本文主要檢視台灣股票市場中自營商、共同基金、外資和散戶是否存在群聚行為以及群聚交易之特性，有別於以往使用成交資料以及研究資料頻率不高來推估投資人群聚行為，本研究採用委託單資料和日內高頻率資料衡量，可更貼近投資人買賣的行為，對於群聚行為的衡量更為真實，利用Lakonishok et al.（1992）和Wermers（1999）之群聚指標來衡量投資人群聚行為。而實證結果發現台灣股票市場投資人普遍都存在群聚行為，共同基金群聚行為最明顯再來是外資、自營商，最後則是散戶，且各投資人日內群聚行為呈現U型，開盤與收盤群聚值最大。以股票市值作為分類上，散戶偏愛市值較大的股票，外資、共同基金與自營商偏愛市值較小的股票。另外，若將股票前期報酬排序，並分為五等分，發現機構投資人日內不會使用正向或反向回饋策略，而散戶則是使用反向回饋策略，以日資料來衡量，發現外資與共同基金使用正向回饋策略，自營商用反向回饋策略，散戶則沒有使用回饋策略。此外在各投資人群聚行為是否會影響股價上，我們發現外資和散戶日內群聚行為會造成股價不穩定，而在日群聚上，則沒有證據顯示投資者會造成股價不穩定。

In this study, we analyses whether Foreign Investors, Mutual funds, Security Dealers and Individual investors are engaged in herding behavior in Taiwan stock market. Different from past literature use infrequent trade data, we use intraday high frequent order data to observe investors’ herding behavior closely and measure accurately. We employ the measure of herding by Lakonishok et al.（1992）and Wermers（1999）.We find all investors use herding in Taiwan stock market. It shows that herding follows U-shaped intraday pattern and the most emphasis is Mutual funds, better than Foreign Investors, Security Dealers and individual investors might not be so obvious. In stock size, it is apparent that individual investors are heavily engaged in trading high capitalization stocks, and more herding by institutional investors in small stocks than in large stocks. Besides, we segregate past return by quintile; this is done to investigate the tendency of investors to trade together due to common feedback strategies. We find institutional investors do not execute feedback trading strategies, and negative feedback trading strategies by individual investors in intraday return. But in daily return we find that Foreign Investors and Mutual funds use positive feedback trading strategies and evidence in favor of the employment of negative feedback trading strategies by Security Dealers and individual investors do not execute feedback trading strategies. Finally, we tests to provide evidence on whether investors destabilize or stabilize stock prices. We find that intraday trading by Foreign Investors and individual investors had a destabilizing effect on Taiwan stock market, and no evidence that daily trading of all investors had impact on stock prices.

目錄　　　　　　　　　　　頁次
第壹章	緒論	1
第一節	研究動機與背景	1
第二節	研究目的	6
第三節	研究架構	7
第貳章	文獻探討	9
第一節	群聚行為之定義	9
第二節	群聚行為之理論	10
第三節	群聚行為之相關實證研究	15
第參章	研究方法	20
第一節	資料來源	20
第二節	研究期間與樣本選取標準	22
第三節	資料處理	24
第肆章	實證結果與分析	29
第一節	樣本敘述統計	29
第二節	群聚行為之研究	31
第三節	各投資人群聚行為對大型股和小型股的關係	39
第四節	各投資者群聚行為與過去報酬之關係	45
第五節　群聚行為與股票超額報酬波動性之關係	50
第伍章  結論與建議	58
第一節	研究結論	58
第二節	對後續研究之建議	61
參考文獻...	62
 
表目錄
【表1-1】集中交易市場成交金額投資人類別比例表	4
【表1-2】集中交易市場投資法人交易概況表	4
【表1-3】證券投資信託基金發行概況表	5
【表3-1】成交檔資料格式	21
【表3-2】委託檔資料格式	21
【表3-3】SMB與HML排序方法	28
【表4-1】台灣股票市場委託買進次數與賣出次數	30
【表4-2】台灣股票市場中各類投資人群聚行為之敘述統計量	30
【表4-3】各類投資者日內及日群聚值	32
【表4-4】空頭及多頭期間	34
【表4-5】各類投資者日內及日群聚值	37
【表4-6】各類投資人日內群聚行為	42
【表4-7】各投資人過去報酬與當期群聚行為之關係	48
【表4-8】各投資人群聚行為與超額報酬之關係	54
【表5-1】各類投資人群聚行為整理	60
 
圖目錄
【圖1-1】研究流程架構圖	8
【圖4-1】各類投資者日內買進群聚	32
【圖4-2】各類投資者日內賣出群聚	33
【圖4-3】各類投資者日內總群聚	33
【圖4-4】台灣加權股價指數	34

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