臺灣博碩士論文加值系統

本論文主要探討不同交易人在台灣期貨交易所之從眾行為。透過在期交所個
別帳戶的交易資料，我們將交易人分為國外機構投資者、國內機構投資者、期貨
自營商及自然人四類，並應用 Lakoniskok et al.(1992) 所提出的從眾行為衡
量方法分析這四類交易人從眾行為的差異程度。本研究發現機構投資者的從眾行
為和基差呈負向關係，這和個別投資者有顯著的不同。此外，本研究證實從眾行
為和資訊不對稱的程度有顯著的正向關係。

This thesis aims to investigate herding behavior by type of traders in the Taiwan
Futures Exchange (TAIFEX). By applying the method proposed by Lakonishok, Shleifer and Vishny (1992) (the LSV model) and Wermers (1999), we measure the degree of herding among foreign institutional traders, domestic institutional traders, futures proprietary firms and individual traders, based on the unique trading data of each account.
We find that there is a significantly negative correlation between
the basis and the degree of herding in institutional traders. However, the degree of herding in individual traders is positively related to the basis. This study also reveals that the degree of herding increases with probability of informed trading (PIN) in the TAIFEX.

Contents

1. Introduction………………………………………………………………………1
1.1 Motivation of Research………………………………………………………1
1.2 Purpose of Research………………………………………………………….2
2. Literature Review……………………………………………………………….5
2.1 Herding Behavior…………………………………………………………...5
2.2 Herding in Institutional and Individual Traders………………………..7
2.3 Informational Cascade……………………………………………………...8
2.4 Herding Measurements……………………………………………………..9
2.4.1 Lakonishok, Shleifer, and Vishny model (LSV) (1992)…….............9
2.4.2 Wermers (1999) measure…………………………………………..10
2.4.3 Sias (2004) measure…………………………………………………11
3. Empirical Models……………………………………………………………….13
3.1 Measuring Herding in Taiwan Futures Exchange………………………...13
3.2 Probability of Informed Trading..…………………………………………13
3.3 Herding Estimation…………………………………………………………16
4. Data………………………………………………………………………………18
4.1 Trading Mechanism of the Taiwan Futures Exchange…………………...18
4.2 Summary Statistics………………………………………………………….19
5. Empirical Results..……………………………………………………………...21
5.1 Summary of Herding Measures……………………………………………21
5.2 Determinants of Herding….………………………………………………..23
6. Conclusions……………………………………………………………………...25
References……………………………………………………………………….28


Tables
Table 1 Relevant Studies on Herding Behavior…………………………………...31
Table 2 Herding Statistics by Type of Traders…………………………………….32
Table 3 Daily Numbers of Trades and Trading Volume by Type of Traders……33
Table 4 Herding Estimation Results by Type of Traders…………………………34
Table 5 Herding Estimation Results by Institutional and Individual Traders…36



Figures
Figure 1 Tree Diagram of the Trading Process……………………………………37
Figure 2 Futures Trading Volume………………………………………………….38
Figure 3 Herding Measurements in the Sample Period…………………………..39
Figure 4 Herding Measure of Foreign Institutional Traders……………………..40
Figure 5 Herding Measure of Domestic Institutional Traders…………………...41
Figure 6 Herding Measure of Futures Proprietary Firms………………………..42
Figure 7 Herding Measure of Individual Traders………………………………...43
Figure 8 Herding Measure by Type of Traders…………………………………...44
Figure 9 Herding Measure in Institutional and Individual Traders…………….45

References

28

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