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系統識別號 U0002-2006201010431900
中文論文名稱 投資人日內群聚行為分析:理性或非理性?
英文論文名稱 The Analysis of Investors' Intraday Herding: Rational or Irrational?
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 龍培堯
研究生英文姓名 Pei-Yau Lung
學號 697530490
學位類別 碩士
語文別 中文
口試日期 2010-05-14
論文頁數 57頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-施俊吉
委員-邱建良
委員-李沃牆
委員-段昌文
中文關鍵字 群聚行為  波動度  雜訊 
英文關鍵字 Herding  Volatility  Noise 
學科別分類 學科別社會科學商學
中文摘要 本研究利用逐筆委託單,以Patterson and Sharma(2005) 所提出的Bootstrapped runs test 來計算群聚指標,並利用揭示檔及成交單資料,以Hu(2006) 之方法估計股票報酬波動度中所含之雜訊,觀察台灣股票市場中散戶、外資、投信基金以及自營商群聚行為與股票報酬波動度之關係以及其中雜訊的變化,並推論何類投資人群聚行為屬於根據資訊的理性群聚,而何種投資人屬於盲從之非理性群聚。
實證結果發現,在整日觀察下,各類投資人群聚行為對波動度並無顯著影響,而投信則是會使雜訊降低。在日內區間,散戶之群聚行為皆會使波動度提高,開盤時投信及外資群聚行為會使雜訊降低,表示其為根據隔夜資訊所作之理性群聚;而盤中及收盤,除了投信外其餘三類投資人群聚行為均會使雜訊增加,散戶在收盤時更是明顯,此可以資訊瀑布流來解釋,此時群聚行為多屬於非理性之群聚。因此綜合來看,投信多屬於根據資訊之理性群聚者,散戶則多屬於盲從之非理性群聚者。
英文摘要 This study Based on intraday order book data and transaction data from Taiwan Stock Exchange(TSE), adopted the herding measurement of Patterson and Sharma(2005) and the estimation of noise by Hu(2006). Then observed the relationship between herding behavior of different type of investors and noise in Taiwan stock market, and tried to infer that investors’ herding behavior was rational or irrational.
The empirical result showed that investors’ herding behavior had no significant effect on volatility, but herding behavior by Investment Trust decreased noise in daily pattern. In intraday pattern, herding by Investment Trust and Foreign Institutional Investor decreased noise but individuals increased noise at market open. At market close, herding behavior except Investment Trust increased noise especially individuals, and this can be explained by information cascade. According to the result above, herding by Investment Trust was rational, but herding by individuals was irrational.
論文目次 目錄
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 4
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻回顧 7
第一節 群聚行為成因 7
第二節 群聚之實證研究 11
第三節 群聚行為對股票波動之影響 13
第三章 研究方法 16
第一節 研究資料 16
第二節 研究期間與樣本選取之標準 21
第三節 主要變數 24
第四章 實證結果與分析 29
第五章 結論與建議 50
第一節 研究結論 50
第二節 對後續研究之建議 53
參考文獻 54

圖表目錄
【表 3-1】成交檔資料格式 19
【表 3-2】委託檔資料格式 19
【表 3-3】揭示檔資料格式 20
【圖 3-1】撮合時間次數分配圖 28
【表 4-1】敘述統計 32
【表 4-2】日內各區間報酬波動度及雜訊占總波動比例 34
【表 4-3】日內報酬波動度及雜訊占總波動比例與群聚值之關係 37
【表 4-4】各類投資人群聚行為與雜訊占總波動比例之關係 38
【表 4-5】迴歸分析:日群聚現象與波動度及雜訊之關係 43
【表 4-6】迴歸分析:日內群聚現象與波動度及雜訊之關係 49
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