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研究生:張嘉琪
研究生(外文):CHANG,CHIA-CHI
論文名稱:從眾行為及動能之研究—以上證180指數、台灣50指數、台灣中型100指數為例
論文名稱(外文):A Study on Herding Behavior and Momentum—Using SSE180 Index, Taiwan 50 Index and Taiwan Mid-Cap 100 Index as an Example
指導教授:賴藝文賴藝文引用關係
指導教授(外文):LAIH,YIH-WENN
口試委員:簡進嘉賴弘程
口試委員(外文):JIAN,CHIN-CHIALAI,HONG-CHENG
口試日期:2017-06-02
學位類別:碩士
校院名稱:嶺東科技大學
系所名稱:財務金融系碩士班
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:2017
畢業學年度:105
語文別:中文
論文頁數:56
中文關鍵詞:從眾行為橫斷面標準差(CSSD)橫斷面絕對離散值(CSAD)動能
外文關鍵詞:HerdingCross-Sectional Standard Deviation(CSSD)Cross-Sectional Absolute Deviation(CSAD)Momentum
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本研究探討中國上海與台灣股票市場於2010至2016年間,從眾行為是否對產業動能策略產生影響,以上證180指數成分股、台灣50指數和台灣中型100指數成分股為樣本,並將各產業分成四類:贏家從眾、贏家反從眾、輸家從眾及輸家反從眾。實證結果發現,從眾與反從眾對於贏家產業之動能報酬影響大於輸家產業。其次,不論是贏家產業或是輸家產業,大都是反從眾的報酬/損失優於從眾的報酬/損失。在所有投資組合中,贏家反從眾向大盤組持有一個月的報酬最高。最後,根據零成本投資組合報酬分析,以從眾與反從眾結合贏家與輸家產業所創造出來的動能報酬,台灣市場顯著優於中國市場。
This study explores the herding behavior on the industry momentum effect, using the constituents of SSE180 Index, Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2010 to 2016 as an example. And the industries are divided into four categories: winner/loser industries of herding/anti-herding. The results indicate that, at first, the herding/ anti-herding behavior has more influence in the winner industry than the loser industry. Second, the profitability of industry momentum strategies depends on the level of herding in an industry. The industries of anti-herding, no matter they are winner or loser industries, yield significantly higher subsequent returns than the industries of herding. Third, the winner industries with anti-herding behavior generate the highest return during subsequent 1 month. Finally, the asymmetry in the relationship between herding and momentum returns is in fact the driving factor behind profitable, zero-cost momentum strategies and suggests that the level of herding in an industry must be considered in the implementation of industry momentum strategies in Taiwan stock market.
中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 4
第四節 研究流程 5
第二章 文獻探討 6
第一節 從眾行為與動能 6
第二節 產業從眾 9
第三章 研究設計 10
第一節 數據 10
第二節 研究方法 11
第三節 投資組合的建構及步驟 12
第四章 實證結果與分析 15
第一節 研究期間與樣本說明 15
第二節 實證結果 15
第五章 結論與建議 48
第一節 結論 48
第二節 建議 48
參考文獻 49
附錄 53
一、中文文獻
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2.周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學:文獻回顧與展望,證券市場發展季刊,14(2),1-48。
3.陳正佑、徐守德、王毓敏(2002)。產業別動能投資策略與投資績效-台灣股票型共同基金之實證研究,中山管理評論,10(2),203-230。
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6.羅進水、李春安(2009)。從眾與非從眾行為對市場報酬衝擊之研究,管理評論,28(3),21-41。
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