台灣整體股市與各產業類股從眾行為分析

The Herd Behavior in Taiwan Stock Market and Across Industries

林慧如(Hui-Ju Lin)

指導教授 ： 李榮鎮博士

長榮大學/管理學院/經營管理研究所(博)/碩士(2008年)

摘要

本研究的目的是要檢定台灣整體股市及各產業類股投資的從眾現象。本文中股票報酬離散度採用Chirstie and Huang (1995)所提出的橫斷面報酬標準差(CSSD)衡量方法。日資料之實證結果發現台灣整體股市在極端波動時，投資者具有明顯從眾現象。以各產業的從眾行為來分析，亦發現除極少數產業外，絕大多數產業的投資者皆呈明顯從眾現象。
本文並以Chang,Cheng and Khorana (2000)所提之方法來進行台灣股市及各產業從眾行為之檢定。此方法為要檢定股票報酬離散度與市場報酬率的關係是否在股市大波動時，仍然具有線性關係，因此在迴歸模型中加入非線性之變數。本文運用此方法進一步證實台灣整體股市及絕大多數的產業類股皆有很明顯的從眾行為，且無論是整體股市或以產業為分類，共同的現象是在牛市時比在熊市時從眾行為更為明顯。此外，探討規模效應與從眾行為之關係，實證顯示規模最小的投資組合(small stock portfolios)之從眾現象明顯大於規模最大的投資組合(large stock portfolios)。本研究之結論與Chang et al. (2000)的結論一致但與國內一些研究論文，例如:江宏儒 (民91)的結論不盡一致。原因可能是本研究涵蓋的期間較長所致。

關鍵字

從眾行為 ； CSSD ； 市場報酬率 ； 產業類股

並列摘要

The purpose of this paper is to test the herding behavior of the entire stock markets and across industries of Taiwan. Specifically, we employ a return dispersion measure, cross sectional standard deviation of return (CSSD), suggested by Christie and Huang (1995), to detect herding behavior in market setting. Our empirical tests indicate that during periods of extreme price movements, equity return dispersions of the entire stock market and across industries tend to decrease, hence providing evidence of herding behavior.
An alternative test of herding used by Chang, Cheng and Khorana (2000),which require an additional regression parameter to capture any possible non-linear relation between stock return dispersions and the stock market. Our results show that the parameter estimates of the non-linear term are negative and statistically significant. The results indicate that as the average market return becomes large the CSSD increases at a decreasing rate. These suggest a non-linear relation between CSSD and market return does hold in both up and down markets. Therefore, this evidence is consistent with the intuition of Christie and Huang (1995) that during the periods of extreme market movements, individual suppress their own beliefs in favor of the market consensus ( hence herding).
Furthermore, the asymmetric reaction analysis of this paper indicate that decrease in return dispersion is much more aggressive during dramatic up markets than in down markets of the entire stock market and with only very few exceptions for across industries. In conclusion, the results of this paper are consistent with those documented by Chang, Cheng and Khorana (2002). However, perhaps due to the difference in time horizon of research data, our results are not quite consistent with those documented by Jiang (2002) and the rest of some other Taiwan researchers.

並列關鍵字

Herding Behavior ； CSSD ； Market Return ； Industries

參考文獻

6.郭效佩(民89)。共同基金群集行為及其對股價影響之研究。私立

A study of mutual fund behavior. American Economic Review

9.施元生(民90)。投信、外資及散戶從眾行為之探討。私立元智大

8.施秀婷(民91)。高科技類股從眾行為之研究。私立元智大學管理

7.卓凡渝(民96)。不同波動程度下之從眾行為-台灣股票市場之研