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現象特性，並分析股票特性、過去報酬與各類投資人群聚行為之關係，再利用向量自我相關迴歸(VAR)與 Granger 因果關係觀察各類投資人間群聚行為領先落後關係。本研究利用逐筆委託單與成交單資料以及採用Patterson and Sharma(2005)所提出的Bootstrapped runs test檢定日與日內群聚現象。實證結果顯示，各類投資人日內大致沒有顯著之群聚行為，日之群聚現象則只有外資較為顯著。 
    各類投資人群聚行為與股票特性關係部分，外資與自然人無論日與日內在市值較大、股票週轉率較高、市價淨值比較低之群組，有顯著之群聚行為；自營商日內群聚在高市價淨值比之群組顯著，其餘則是與投信基金相同皆無特別在某種特性之股票有群聚現象。各類投資人群聚行為與過去報酬之關係部分，日與日內結果大致相同，自營商沒有特別在某一群組顯著，投信基金群聚行為在過去報酬較低之群組顯著，外資則是在過去報酬較高之群組顯著，自然人在過去報酬較低與較高之群組顯著。 
    最後，由 VAR 與因果關係可以發現，外資與投信基金之群聚行為領先自然人之群聚行為。

We analyze whether Security Dealers,Mutual funds, Foreign Investors and Individual Investors are engaged in herding behavior in Taiwan stock market. Besides, we examine the daily and intraday relationship between characteristics of stocks and herding behavior of investors.Lastly,we use VAR and Granger Causality to detect whether leading or not of the behavior of herding for different types of investor.We use high frequency intraday  data and employ the measure of herding by Patterson and Sharma(2005)to observe investors' herding behavior.We find that all investors do not have herding behavior in intraday,but Foreign Investors have herding behavior in daily. 
    In characteristic of stocks, Foreign  Investors and  Individual  Investors are heavily engaged in trading high capitalization stocks, high turnover stocks and low Price-Book Ratio stocks in intraday and daily. Security Dealers are similar to Mutual funds except that Security Dealers are heavily engaged in trading high Price-Book Ratio stocks in intraday.In past return,intraday results are similar to daily for different types of investors. Security Dealers are unapparent that they use herding in some past return quintile.Mutual funds use more herding in low past return quintile than high past return quintile and Foreign Investors are opposite to them.Individual Investors are heavily engaged in trading the lowest and the highest past return quintiles. 
     In addition, by VAR and Granger causility tset,We find the herding behavior of Foreign Investors and Mutual fund lead by Individual Investors.

目錄
表目錄...................................................vi
第一章  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
  第四節  研究流程.......................................8
第二章  文獻回顧.........................................9
  第一節  群聚行為理論...................................9
  第二節  不同類型投資人群聚行為之相關實證研究...........14
  第三節  群聚行為對股價之影響...........................20
第三章  研究方法.........................................22
  第一節  資料來源.......................................22
  第二節  研究期間與樣本選取之標準.......................25
  第三節  資料處理.......................................28
第四章  實證結果與分析...................................33
  第一節  樣本敘述統計...................................33
  第二節  各類投資人群聚行為分析.........................35
  第三節  各類投資人群聚現象與股票特性之關聯.............36
  第四節  各類投資人群聚行為與過去報酬之關係.............43
  第五節  各類投資人之間日內群聚行為領先落後關係.........45
第五章  結論與建議.......................................48
  第一節  研究結論.......................................48
  第二節  對後續研究之建議...............................50
參考文獻.................................................51
附錄.....................................................55
表目錄
【表1-1】集中交易市場成交金額投資人類別比例表............5
【表1-2】集中交易市場投資法人交易概況表..................5
【表3-1】成交檔資料格式..................................24
【表3-2】委託檔資料格式..................................24
【表3-3】各類投資人日內群聚之樣本數......................27
【表4-1】各類投資人日內委託買進與賣出筆數................34
【表4-2】各類投資人日內群聚行為之敘述統計量..............34
【表4-3】各類投資人日群聚行為之敘述統計量................34
【表4-4】各類投資人日與日內群聚值........................35
【表4-5】各類投資人日與日內群聚值與市值之關係............38
【表4-6】各類投資人日與日內群聚值與股票週轉率之關係......40
【表4-7】各類投資人日與日內群聚值與市價淨值比之關係......42
【表4-8】各類投資人日內群聚值與過去報酬之關係............44
【表4-9】各類投資人日群聚值與過去報酬之關係..............44
【表4-10】各類投資人日內群聚行為VAR 分析結果.............47
【表4-11】各類投資人日內群聚行為Granger 因果關係檢定結果.47

參考文獻
1.吳政樂，(1998)。證券自營商之從重行為與投資策略分析，國立中央大學財務管理研究所未出版碩士論文。
2.郭佩效，(2000)。共同基金群集行為即對股價影響之研究，朝陽科技大學財務金融研究所碩士論文。
3.翁英傑，(1996)。自營商及外資之投資行為研究，輔仁大學金融研究所未出版碩士論文。
4.詹瑞華，(2003)。交易制度、市場透明度與投資人行為之研究，國立政治大學企業管理研究所碩士論文。
5.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。
6.劉佳奇，(2005)。投資人的過度自信、從眾行為與交易績效，國立中山大學財務管理學系碩士論文。
7.Ahn, H. J., J. Cai, and Y. L. Cheung, 2005, “Price Clustering on the Limmit-Order Book: Evidence from the stock Exchange of Hong Kong,” Journal of Financial Markets, 8, 421-451.
8.Aitken, M., A. Frino, McCorry, M. and P. Swan, 1998, “Short sales and Almost Instantaneously Bad News: Evidence from the Australia stock Exchange,” Journal of Finance, 53, 2205-2223.  
9.Banerjee, A., 1992, “A Simple Model of Herd Behavior,” Quarterly Journal of Economics, 107, 797-817.
10.Barberis, N. and A. Shleifer, 2003, “Style Investing,” Forthcoming Journal of Financial Economics.
11.Barber, B. M., Odean, T. and Zhu, N., 2003, “Systematic Noise,” Working paper, University of California, Berkeley.
12.Bikhchandani, S., D. Hirshleifer, I. Welch, 1992, “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades,” Journal of Political Economy 100, 992-1026.
13.Bouchaud, J.P., 2002, “An Introduction to Statistical Finance,” Physical A 313, 238-251.
14.Bowe, Michael, and Domuta, D., 2004, “Investor Herding During Financial Crisis：A Clinical Study of the Jakarta Stock Exchange,” Pacific-Basin Finance Journal, 12, 387-418.
15.Brown, S., and J. Warnar., 1985, “Using Daily Stock Return：The Case of Event Studies,” Journal of Financial Economics, 14, 3-31.
16.Calvo, G., Mendoza, E., 2000, “Rational Herd Behavior and Globalization of Securities Markets.” Journal of International Economics 51, 79–113.
17.Chan, K. C. Louis, and J. Lakonishok, 1993, “Institutional Trades and Intraday Stock Price Behavior,” Journal of Financial Economics, 33, 173-199.
18.Choe, H., B-C. Kho, and R. M. Stulz , 1999, “Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997,” Journal of Financial Economics, 54,227-264.
19.Cohen , K., G. A. Hawawini, S. F. Maier, R. A. Schwartz, and D. K. Whitcomb.,1980, “Implications of Microstructure Theory for Empirical Research on Stock Price Behavior,” Journal of Finance, 35, 249-257.
20.Cont, R. and J.P. Bouchaud, 2000, “Herd Behavior and Aggregate Fluctuations in Financial Markets,” Macroeconomic Dynamics , 4, 170-196.
21.Cutler, D.M, J.M. Poterba and L. Summers, 1989, “What Moves Stock Prices?” Journal of Portfolio Management, 15, 4-12.
22.Del Guercio, D., 1996, “The Distorting Effect of the Prudent-man Laws on Institutional Equity Investment,” Journal of Financial Economics, 40, 31-62.
23.Devenow, A., Welch, I., 1996, “Rational Herding in Financial Economics.” European Economic Review 40, 603–615.
24.Diamond, D. and R. Verrecchia, 1987, “Constraints on Short-Selling and Asset Price Adjustment to Private Information,” Journal of Financial Economics, 18, 277-311.
25.Dorn, D., Huberman,G. and Sengmueller, P., 2008, “Correlated Trading and Returns,“ Journal of Finance, 2, 885-920.
26.Dreman, D., 1979, “Contrarian Investment Strategy: The Psychology of Stock Market Success,” Random House, N.Y.
27.Dyckman, T., D. Philbrick, and J.Stephan, 1984, “A Comparison of Event Study Methodologies Using Daily Stock Returns：A Simulation Approach,” Journal of Accounting Research, 22,1-33.
28.Fama, E.F., 1970, “Efficient Capital Market: A Reviewof Theory and Empirical work,” Journal of Finance, 25,383-417.
29.Fama, E.F., 1976, “Foundations of Finance” (Basic Books, New York, New York).
30.Falkenstein, E.G., 1996, “Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,” Journal of Finance, 51,111-135.
31.Finucane Thomas J., 2002, “A Direct Test of Methods for Inferring Trade Direction from Intra-day Data,” Journal of Financial and Quantitative Analysis, 35, 553-557.
32.Friedman, B.M., 1984, “A Comment: Stock Prices and Social Dynamics,” Brookings Papers on Economic Activity, 2, 504-508.
33.Froot, A, Kenneth, David S. Scharfestein, and Jeremy Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation,” Journal of finance, 47, 1461-1484.
34.Harris, L., 1986, “A Transaction Data Study of Weekly and Intraday Patterns in Stock Returns,” Journal of Financial Economics, 16, 99-117.
35.Hirshleifer D., A. Subrahmanyam, and Sheridan Titman, 1994,“Security Analysis and Trading Patterns When Some Investors Receive Information Before Others,” Journal of Finance, 49, 1665-1698.
36.Iihara, Y., H. K. KATO, and T. Tokunaga, 2001, “Investors’ Herding on the Tokyo Stock Exchange,” International Review of Finance, 2, 71-98.
37.Jain, P., and G. H. Joh, 1988, “The Dependence Between Hourly Price and Trading Volume,” Journal of Financial and Quantitative Analysis, 23, 269-283.
38.Kang, J. K., and R.M. Stulz, 1997, “Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan,” Journal of Financial Economics 46, 3-28.
39.Lakonishok, J., Shleifer, A., Thaler, R. and Vishny, R.W., 1991, “Window Dressing by Pension Fund Managers,” Journal of Financial Economics, 32,23-43.
40.Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, “The Impact of Institutional Trading on Stock Prices,” Journal of Financial Economics, 32, 23-43.
41.Lee, C.M.C., and M.J. Ready, 1991, “Inferring Trade form Intraday data,”  Journal of Finance, 46, 733-746.
42.McInish, T., and R. Wood, 1985, “Intraday and Overnight Returns and Day-of-the-Week Effects,” Journal of Financial Research, 8, 119-126.
43.Mian G.M. and C.M. Adam, 2001, “Volatility Dynamics in High Frequency Financial Data: An Empirical Investigation of the Australian Equity Returns,” Applied Financial Economics 11, 341-352.
44.Mucklow, B., 1994, “Market Microstructure: An Examination of the Effects on. Intraday Event Studies,” Contemporary Accounting Research,10, 355-386.
45.Nofsinger, J.R., and R.W. Sias, 1999, “Herding and Feedback Trading by Institutional and Individual Investors,” Journal of Finance, 54, 2263-2295.
46.Patterson, D., and Sharma, V., 2005, “Intraday Herding and Market Efficiency”.
47.Scharfstein, D. S. and Stein, J. C., 1990, “Herd Behavior and Investment,” American Economic Review, 80, 465-479.
48.Shiller R., 1989, “Market Volatility” (MIT Press, Cambridge, MA).
49.Sias, Richard W., and Laura T. Starks, 1997, “Return autocorrelation and institutional investors,” Journal of Financial Economics, 46,103-131.
50.Trueman, B., 1988. “A Theory of Noise Trading in Securities Markets.” Journal of Finance, 43, 83– 95.
51.Trueman, B., 1994, “Analysts Forecasts and Herding Behavior”, Review of Financial Studies 7, 97-124.
52.Welch, I., 1992, “Sequential Sales, Learning, and Cascades,” Journal of Finance, 47, 695-732.
53.Welch, I., 1996, “Rational Herding in Financial Economics,” European Economic Review, 40, 603-615.
54.Wermers, R., 1999, “Mutual Fund Herding and the Impact on Stock Prices,” Journal of Finance, 54, 581-622. 
55.Wylie, S., 2005, “Fund Manager Herding: A Test of the Accuracy of Empirical Results Using U.K. Data,” Journal of Business, 78, 381-403.