An Analysis of Herding Behaviors in Taiwanese Stock Market 洪福彬、陳君達
E-mail: 211268@mail.dyu.edu.tw
ABSTRACT
In this paper we use daily data from January 1, 1996 to December 31, 2007 to in-vestigate individual investors’ herding behavior by the cross-sectional dispersion of systematic risk (beta) in Taiwan’s stock market. The empirical results show that indi-vidual investors do have apparent herding behavior in Taiwan’s stock market. We fur-ther analyze the factors which could cause the individual investors herding behavior and find that besides the stock return, the volatility of stock return, the stock turnover rate, and the foreign investor’s shareholding ratio, the individuals might also adjust their in-vestment strategies by firm size and BE/ME ratio. The stocks with smaller firm sizes re-flect more significant herding behavior and there is positive herding behavior in the stocks of larger firms. In addition, the business cycle (such as the 1997 Asian financial crisis, bullish/bearish stock market), stock market liberalizations (such as the removal of Qualified Foreign Institutional Investors), and the presidential elections would also generate and affect herding behavior. It is noteworthy that there is a stronger herding behavior after the structural change of the stock market than before the structural change
Keywords : Herding Behavior、State Space Model、Behavior Finance Table of Contents
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 REFERENCES
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