臺灣股票市場從眾行為之研究 洪福彬、陳君達
E-mail: [email protected]
摘 要
本文旨在探討台灣上市股票市場散戶投資人的從眾行為，樣本期間為1996年1月1日至2007年12月31日的日資料，利用系統 風險離散程度作為投資人的從眾指標。實證結果顯示，台灣股票市場散戶投資人具有明顯的從眾行為。進一步探討影響散 戶投資人從眾之因素可發現，散戶投資人在進行投資時，除了會依據股票報酬、股票報酬波動性、股票週轉率與外資持股 比例之高低調整其投資行為外，公司規模與市場價值比亦會影響散戶投資人的交易行為。當公司規模愈小之股票，從眾行 為則愈顯著，而公司規模較大者，則出現正(同)向的從眾交易行為。同時經濟景氣與否(如1997年亞洲金融風暴、股市的多 空頭)與股票市場自由化的變革(如外國專業投資機構制度之解除)，亦會顯著影響散戶投資人的從眾行為。研究另發現
，2000年與2004年二次總統選舉期間，散戶投資人亦出現顯著的從眾行為。值得一提的是，當考慮股票市場結構變化時，
發現股票市場結構改變後的從眾行為高於股票市場結構改變前。
關鍵詞 : 從眾行為、狀態空間模型、行為財務
目錄
中文摘要 ．．．．．．．．．．．．．．．．．．．．． iii 英文摘要 ．．．．．．．．．．．．．．．．．．．．．
iv 誌謝辭 ．．．．．．．．．．．．．．．．．．．．． v 內容目錄 ．．．．．．．．．．．．．．．．．．．．
． vi 表目錄 ．．．．．．．．．．．．．．．．．．．．． viii 圖目錄 ．．．．．．．．．．．．．．．．．．
．．． x 第一章 緒論．．．．．．．．．．．．．．．．．．． 1 第一節 研究動機．．．．．．．．．．．
．．．． 1 第二節 研究目的．．．．．．．．．．．．．．． 3 第三節 研究貢獻．．．．．．．．．．
．．．．． 5 第四節 研究限制．．．．．．．．．．．．．．． 6 第五節 研究架構．．．．．．．．．
．．．．．． 6 註 釋 ．．．．．．．．．．．．．．．．．．． 9 第二章 相關理論與文獻回顧．．．．．．
．．．．．． 10 第一節 從眾行為理論發展．．．．．．．．．．． 10 第二節 從眾行為之文獻回顧．．
．．．．．．．． 13 第三節 從眾行為理論發展．．．．．．．．．．． 15 註 釋 ．．．．．．．．．．
．．．．．．．．． 21 第三章 資料與研究方法．．．．．．．．．．．．．． 22 第一節 資料選取．．．．
．．．．．．．．．．． 22 第二節 研究假說．．．．．．．．．．．．．．． 24 第三節 操作性定義．
．．．．．．．．．．．．． 27 第四節 研究方法．．．．．．．．．．．．．．． 29 註 釋 ．．．．．
．．．．．．．．．．．．．． 46 第四章 實證結果分析．．．．．．．．．．．．．．． 47 第一節 基本統 計量．．．．．．．．．．．．．．． 47 第二節 結構性檢定．．．．．．．．．．．．．．． 49 第三節 類股輪動之測量．．．．．．．．．．．．． 55 第四節 從眾行為實證分析．．．．．．．．．．．． 62 第五節 公司規模與市場價值比影響從眾行為．．． 67 第六節 市場結構性改變的從眾行為效果．．．．．．
80 第七節 從眾行為分析之整理．．．．．．．．．．． 114 第八節 從眾之穩健性測試．．．．．．．．
．．．． 115 註 釋 ．．．．．．．．．．．．．．．．．．．．122 第五章 結論與建議．．．．．．．．．
．．．．．．．． 123 參考文獻 ．．．．．．．．．．．．．．．．．．．．．． 126 表目錄 表 1- 1 台灣股票市場散 戶投資人成交比率與外資投資比重． 4 表 3- 1 外資投資於台灣之統計．．．．．．．．．．．．．．． 23 表 3- 2 多頭市 場與空頭市場區隔表．．．．．．．．．．． 24 表 4-1 全樣本期間之敘述性統計與相關分析．．．．．．． 48 表 4-2 樣 本期間發生結構性改變之基本統計量．．．．．． 50 表 4-3 QFII完全開放前、後的迴歸式．．．．．．．．．． 51 表 4-4 亞洲金融風暴期間前、後的迴歸式．．．．．．．． 52 表 4-5 多頭與空頭市場期間迴歸式．．．．．．．．．．． 53 表 4-6 總統選舉期間迴歸式．．．．．．．．．．．．54 表 4-7 多頭市場 係數值期間之選擇．．．．．．．．．56 表 4-8 空頭市場 係數值期間之選擇．．．．．．．．．． 58 表 4-9 各產業在多頭市場之類股輪動相關分析．．．．．． 60 表 4-10 各產業在空頭市場之類股輪動相關分析．．．．．． 61 表 4-11 狀態空間模型1－從眾的測量．．．．．．．．．．
． 63 表 4-12 狀態空間模型2－從眾的測量(加入市場波動與報酬)． 66 表 4-13 狀態空間模型3－三因子模型檢定從眾行為．
．．．． 70 表 4-14 狀態空間模型3－公司規模．．．．．．．．．．．． 73 表 4-15 狀態空間模型3－市場價值比．．．
．．．．．．．． 75 表 4-16 狀態空間模型4－從眾的測量．．．．．．．．．．． 77 表 4-17 狀態空間模型1－從眾的測 量( QFII 完全開放前)．．． 86 表 4-18 狀態空間模型1－從眾的測量( QFII 完全開放後)．．． 88 表 4-19 狀態空間模型4－
從眾的測量(非亞洲金融風暴期間)． 90 表 4-20 狀態空間模型4－從眾的測量(亞洲金融風暴期間)．． 93 表 4-21 狀態空間模 型4－從眾的測量(多頭市場期間)．．．． 96 表 4-22 狀態空間模型4－從眾的測量(空頭市場期間)．．．． 99 表 4-23 狀態
空間模型4－從眾的測量(選舉期間-一個月)．．． 102 表 4-24 狀態空間模型4－從眾的測量(非選舉期間-一個月)．． 105 表 4-25 狀態空間模型4－從眾的測量(類股輪動~多頭期間)．． 108 表 4-26 狀態空間模型4－從眾的測量(類股輪動~空頭期間)
．． 111 表 4-27 從眾現象之綜合整理．．．．．．．．．．．．．．．． 115 表 4-28 全樣本期間之穩健性測試．．．．
．．．．．．．．．． 118 表 4-29 依產業區分的穩健性測試．．．．．．．．．．．．．． 119 圖目錄 圖 1-1 研究架構
．．．．．．．．．．．．．．．．．．． 8 圖 3-1 研究流程．．．．．．．．．．．．．．．．．．． 26 圖 4-1 證券市 場股票與系統風險離散程度對照．．．．．． 85 圖 4-2 證券市場結構性變化之從眾現象．．．．．．．．． 85 圖 4-3 以 系統風險值區分之從眾穩健性測試．．．．．．． 117 圖 4-4 以股票績效值區分之從眾穩健性測試．．．．．．． 117 參考文獻
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