第三節 多頭與空頭市場之不對稱反應─類別現貨對類別期貨 39
第四節 多頭與空頭市場之不對稱反應─類別現貨對台股期貨 44
第伍章 結論 50
第一節 研究結論 50
第二節 研究限制 52
參考文獻 53
中文部分 53
英文部分 54
作者簡介 57
中文部分
1.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系碩士學位論文。
2.林昭賢(2005),期貨交易者與期貨價格行為關係的三個議題探討,國立成功大學企業管理學系博士學位論文。
3.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系碩士學位論文。
4.郭效佩(2000),共同基金群集行為及其對股價影響之研究,朝陽大學財務金融系碩士學位論文。
5.梁鳳玲(2004),台灣股票市場各類投資人群聚交易行為分析,國立中正大學會計學研究所碩士學位論文。
6.黃信滿(2005),基金經理人之不確定性與投資行為:探討基金經理人之生涯規劃、競賽與從眾行為,國立成功大學企業管理研究所博士學位論文。
7.蘇維宏(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學系碩士學位論文。
英文部分
1. Banerjee, A. (1992), “A simple model of herd behavior”, Quarterly Journal of Economics, 107(3), 797-818.
2.Chang, E.C., Cheng, J.W. and Khorana, A. (2000), “An examination of herd behavior in equity markets: an international perspective”, Journal of Banking and Finance, 24(10), 1651-1679.
3.Choe, H., Kho, B. and Stulz, R.M. (1999), “Do foreign investors destabilize stock markets? The Korean experience in 1997”, Journal of Financial Economics, 54(2), 227-264.
4.Christie, W.G. and Huang, R.D. (1995), “Following the pied piper: do individual returns herd around the market?”, Financial Analysts Journal, 51(4), 31-37.
5.Franco, C., Anna, M.D. and Alexander C. (2004), “Herding in the Italian Stock Market: A Case of Behavioral Finance”, The journal of Behavioral Finance, 5(4), 222-330.
6.Gleason, K.C., Mathur, I. and Peterson, M.A. (2004), “Analysis of intraday herding behavior among the sector ETFs”, Journal of Empirical Finance, 11, 681-694.
7.Grinblatt, M., Titman, S. and Wermers, R. (1995), “Momentum investment strategies, portfolio performance and herding: a study of mutual fund behavior”, American Economics Review, 85(5), 1088-1105.
8.Gramham, J.R. (1999), “Herding among investment newsletters: theory and evidence”, Journal of Finance, 54(1), 237-268.
9.Haigh, M.S., Boyd, N.E., Buyuksahin, B. (2007), “Herding among large speculative traders in futures markets”, Working Paper: U.S. CFTC.
10.Henker, J., Henker, T. and Mitsios, A. (2006), “Do investors herd intraday in Australian equities?”, International Journal of Managerial Finance, 2(3), 196-219.
11.Hong, H., Kubik, J.D. and Solomon, A. (2000), “Security analysts’ career concerns and herding of earnings forecasts”, RAND Journal of Economics, 31(1), 121-144.
12.Kim, K., A. and Nofsinger, J., R. (2005), “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan”, Journal of Business, 78(1), 213-242.
13.Lakonishok, J., Shleifer, A. and Vishny, R.W. (1992), “The impact of institutional trading on stock prices”, Journal of Financial Economics, 32, 23-43.
14.Nofsinger, J.R. and Sias, R.W. (1999), “Herding and feedback trading by institutional and individual investors”, Journal of Finance, 54(6), 2263-2295.
15.Prechter, R.R. (2001), “Unconscious herding behavior as the psychological basis of financial market trends and patterns”, Journal of Psychology and Financial Markets, 2(3), 120-125
16.Richards, A. (1999), “Idiosyncratic risk: an empirical analysis with implications for the risk of relative-value trading strategies”, IMF working paper.
17.Scharfstein, D. S. and Stein, J. C. (1990), “Herd behavior and investment”, AmericanEconomic Review, 80(3), 465-479.
18.Walter, A. and Weber, F.M. (2006), “Herding in the German mutual fund industry”, European Financial Management, 12(3), 375-406.
19.Weiner R.J. (2006), “Do birds of a feather flock together? Speculator herding in the world oil market”, Discussion Paper: Resources for the Futures.
20.Welch, I. (2000), “Herding among security analysts”, Journal of Financial Economics, 58, 369-396.
21.Wermers, R. (1999), “Mutual fund herding and the impact on stock prices”, Journal of Finance, 54(2), 581-662.
22.Wylie, S. (2005), “Fund manager herding: a test of the accuracy of empirical results using U.K. data”, Journal of Business, 78(1), 381-403.
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