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系統識別號 U0002-1706201002453800
中文論文名稱 台灣股票市場各類投資人群聚行為探討
英文論文名稱 Analysis of Herding Behavior for Different Types of Investor in the Taiwan Stock Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 林錫呈
研究生英文姓名 Shi-Cheng Lin
學號 695531458
學位類別 碩士
語文別 中文
口試日期 2010-05-14
論文頁數 58頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-邱靖博
委員-謝劍平
委員-李命志
中文關鍵字 資訊交易機率  資訊瀑布流 
英文關鍵字 Probability of informed trading  Information cascades 
學科別分類 學科別社會科學商學
中文摘要 本研究之目的為檢視台灣股票市場中自營商、投信基金、外資及自然人四類投資人群聚行為,並分析股票特性與各類投資人群聚行為之關係以及其交易策略對未來股價變動的影響。本研究利用逐筆委託單與成交單資料以及利用Lakonishok et al. (1992) 和Wermers (1999) 之群聚指標來衡量投資人每日群聚行為。
結果發現自營商與外資在大型股較會產生群聚現象,投信基金與散戶則面對小型股較易產生群聚現象,而且發現資訊瀑布流僅存在國內散戶。外資與散戶的賣出群聚會造成股價不穩定,但整體的投資行為會增進資訊反應速度,使股價更快回到基本面價值。
英文摘要 In this study, we investigate the herding behavior of different types of investors, including proprietary dealers, investment trust, QFII and individuals, in the Taiwan stock market. Examining the relationship between Characteristics of stocks and herding behavior and influence of investor’s trading strategies on stock future price. We use intraday tick by tick order data and trade data to calculate the two measures of daily herding, introducing by Lakonishok et al. (1992) and Wermers (1999).
It is apparent that proprietary dealers and QFII herd more heavily in large stocks, but investment trust and individuals herd more heavily in small stocks. We find that herding behavior of individuals is in accordance with information cascading hypothesis. Finally, we find that short heavily by QFII and individuals would destabilize future stock price, but total trading behavior speed information compounded into fundamental price.
論文目次 目錄 頁次

中文摘要 I
英文摘要II
目錄 III
圖表目錄IV
第一章 緒論1
第一節 研究動機與背景1
第二節 研究目的5
第三節 研究架構6
第二章 文獻探討8
第一節 群聚行為之理論8
第二節 群聚行為對股價之影響13
第三章 研究方法15
第一節 資料來源15
第二節 研究期間與樣本選取標準19
第三節 變數定義22
第四章 實證結果與分析28
第一節 樣本敘述統計28
第二節 各類投資人群聚現象與股票特性之關聯31
第三節 各類投資人群聚行為與資訊不對稱之關係36
第四節 各類投資人群聚行為對股價波動性之影響43
第五章 結論與建議50
第一節 研究結論50
第二節 後續研究之建議52
參考文獻53
附錄55

圖表目錄 頁次
【表1-1】集中交要市場成交金額投資人類別比例表4
【表3-1】成交檔資料格式18
【表3-2】委託檔資料格式18
【表3-3】SMB與HML排序方式27
【表4-1】各類投資人日群聚值之敘述統計30
【表4-2-1】各類投資人依市值分群之群聚值33
【表4-2-2】各類投資人依市價淨值比分群之群聚值35
【表4-3-1】解釋變數之共線性檢定38
【表4-3-2】各類投資人群聚指標分析41
【表4-4】各類投資人群聚行為與超額報酬之關係46

【圖1-1】研究流程圖7
【圖3-1】交易過程樹狀圖24

參考文獻 參考文獻
1. 林冠宇,(2008)。台灣上市公司不同類型投資人日內群聚行為之實證研究,私立淡江大學財 務金融研究所未出版碩士論文。
2. 梁鳳玲,(2004)。台灣股票市場各類投資人群聚交易行為之分析,國立中正 大學會計學研究所碩士論文。
3. 鄭宜庭,(2009)。台灣上市公司各類投資人日內動態群聚行為,私立淡江大學財 務金融研究所未出版碩士論文。
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