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。

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.

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

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