跳到主要內容

臺灣博碩士論文加值系統

(44.212.99.208) 您好!臺灣時間:2024/04/17 18:15
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:吳婉瑄
研究生(外文):WU,WAN-SHIUAN
論文名稱:中國股票市場的 從眾行為與盈餘動能
論文名稱(外文):Herding Behavior and Earning Momentum in China Stock Market
指導教授:柯文乾柯文乾引用關係
指導教授(外文):KE,WEN-CHYAN
口試委員:林修葳詹場黃承祖
口試委員(外文):LIN,HSIOU-WEIChang-ChanHUANG,CHENG-TSU
口試日期:2020-06-18
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:金融與合作經營學系
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:2020
畢業學年度:108
語文別:中文
論文頁數:75
中文關鍵詞:羊群效應盈餘宣告中國股市動能效應從眾指標累積異常報酬
外文關鍵詞:Herding behaviorEarnings AnnouncementChinese Stock MarketMomentum EffectHerding indicesCumulative Abnormal Return
相關次數:
  • 被引用被引用:0
  • 點閱點閱:280
  • 評分評分:
  • 下載下載:69
  • 收藏至我的研究室書目清單書目收藏:0
本研究採用CSMAR(中國資料庫)上交所與深交所之中國上市公司,樣本期間為2004至2014年,先驗證中國股市在盈餘宣告後,累積異常報酬有一波顯著下跌趨勢,再依Lakonishok et al.(1992)提出從眾行為的指標值(簡稱LSV方法)與Easley, de Prado and O’Hara(2016)提出的批量分類算法(Bulk Volume Classification,簡稱BVC演算法)計算個股從眾行為指標,參考DellaVigna and Pollet(2009)與Zhang(2012)之實證方法,進一步區分為受從眾行為影響的「盈餘宣告前累積異常報酬的上漲從眾異象」與「盈餘宣告後累積異常報酬的下跌異象」,來探討中國股市在盈餘宣告前、宣告時與宣告後,事前、事後從眾行為與累積異常報酬之間的關係。
研究結果發現,在2004年至2014年,中國股市在盈餘宣告後一日,其累積異常報酬出現明顯下跌現象,但實施滬港通計畫後,2015年至2019年上海股市之累積異常報酬往下掉現象已消失,僅深圳股市有明顯往下掉之現象。在盈餘宣告前,有資訊優勢的市場主力會利用事前從眾行為拉抬股價,使累積異常報酬上漲幅度有明顯超漲的現象;在盈餘宣告後,事前從眾行為使投資人過度解讀好的盈餘宣告訊息,而使股價過度反應,因此出現盈餘宣告後仍有持續推升股價之現象;並考慮事前從眾行為將股價拉抬過高與市場行情炒作過熱下,市場主力可能無暇顧及太多原因,因此在出脫持股時速度較快也較易被察覺,出現明顯倒貨與坑殺散戶之現象,造成事後從眾行為亦追隨主力有明顯下殺股票之現象,因此累積異常報酬有因事後從眾行為出現明顯往下掉之力量。

This study uses CSMAR (China Database) including Shanghai and Shenzhen Stock Exchange listed companies in China. The sample period is from 2004 to 2014. First, the study verifies a wave of significant declined cumulative abnormal returns after the earnings announcement of the chinese stock market. Second, according to the empirical methods of Lakonishok et al. (1992) and Easley, de Prado and O’Hara (2016), the study combines the herding measures and Bulk Volume Classification to calculate the herding indices. Third, with reference to the empirical methods of DellaVigna and Pollet (2009) and Zhang (2012), the study further divides into the " the rising cumulative abnormal returns before the earnings announcement" and " the decreasing cumulative abnormal returns after the earnings announcement" affected by herding behavior, to explore the relationship between prior as well as post herding behavior and cumulative abnormal return during the earnings announcement of the chinese stock markets.
The empirical results show that from 2004 to 2014, the chinese stock market has a significant decline in its cumulative abnormal returns on the day after the earnings announcement. However, after the implementation of Shanghai-Hong Kong Stock Connect, the downward in Shanghai stock market from 2015 to 2019 has disappeared. Before the earnings announcement, informed traders may use prior herding behavior to raise the stock price. Afterwards, if also considering the impact of the prior herding behavior and the overheating market, the big player holdings may cargo down and sell their stocks obviously. Therefore, the post herding behavior may follow their actions to sell stocks and then results in decreasing stock prices and cumulative abnormal returns.

第一章 緒論
第一節 研究背景與動機
第二節 研究目的
第二章 文獻探討
第一節中國證券市場
2.1.1證券市場結構
2.1.2散戶與機構投資人
2.2.3滬港通之法規制度變動與市場政策
第二節 從眾行為
2.2.1中國股市之從眾行為
2.2.2散戶與機構投資人之從眾行為
2.2.3從眾行為之衡量
第三節 盈餘宣告之動能效果
第三章 研究設計
第一節 研究範圍及樣本準則
第二節 從眾行為指標
第三節 控制變數
第四節 研究方法
3.4.1變數定義
3.4.2從眾行為與累積異常報酬關係之實證模型設定
第四章 實證結果與分析
第一節 敘述統計量
第二節 深滬股市之從眾行為與累積異常報酬分析
第三節 中國股市在盈餘宣告後,最好盈餘消息公司之累積異常報酬的下跌異象
第四節 中國股市在盈餘宣告前後,最好盈餘消息公司之事前與事後從眾行為與累積異常報酬分析
第五節 實施滬港通後,從眾行為與累積異常報酬分析
第五章 穩健性測試
第六章 結論與建議
第一節 結論
第二節 研究限制與未來建議
第七章 參考文獻


尹康與程志芬,(2014),如何衡量市場中的知情交易:理論與文獻綜述,湖北經濟學院學報,12(6) ,53-59。
吳奔、張波與趙麗麗,(2019),不規則時間序列波動率建模: 高頻與低頻的統一,系統工程理論與實踐,39(1),36-48。
吳敬璉,(2001),十年紛紜話股市,上海遠東出版社,44-46。
洪碧霞、陳瑞璽、黃永成、廖信宏,(2012),「委託單失衡、投資人類別與股票報酬之實證研究,證券市場發展季刊,24(2),1-48。
柯文乾、謝俊魁、詹場、黃尚傑,(2018),「中國股市之盈餘動能分析」,會計評論, 67,79-122。
徐中琦、林皇瑞,(2008),「法人機構從眾行為之研究-台灣股市外資與自營商之比較」,商管科技季刊,9(2),251-276。
張宮熊、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,7(2),135-164。
張榮武與曾維新,(2017),「信息不確定性、投資者認知風險與盈餘慣性,財務研究」,第5期(12月):22-34。
曾珠,(2015),「滬港通、 深港通與中國資本市場國際化」,技術經濟與管理研究 ,2015卷10期,63 – 66。
詹場、胡星陽、呂朝元與徐崇閔,(2011),「市場狀態與投資人對盈餘訊息之反應」,經濟論文叢刊,39(4),463-510。
楊德勇、董左卉子,(2007),「證券市場羊群效應的演化博弈分析」,北京工商大學學報(社會科學版),4(22),21-61。
賴藝文,(2016),「上海 A 股與 H 股市場從眾行為之探討-以市場極端變化與滬港通期間為例」,兩岸金融季刊,4(3) ,33-49。
羅進水(2019)。基金經理人從眾行為與股價崩盤風險。商管科技季刊,20(4),371-401。
Avery C., and P. Zemsky. (1998). "Multidimensional uncertainty and herd behavior in financial markets." American Economic Review 88: 724-748.
Avramov, D., et al. (2013). "Anomalies and financial distress." Journal of Financial Economics 108(1): 139-159.
Ball, R., and P. Brown. (1968). "An empirical evaluation of accounting income numbers." Journal of Accounting Research (6): 159-178
Ball, R. and S. P. Kothari (1991). "Security Returns around Earnings Announcements." Accounting Review 66(4): 718-738.
Barber, B. and T. Odean (2001). "Boys will be Boys: Gender, Overconfidence and Common Stock Investment." Quarterly Journal of Economics, 116:261-292.
Banerjee, A. V. (1992). "A Simple-Model of Herd Behavior." Quarterly Journal of Economics 107(3): 797-817.
Bartov, E., et al. (2000). "Investor sophistication and patterns in stock returns after earnings announcements." Accounting Review 75(1): 43-63.
Beaver, W.H. (1968). "The Information Content of Annual Earnings Announcements." Journal of Accounting Research (6): 67-92.
Bikhchandani, S., Sharma, S. (2000). "Herd behavior in financial markets: a review." IMF Working Paper WP/00/48 (International Monetary Fund, Washington).
Campbell, J.Y., Grossman, S.J., Wang, J. (1993). "Trading volume and serial correlation in stock returns. ." Q. J. Econ. 108: 905–939.
Cao, S. S. and G. S. Narayanamoorthy (2012). "Earnings Volatility, Post-Earnings Announcement Drift, and Trading Frictions." Journal of Accounting Research 50(1): 41-74.
Cao, S. S., et al. (2019). "Do Local Investors Always Know Better? Evidence from China's Market Segmentation." Accounting Horizons 33(1): 17-37.
Chakravarty, S., A. Sakar, and L. Wu. (1998). " Information asymmetry, market segmentation and the pricing of cross-listed shares: Theory and evidence from Chinese A and B shares." Journal of International Financial Markets 8(3-4): 325 – 356.
Chan, K., A. J. Menkveld and Z. Yang. (2008). "Information asymmetry and asset prices: Evidence from the China foreign share discount." Journal of Finance 63(1): 159 – 196.
Chan, L. K. C., et al. (1996). "Momentum strategies." Journal of Finance 51(5): 1681-1713.
Chang, E. C., et al. (2000). "An examination of herd behavior in equity markets: An international perspective." Journal of Banking & Finance 24(10): 1651-1679.
Cheng, A. W. W., et al. (2019). "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai-Hong Kong Stock Connect." Sustainability 11(14).
Chiang, Thomas C., Jiandong Li, and Lin Tan, (2010). "Empirical investigation of herding behavior in Chinese stock markets: evidence from quantile regression analysis)." Global Finance Journal, 21, 111-124.
Christie, William G. and Roger D. Huang (1995). " Following the pied piper: do individual returns herd around the market?" Financial Analysts Journal: 31-37.
DeBont, W. F. and R. M. Thaler (1985). "Does the Stock Market Overreact." Journal of Finance 40(3): 793-805.
Dellavigna, S. and J. M. Pollet (2009). "Investor Inattention and Friday Earnings Announcements." Journal of Finance 64(2): 709-749.
Delong, J. B., et al. (1990). "Noise Trader Risk in Financial-Markets." Journal of Political Economy 98(4): 703-738.
Demirer, Riza and Ali M. Kutan, (2006). "Does herding behavior exist in Chinese stock markets." Journal of International Financial Markets, Institutions and Money 16, 123–142.
Dhar, R. and N. Zhu (2006). "Up close and personal: Investor sophistication and the disposition effect." Management Science 52(5): 726-740.
Doyle, J. T., et al. (2006). "The extreme future stock returns following I/B/E/S earnings surprises." Journal of Accounting Research 44(5): 849-887.
Easley, D. and M. Ohara (1992). "Time and the Process of Security Price Adjustment." Journal of Finance 47(2): 577-605.
Easley, D., López de Prado, M. M., O’Hara, M. (2016). "Discerning Information from Trade Data." Journal of Financial Economics 120,2 269-285.
Fama, E. F. (1965). "The Behavior of Stock-Market Prices." The Journal of Business, 38, 34-105.
Foster, G., et al. (1984). "Earnings Releases, Anomalies, and the Behavior of Security Returns." Accounting Review 59(4): 574-603.
Frederickson, J. R. and L. Zolotoy (2016). "Competing Earnings Announcements: Which Announcement Do Investors Process First?" Accounting Review 91(2): 441-462.
Froot, K. A., et al. (1992). "Herd on the Street - Informational Inefficiencies in a Market with Short-Term Speculation." Journal of Finance 47(4): 1461-1484.
Glosten, L. R. and P. R. Milgrom (1985). "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders." Journal of Financial Economics 14(1): 71-100.
Gramham, J.R. (1999). "Herding among investment newsletters: theory and evidence." Journal of Finance, 54(1), 237-268.
Grinblatt, M. and B. Han (2005). "Prospect theory, mental accounting, and momentum." Journal of Financial Economics 78(2): 311-339.
Grinblatt, M., et al. (1995). "Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior." American Economic Review 85(5): 1088-1105.
Harris, M., Raviv, A. (1993). "Differences of opinion make a horse race." Rev. Financ. Stud. 6: 473–506.
Hong, H., et al. (2000). "Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies." Journal of Finance 55(1): 265-295.
Haw, I. M., Hu, B., Hwang, L., &Wu,W. (2004)."Ultimate ownership, income management, and legal and extra-legal institutions." Journal of Accounting Research, 42: 423–462.
He, H., Wang, J. (1995). "Differential information and dynamic behavior of stock trading volume." Rev. Financ. Stud. 8: 919–972.
Hilliard, J. and H. R. Zhang (2015). "Size and price-to-book effects: Evidence from the Chinese stock markets." Pacific-Basin Finance Journal 32: 40-55.
Hirshleifer, D. A., et al. (2008). "Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades." Accounting Review 83(6): 1521-1550.
Hirshleifer, D., et al. (2009). "Driven to Distraction: Extraneous Events and Underreaction to Earnings News." Journal of Finance 64(5): 2289-2325.
Hong, H., et al. (2000). "Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies." Journal of Finance 55(1): 265-295.
Hwang, S. and M. Salmon. (2004). "Market Stress and Herding." Journal of Empirical Finance (11): 585-616.
Jegadeesh, N. and S. Titman (1993). "Returns to Buying Winners and Selling Losers - Implications for Stock-Market Efficiency." Journal of Finance 48(1): 65-91.
Kelley, E. K. and P. C. Tetlock (2017). "Retail Short Selling and Stock Prices." Review of Financial Studies 30(3): 801-834.
Keynes, John Maynard, 1883-1946. (1936). "The general theory of employment, interest and money." London :Macmillan.
Kyle, A. S. (1985). "Continuous Auctions and Insider Trading." Econometrica 53(6): 1315-1335.
Lakonishok, J., et al. (1992). "The Impact of Institutional Trading on Stock-Prices." Journal of Financial Economics 32(1): 23-43.
Latané, H. A. and C. P. Jones (1977). "Standardized Unexpected Earnings - Progress Report." Journal of Finance 32(5): 1457-1465.
Leippold, M. and H. Lohre (2012). "International price and earnings momentum." European Journal of Finance 18(6): 535-573.
Li, W., et al. (2017). "Differences in herding: Individual vs. institutional investors." Pacific-Basin Finance Journal 45: 174-185.
Li, S. Y., et al. (2019). "Flight-to-liquidity: Evidence from China's stock market." Emerging Markets Review 38: 159-181.
Livnat, J. and R. R. Mendenhall (2006). "Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts." Journal of Accounting Research 44(1): 177-205.
Ma, R., et al. (2018). "Stock market liquidity and trading activity: Is China different?" International Review of Financial Analysis 56: 32-51.
Merli and Roger. (2013). "What Drives the Herding Behavior of Individual Investors? " Journal of Finance 56: 32-51.
Mendenhall, R. R. (2002). "How naive is the market's use of firm-specific earnings information?" Journal of Accounting Research 34(3): 67-104.
Milian, J. A. (2015). "Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?" Journal of Accounting Research 53(1): 175-220.
Mikhail, M., Walther, B., & Willis, R. (2007). "When security analysts talk who listens?" The Accounting Review 80: 1227–1253.
Nofsinger, J. R. (2001). "The impact of public information on investors." Journal of Banking & Finance 25(7): 1339-1366.
Nofsinger, J. (2003). "Social Mood and Financial Economics." Journal of Behavioral Finance 6(3): 144-160.
Nofsinger, J. R. and R. W. Sias (1999). "Herding and feedback trading by institutional and individual investors." Journal of Finance 54(6): 2263-2295.
Odean, T. (1998). "Are investors reluctant to realize their losses?" Journal of Finance 53(5): 1775-1798.
Park, T. J., Y. Lee, and K. Song, 2014, Informed Trading before Positive vs. Negative Earnings Surprises, Journal of Banking and Finance 49, 228-241.
Pistor, K. and C. Xu. (2005). "Governing stock markets in transition economies: Lessons from China." American Law and Economics Review 7(1): 184 – 210.
Rahman, M. A., et al. (2013). "Herd Behavior in Saudi Arabian Stock Market:Evidence From Both Linear and Non-linear Models." Global Conference on Business and Finance Proceedings, 8(1), 289-299.
Rahman, M. A., et al. (2015). "Herding where retail investors dominate trading: The case of Saudi Arabia." Quarterly Review of Economics and Finance 57: 46-60.
Rangan, S. and R. G. Sloan (1998). "Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift." Accounting Review 73(3): 353-371.
Scharfstein, D. S. and J. C. Stein (1990). "Herd Behavior and Investment." American Economic Review 80(3): 465-479.
Sehgal, S. and K. Jain (2015). "Profitability of Price, Earnings and Revenue Momentum Strategies: The Indian Evidence." Asian Academy of Management Journal of Accounting and Finance 11(1): 47-84.
Shen, C. H., et al. (2007). "An empirical study of the asymmetric cointegration relationships among the Chinese stock markets." Applied Economics 39(10-12): 1433-1445.
Shiller, R. J. (1984). "Stock-Prices and Social Dynamics." Brookings Papers on Economic Activity(2): 457-510.
Song, J., and Wu, C. F. (2001). "Herding behavior study based on the degree of dispersion of financial markets." Economic Research Journal, 11: 21–27.
Sias, R. W. (2004). "Institutional herding." Review of Financial Studies 17(1): 165-206.
So, E. C. and S. A. Wang (2014). "News-driven return reversals: Liquidity provision ahead of earnings announcements." Journal of Financial Economics 114(1): 20-35.
Tan, L., et al. (2008). "Herding behavior in Chinese stock markets: an examination of A and B shares)." Pacific-Basin Finance Journal 16, 61-77.
Trueman, B. (1994). "Analyst Forecasts and Herding Behavior." The Review of Financial Studies, 7(1), 97-124.
Truong, C. (2011). "Post-earnings announcement abnormal return in the Chinese equity market." Journal of International Financial Markets Institutions & Money 21(5): 637-661.
Venezia, I., et al. (2011). "Firm specific and macro herding by professional and amateur investors and their effects on market volatility." Journal of Banking & Finance 35(7): 1599-1609.
Wang, D. (2008). "Herd Behavior Toward the Market Index: Evidence From 21Financial Markets." Working paper, University of Navarra.
Wang, Q. Y. and T. T. L. Chong (2018). "Co-integrated or not? After the Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connection Schemes." Economics Letters 163: 167-171.
Welch, I. (1992). "Sequential Sales, Learning, and Cascades." Journal of Finance 47(2): 695-732.
Wermers, R. (1999). "Mutual fund herding and the impact on stock prices." Journal of Finance 54(2): 581-622.
Yang, W. R. and Y. L. Chen (2015). "The Response of Dynamic Herd Behavior to Domestic and US Market Factors: Evidence from the Greater China Stock Markets." Emerging Markets Finance and Trade 51: S18-S41.
Yao, J., et al. (2014). "Investor herding behaviour of Chinese stock market." International Review of Economics & Finance 29: 12-29.
Zhang, L. (2012). "The Effect of Ex Ante Management Forecast Accuracy on the Post-Earnings-Announcement Drift." Accounting Review 87(5): 1791-1818.
Zhang, X. F. (2006). "Information Uncertainty and Stock Returns." Journal of Finance 61(1): 105-136.
Zhang, Y. (2008). "Analyst responsiveness and the post-earnings-announcement drift." Journal of Accounting & Economics 46(1): 201-215.
Zhou, R. T. and R. N. Lai (2009). "Herding and information based trading." Journal of Empirical Finance 16(3): 388-393.
Zou, L. P. and W. R. Wilson (2017). "How important are earnings announcements in China?" Pacific Accounting Review 29(3): 380-396.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top