臺灣博碩士論文加值系統

本研究利用2000年12月12日至2010年12月31日，台灣經濟新報資料庫 (TEJ) 所公佈之台灣股票市場日交易資料，分析台灣股票市場是否存在從眾現象，並檢視於2007年7月至2008年年底所發生的金融海嘯是否因此加深台灣股票市場的從眾現象，以及從眾行為對不同投資族群的績效帶來何種效應。
本文結果發現，即便加入已開發國家，台灣的股票市場仍然存在從眾現象；且利用不同投資族群的區分下，發現機構投資人中，只有自營商顯著存在從眾現象，而一般投資人中，則不論是信用戶或是國內其他皆顯示從眾行為存在的證據。在金融海嘯期間，除投信之外，各類交易人皆顯示從眾行為有因此加劇的情形。最後，利用從眾行為與績效間的關聯，發現在所有樣本期間內，除了投信外，各類投資族群皆顯示從眾行為會為績效帶來負面的效應，其中外資為顯著的；但在金融海嘯期間，機構投資人皆有因從眾行為使其績效帶來正面效應的跡象，一般投資人則因從眾行為使得績效帶來負面的效應，其中，國內其他顯著為績效帶來負面的效應。

This paper mainly examines if there exist herding behavior in Taiwan Stock Market. The data in this paper begin on December 12, 2000 and end on December 31, 2010 from Taiwan Stock Exchange. We further investigate if the herding behavior increased in Taiwan Stock Market during financial tsunami. Than we examine how the herding behavior affect the performance of different investment groups.
There is strong evidence of herding phenomenon in Taiwan Stock Market even though Taiwan has been listed as a developed country. After we separated investors into five groups, we find security dealers and individual investor trade with the market conscious. And the herding phenomenon has intensified for all investors during the financial tsunami, except for mutual fund. From the relation between herding behavior and performance in all sample period, we find that, except for mutual fund, the herding behavior brings negative effect to performance for all investors. On the contrary, during the financial tsunami, the herding behavior brings positive effect to performance for institutional investors but negative effect for individual investors.

摘要 i
Abstract ii
目錄 iii
表目錄 iv
第一章　緒論 1
第一節　研究動機 1
第二節　研究目的 1
第三節　研究架構與流程 2
第二章　文獻回顧 3
第一節　從眾行為之起源與定義 3
第二節　理論文獻 3
第三節　實証文獻 6
第四節　金融海嘯之簡述 8
第三章　資料來源與研究方法 10
第一節　研究期間及資料來源 10
第二節　研究方法 11
第四章　實證結果分析 16
第一節　從眾行為實證-亞洲四小龍 16
第二節　從眾行為實證-以交易族群區分 17
第三節　從眾行為實證-金融海嘯期間 18
第四節　從眾行為與績效 19
第五章　結論 20
第一節　結論 20
參考資料 21

表一 已開發國家彙整表 24
表二 亞洲四小龍在極端市場之從眾檢定(CSSD) 25
表三 亞洲四小龍在整體市場之從眾檢定 (CSAD) 26
表四 不同投資族群在極端市場之從眾檢定(CSSD) 27
表五 不同投資族群在整體市場之從眾檢定 (CSAD) 28
表六 金融海嘯期間之從眾檢定 (CSAD) 29
表七 金融海嘯期間不同交易族群之從眾檢定 (CSAD) 30
表八 不同交易族群在從眾行為與績效之間的關係 (BSD) 31
表九 不同交易族群在金融海嘯期間之從眾行為與績效之間的關係 (BSD) 32

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"，國立高雄科技大學財務管理研究所碩士論文
李春安與賴藝文，2005，"股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為之研究"，台灣管理學刊，第五卷，第二期，第231-268頁。
林建甫與劉明德，2008，“金融海嘯的回顧與展望”， 國家政策基金會
張宮熊與劉維琪，2005，”證券市場主力與散戶投資人跟從行為之研究-一個簡單的賽局模型”，風險管理學報，第七卷，第二期，第135-164頁
陳志宏，2007，"台灣股市從眾行為之分析"，國立中山大學財務管理研究所碩士論文
陳美菊，2009，"全球金融危機之成因、影響及因應"，經濟研究，第九期，第261-296頁。
謝明瑞，2009，”金融海嘯的探討與對策”， 國家政策基金會
英文部分：
Behavior A. V., 1992."A simple model of herd behavior", Quarterly Journal of Economics 107, No.3,797-817
Bennett, J. A., R. W. Sias and L. T. Starks, 2003."Greener pastures and the impact of dynamic institutional preferences ", Review of Financial Studies 16, No.4, 1203-1238
Bikhchandani, S. and S. Sharma, 2001."Herd behavior in financial markets", IMF Staff Papers 47, 279-310
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 investors destabilize stock markets? The Korean experience in 1997", Journal of Financial Economics 54, 227-264
Christie, W. G. and R. D. Huang, 1995."Do individual returns herd around the market?", Financial Analysts Journal, 31-37
Del Guercio, D. ,1996."The distorting effect of the prudent-man laws on institutional equity investments", Journal of Financial Economics 40, 31-62
Demirer, R., A. M. Kutan, and C. D. Chen,2010, “Do investors herd in emerging stock markets?:Evidence from the Taiwanese market,” Journal of Economic Behavior and Organization 76, 283-295
Devenow, A. and I. Welch, 1996"Relational herding in financial economics", European Economic Review 40, 603-615
Effinger, M. R. and M. K. Polborn, 2001."Herding and anti-herding: A model of reputational differentiation", European Economic Review 45, 385-403
Falkenstein, E. G., 1996."Preferences for stock characteristics as revealed by mutual fund portfolio holdings", Journal of Finance 51, No.1, 111-135
Froot, K. A., D. S. Scharfstein and J. C. Stein,1992."Herd on the street: informational inefficiencies in a market with short-term speculation", Journal of Finance 47, No. 4, 1461-1484
Graham, J. R., 1999"Herding among investment newsletters: theory and evidence", Journal of Finance 54, No.1, 237-268
Hirshleifer, D., A. Subrahmanyam and S. Titman, 1994."Security analysis and trading patterns when some investors receive information before others", Journal of Finance 49, No. 5, 1665-1698
Hwang S. and M. Salmon, 2004."Market stress and herding", Journal of Empirical Finance 11, 585-616
Lakonishok, J., A. Shleifer and R. W. Vishny, 1992."The impact of institutional trading on stock prices", Journal of Financial Economics 32, 23-43
Lee I. H., 1993."On the convergence of informational cascades", Journal of Economic Theory 61, 395-411
Lin, A. Y. and P. E. Swanson, 2003."The behavior and performance of foreign investors in emerging equity markets: evidence from Taiwan", International Review of Finance, 4189-4120
Lin, A. Y. and Y. N. Lin, 2010.”Foreigners and margin traders herding on extreme market movements”, Working paper. National Chung Hsing University
Lin, A. Y., 2006."Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan''s experience", International Review of Economics and Finance 15, 364-382
Maug, E. and N. Naik, 1995"Herding and delegated portfolio management: the impact of relative performance evaluation on asset allocation", Working paper. London Business School
Rajan R. G., 1994."Why bank credit policies fluctuate: a theory and some evidence", Quarterly Journal of Economics 109, No.2, 399-441
Scharfstein, D. S. and J. C. Stein, 1990"Herd behavior and investment", American Economic Review, 465-479
Sias. R. W., 2004."Institutional herding", Review of Financial Studies 17, No. 1, 165-206
Swank, O. and B. Visser, 2008."The consequences of endogenizing information for the performance of a sequential decision procedure", Journal of Economic Behavior & Organization 65, 667-681
Welch, I, 2000."Herding among security analysts", Journal of Financial Economics 58, 369-396
Zhang J., 1997."Strategic delay and the onset of investment cascades", Journal of Economics 28, No.1, 188-205