第五章 結論與建議
第二節 對後續研究者的建議
本研究進行國際股市投資人從眾行為的成因探討，並嘗試從國家文化和行為 偏誤因素來解釋從眾傾向的不同，以及從中獲得實證結果與意涵。在初步完成本 篇論文之後，本研究也對後續的研究者提供下列的建議，以期後續研究者進行與 本文主題相關之研究時可能獲得更嚴謹的實證結果：
1. 本研究所採用的國家文化研究資料已經有一段時間，Hofstede (2001, 2005, 2010)所編製的國家文化指標主要是根據 1967 年至 1973 年的問卷調查結果，
而 Tang and Koveos (2008)修正過後的國家文化指標則是在 2008 年的研究結 果；後續研究者可以嘗試尋找更新的或者更合適的國家文化研究變數。
2. 本研究以股價淨值比作為過度樂觀的代理變數；另外，以交易量作為過度自 信及處份效果的代理變數；後續研究者可以以更合適的代理變數來評估這三 種行為偏誤，或者探討這三種以外的行為偏誤因素對從眾行為的影響。
3. 本研究的研究對象包括 50 個國家，後續研究者若能獲得更多國家的資料，則 能對本研究的結果作進一步的驗證。
4. 本研究是探討股票市場的從眾行為，以及國家文化與行為偏誤對股市從眾行 為的影響；因此，建議後續研究可進一步分析，國家文化與行為偏誤因素對 債券、期貨及選擇權市場從眾傾向的影響。
78
參考文獻
Aaker, J. L. and Williams, P., 1998. Empathy versus pride: The influence of emotional appeals across cultures. Journal of Consumer Research, 25(3), 241-261.
Acharya, V. V. and Yorulmazer, T., 2005. Limited liability and bank herding.
Working Paper, London Business School.
Acharya, V. V. and Yorulmazer, T., 2007. Too many to fail - An analysis of time-inconsistency in bank closure policies. Journal of Financial Intermediation, 16(1), 1-31.
Acharya, V. V. and Yorulmazer, T., 2008. Information contagion and bank herding.
Journal of Money, Credit and Banking, 40(1), 215-231.
Banerjee, A. V., 1992. A simple model of herd behavior. Quarterly Journal of Economics, 107(3), 797-817.
Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2007. Is the aggregate investor reluctant to realise losses? Evidence from Taiwan. European Financial Management, 13(3), 423-447.
Barber, B. M., Odean, T., and Zhu, N., 2009a. Do retail trades move markets? Review of Financial Studies, 22(1), 151-186.
Barber, B. M., Odean, T., and Zhu, N., 2009b. Systematic noise. Journal of Financial Markets, 12(4), 547-569.
Beugelsdijk, S. and Frijns, B., 2010. A cultural explanation of the foreign bias in international asset allocation. Journal of Banking and Finance, 34(9),
79
2121-2131.
Bikhchandani, S., Hirshleifer, D., and Welch, I., 1992. A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992-1026.
Blasco, N., Corredor, P., and Ferreruela, S., 2011. Market sentiment: A key factor of investors' imitative behavior. Accounting and Finance, Early View.
Blasco, N. and Ferreruela, S., 2008. Testing intentional herding in familiar stocks: An experiment in an international context. Journal of Behavioral Finance, 9(2), 72-84.
Bondt, W. F. M. D. and Forbes, W. P., 1999. Herding in analyst earnings forecasts:
evidence from the United Kingdom. European Financial Management, 5(2), 143-163.
Boyson, N. M., 2010. Implicit incentives and reputational herding by hedge fund managers. Journal of Empirical Finance, 17(3), 283-299.
Brown, G. W. and Cliff, M. T., 2005. Investor sentiment and asset valuation. Journal of Business, 78(2), 405-440.
Brown, N. C., Wei, K. D., and Wermers, R., 2008. Analyst recommendations, mutual fund herding, and overreaction in stock prices. Working Paper, University of Southern California.
Carpenter, A. and Wang, J., 2007. Herding and the information content of trades in the Australian dollar market. Pacific-Basin Finance Journal, 15(2), 173-194.
Chang, C.-H., 2012. Do cultural differences and investors' psychological pitfalls drive the tendency to herd? Evidence from global stock markets. Working Paper,
80
National University of Kaohsiung.
Chang, E. C., Cheng, J. W., and Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651-1679.
Chang, E. C. and Dong, S., 2006. Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market. Pacific-Basin Finance Journal, 14(2), 135-154.
Chen, A.-S. and Hong, B.-S., 2006. Institutional ownership changes and returns around analysts' earnings forecast release events: Evidence from Taiwan.
Journal of Banking and Finance, 30(9), 2471-2488.
Chen, Y.-F., Wang, C.-Y., and Lin, F.-L., 2008. Do qualified foreign institutional investors herd in Taiwan's securities market? Emerging Markets Finance and Trade, 44(4), 62-74.
Chevalier, J. and Ellison, G., 1999. Career concerns of mutual fund managers.
Quarterly Journal of Economics, 114(2), 389-432.
Chiang, T. C., Li, J., and Tan, L., 2010. Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. Global Finance Journal, 21(1), 111-124.
Chiang, T. C. and Zheng, D., 2010. An empirical analysis of herd behavior in global stock markets. Journal of Banking and Finance, 34(8), 1911-1921.
Choi, N. and Sias, R. W., 2009. Institutional industry herding. Journal of Financial Economics, 94(3), 469-491.
Christie, W. G. and Huang, R. D., 1995. Following the pied piper: Do individual
81
returns herd around the market? Financial Analysts Journal, 51(4), 31-37.
Chuang, W.-I. and Lee, B.-S., 2006. An empirical evaluation of the overconfidence hypothesis. Journal of Banking and Finance, 30(9), 2489-2515.
Chuang, W.-I. and Susmel, R., 2011. Who is the more overconfident trader?
Individual vs. institutional investors. Journal of Banking and Finance, 35(7), 1626-1644.
Chui, A. C. W., Titman, S., and Wei, K. C. J., 2010. Individualism and momentum around the world. Journal of Finance, 65(1), 361-392.
Clement, M. B. and Tse, S. Y., 2005. Financial analyst characteristics and herding behavior in forecasting. Journal of Finance, 60(1), 307-341.
Cornelli, F., Goldreich, D., and Ljungqvist, A., 2006. Investor sentiment and pre-IPO markets. Journal of Finance, 61(3), 1187-1216.
Coval, J. D. and Moskowitz, T. J., 2001. The geography of investment: Informed trading and asset prices. Journal of Political Economy, 109(4), 811-841.
Dass, N., Massa, M., and Patgiri, R., 2008. Mutual funds and bubbles: The surprising role of contractual incentives. Review of Financial Studies, 21(1), 51-99.
Demarzo, P. M., Kaniel, R., and Kremer, I., 2004. Diversification as a public good:
Community effects in portfolio choice. Journal of Finance, 59(4), 1677-1716.
Demarzo, P. M., Kaniel, R., and Kremer, I., 2007. Technological innovation and real investment booms and busts. Journal of Financial Economics, 85(3), 735-754.
Demarzo, P. M., Kaniel, R., and Kremer, I., 2008. Relative wealth concerns and financial bubbles. Review of Financial Studies, 21(1), 19-50.
82
Denis, D. J. and Sarin, A., 2001. Is the market surprised by poor earnings realizations following seasoned equity offerings? Journal of Financial and Quantitative Analysis, 36(2), 169-193.
Desai, H., Liang, B., and Singh, A. K., 2000. Do all-stars shine? Evaluation of analyst recommendations. Financial Analysts Journal, 56(3), 20-29.
Dorn, D., Huberman, G., and Sengmueller, P., 2008. Correlated trading and returns.
Journal of Finance, 63(2), 885-920.
Economou, F., Kostakis, A., and Philippas, N., 2011. Cross-country effects in herding behaviour: Evidence from four south European markets. Journal of International Financial Markets, Institutions and Money, 21(3), 443-460.
Falkenstein, E. G., 1996. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. Journal of Finance, 51(1), 111-135.
Fama, E. F., 1965. The behavior of stock market prices. Journal of Business, 38(1), 34-105.
Franke, R. H., Hofstede, G., and Bond, M. H., 1991. Cultural roots of economic performance: A research note. Strategic Management Journal, 12(S1), 165-173.
Frazzini, A., 2006. The disposition effect and underreaction to news. Journal of Finance, 61(4), 2017-2046.
Froot, K. A., Scharfstein, D. S., and Stein, J. C., 1992. Herd on the street:
Informational inefficiencies in a market with short-term speculation. Journal of Finance, 47(4), 1461-1484.
Fu, R. and Wedge, L., 2011. Managerial ownership and the disposition effect. Journal
83
of Banking and Finance, 35(9), 2407-2417.
Geletkanycz, M. A., 1997. The salience of "culture's consequences": The effects of cultural values on top executive commitment to the status quo. Strategic Management Journal, 18(8), 615-634.
Gervais, S., Heaton, J. B., and Odean, T., 2011. Overconfidence, compensation contracts, and capital budgeting. Journal of Finance, 66(5), 1735-1777.
Gervais, S. and Odean, T., 2001. Learning to be overconfident. Review of Financial Studies, 14(1), 1-27.
Gervais, S. and Odean, T., 2001. Learning to be overconfident. Review of Financial Studies, 14(1), 1-27.
Gloede, O. and Menkhoff, L., 2011. Financial professionals' overconfidence: Is it experience, function, or attitude? European Financial Management, Early View.
Goetzmann, W. N. and Massa, M., 2008. Disposition matters: Volume, volatility, and price impact of a behavioral bias. Journal of Portfolio Management, 34(2), 103-125.
Gompers, P. A. and Metrick, A., 2001. Institutional investors and equity prices.
Quarterly Journal of Economics, 116(1), 229-259.
Goo, Y.-J., Chen, D.-H., Chang, S.-H. S., and Yeh, C.-F., 2010. A study of the disposition effect for individual investors in the Taiwan stock market.
Emerging Markets Finance and Trade, 46(1), 108-119.
Graham, J. R., 1999. Herding among investment newsletters: Theory and evidence.
Journal of Finance, 54(1), 237-268.
84
Granger, C. W. J. and Newbold, P., 1974. Spurious regressions in econometrics.
Journal of Econometrics, 2(2), 111-120.
Grinblatt, M., Keloharju, M., and Linnainmaa, J. T., 2012. IQ, trading behavior,and performance. Journal of Financial Economics, 104(2), 339-362.
Grinblatt, M., Titman, S., and Wermers, R., 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.
American Economic Review, 85(5), 1088-1105.
Grundy, B. D. and Li, H., 2010. Investor sentiment, executive compensation, and corporate investment. Journal of Banking and Finance, 34(10), 2439-2449.
Henker, J., Henker, T., and Mitsios, A., 2006. Do investors herd intraday in Australian equities? International Journal of Managerial Finance, 2(3), 196-219.
Hirshleifer, D., Subrahmanyam, A., and Titman, S., 1994. Security analysis and trading patterns when some investors receive information before others.
Journal of Finance, 49(5), 1665-1698.
Hofstede, G., 2001. Culture's consequences: Comparing values, behaviors, institutions, and organizations across nations. 2nd ed. Thousand Oaks, CA:
Sage.
Hofstede, G. and Hofstede, G. J., 2005. Cultures and organizations: Software of the mind. 2nd ed. New York: McGraw-Hill.
Hofstede, G., Hofstede, G. J., and Minkov, M., 2010. Cultures and organizations:
Software of the mind: Intercultural cooperation and its importance for survival. 3rd ed. New York: McGraw-Hill.
85
Hong, H., Kubik, J. D., and Solomon, A., 2000. Security analysts' career concerns and herding of earnings forecasts. RAND Journal of Economics, 31(1), 121-144.
Hong, H., Kubik, J. D., and Stein, J. C., 2005. Thy neighbor's portfolio:
Word-of-mouth effects in the holdings and trades of money managers. Journal of Finance, 60(6), 2801-2824.
Hwang, S. and Salmon, M., 2004. Market stress and herding. Journal of Empirical Finance, 11(4), 585-616.
Jackson, A., 2003. The aggregate behaviour of individual investors. Working Paper, London Business School.
Jegadeesh, N. and Kim, W., 2010. Do analysts herd? An analysis of recommendations and market reactions. Review of Financial Studies, 23(2), 901-937.
Jeon, J. Q. and Moffett, C. M., 2010. Herding by foreign investors and emerging market equity returns: Evidence from Korea. International Review of Economics and Finance, 19(4), 698-710.
Kachelmeier, S. J. and Shehata, M., 1997. Internal auditing and voluntary cooperation in firms: A cross-cultural experiment. Accounting Review, 72(3), 407-431.
Kim, C. F. and Pantzalis, C., 2003. Global/industrial diversification and analyst herding. Financial Analysts Journal, 59(2), 69-79.
Kim, K. A. and Nofsinger, J. R., 2005. Institutional herding, business groups, and economic regimes: Evidence from Japan. Journal of Business, 78(1), 213-242.
Kim, W. and Wei, S. J., 2002. Foreign portfolio investors before and during a crisis.
Journal of International Economics, 56(1), 77-96.
86
Kutsuna, K., Smith, J. K., and Smith, R. L., 2009. Public information, IPO price formation, and long-run returns: Japanese evidence. Journal of Finance, 64(1), 505-546.
Kwok, C. C. Y. and Tadesse, S., 2006. National culture and financial systems.
Journal of International Business Studies, 37(2), 227-247.
Lakonishok, J., Shleifer, A., Thaler, R., and Vishny, R., 1991. Window dressing by pension fund managers. American Economic Review, 81(2), 227-231.
Lakonishok, J., Shleifer, A., and Vishny, R. W., 1992. The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23-43.
Liao, T. L., Huang, C. J., and Wu, C. Y., 2011. Do fund managers herd to counter investor sentiment? Journal of Business Research, 64(2), 207-212.
Menkhoff, L., Schmeling, M., and Schmidt, U., 2010. Overconfidence, experience, and professionalism: An experimental study. Working Paper, Leibniz Universität Hannover.
Minkov, M., 2007. What makes us different and similar: A new interpretation of the world values survey and other cross-cultural data. Sofia, Bulgaria: Klasika i Stil.
Nakagawa, R., Oiwa, H., and Takeda, F., 2012. The economic impact of herd behavior in the Japanese loan market. Pacific-Basin Finance Journal, 20(4), 600-613.
Nakata, C. and Sivakumar, K., 1996. National culture and new product development:
An integrative review. Journal of Marketing, 60(1), 61-72.
Nofsinger, J. R. and Sias, R. W., 1999. Herding and feedback trading by institutional
87
and individual investors. Journal of Finance, 54(6), 2263-2295.
Rubin, A. and Smith, D. R., 2009. Institutional ownership, volatility and dividends.
Journal of Banking and Finance, 33(4), 627-639.
Said, S. E. and Dickey, D. A., 1984. Testing for unit roots in autoregressive-moving average model of unknown order. Biometrika, 71(3), 599-607.
Scharfstein, D. S. and Stein, J. C., 1990. Herd behavior and investment. American Economic Review, 80(3), 465-479.
Schmeling, M., 2009. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408.
Schultz, J. J., Johnson, D. A., Morris, D., and Dyrnes, S., 1993. An investigation of the reporting of questionable acts in an international setting. Journal of Accounting Research, 31(Studies on International Accounting), 75-103.
Singal, V. and Xu, Z., 2011. Selling winners, holding losers: Effect on fund flows and survival of disposition-prone mutual funds. Journal of Banking and Finance, 35(10), 2704-2718.
Tan, B. C. Y., Wei, K. K., Watson, R. T., Clapper, D. L., and McLean, E. R., 1998.
Computer-mediated communication and majority influence: Assessing the impact in an individualistic and a collectivistic culture. Management Science, 44(9), 1263-1278.
Tan, L., Chiang, T. C., Mason, J. R., and Nelling, E., 2008. Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16(1-2), 61-77.
Tang, L. and Koveos, P. E., 2008. A framework to update Hofstede's cultural value
88
indices: Economic dynamics and institutional stability. Journal of International Business Studies, 39(6), 1045-1063.
Uchida, H. and Nakagawa, R., 2007. Herd behavior in the Japanese loan market:
Evidence from bank panel data. Journal of Financial Intermediation, 16(4), 555-583.
Venezia, I., Nashikkar, A., and Shapira, Z., 2011. Firm specific and macro herding by professional and amateur investors and their effects on market volatility.
Journal of Banking and Finance, 35(7), 1599-1609.
Voronkova, S. and Bohl, M. T., 2005. Institutional traders' behavior in an emerging stock market: Empirical evidence on polish pension fund Investors. Journal of Business Finance and Accounting, 32(7-8), 1537-1560.
Walter, A. and Weber, F. M., 2006. Herding in the German mutual fund industry.
European Financial Management, 12(3), 375-406.
Weber, Y., Shenkar, O., and Raveh, A., 1996. National and corporate cultural fit in mergers/acquisitions: An exploratory study. Management Science, 42(8), 1215-1227.
Welch, I., 2000. Herding among security analysts. Journal of Financial Economics, 58(3), 369-396.
Wermers, R., 1999. Mutual fund herding and the impact on stock prices. Journal of Finance, 54(2), 581-622.
Yan, Z., Zhao, Y., and Sun, L., 2012. Industry herding and momentum. Journal of Investing, 21(1), 89-96.
Yeh, R.-S. and Lawrence, J. J., 1995. Individualism and confucian dynamism: A note
89
on Hofstede's cultural root to economic growth. Journal of International Business Studies, 26(3), 655-669.
Yi, B., El-Badawi, M. H., and Lin, B., 2008. Pre-issue investor optimism and post-issue underperformance. Financial Analysts Journal, 64(5), 77-87.
Zhou, R. T. and Lai, R. N., 2009. Herding and information based trading. Journal of Empirical Finance, 16(3), 388-393.