台灣股票市場共移現象之研究

The Co-Movement Effect of Stock Return in Taiwan Stock Market

李顯儀(Hsien-Yi Lee) ； 吳幸姬(Hsing-Chi Wu)

《管理研究學報》 7卷2期 (2007/12) Pp. 257-283

https://doi.org/10.6626/MR.2007.7(2).04

摘要

本文的主要研究目的在於探討股票市場在不同時期，各類型股票集群的齊漲齊跌現象，藉由此現象的探討，以瞭解投資人在不同時期的從眾行為是否有差異？本文使用台灣股票市場1994至2005年的股價日報酬進行研究，並將股票依公司規模、股票價格、財務信用狀況進行分類。實證結果發現：在多頭市場的初期，大型股和高價股的齊漲現象是明顯高於多頭市場全期；在多頭市場的末期（急跌期），小型股、低價股、地雷股的齊漲（齊跌）現象是分別明顯高於多頭市場全期。在空頭市場的初期，低價股與地雷股的齊跌現象是明顯高於空頭市場全期；在空頭市場的急漲期，小型股與低價股的齊漲現象也是明顯高於空頭市場全期。這結果隱含著投資人的從眾行為會因市場狀態及股票屬性而有所差異。

關鍵字

共移 ； 從眾行為 ； 多頭空頭市場 ； 初末期 ； 急漲跌期

並列摘要

The main purpose of this paper is to explore synchronous stock return movement effect for stock groups of some type in different periods of Taiwan stock market. By the study of this effect, we want to understand whether herding behaviors of investors are different in different periods. This research uses daily stock returns from 1994 to 2005 (12 years) in Taiwan stock market, and divides all stock into some groups according to size, price, and financial credit. The empirical evidence finds the synchronous up moving of the large size and the high price stock groups in the initial period of bull market are significantly higher than that in the total period of bull market; and the synchronous up (down) moving of the small size, the low price and the weak financial credit stock groups in the last period (extreme down period) of bull market are significantly higher than that in the total period of bull market. Besides, the synchronous down moving of the low price and the weak financial credit stock groups in the initial period of bear market are significantly higher than that in the total period of bear market, and the synchronous up moving of the small size and the low price stock groups in the extreme up period of bear market are also significantly higher than that in the total period of bear market. The results imply the herding behaviors of investors are different on the different periods and on the different stock groups.

並列關鍵字

Co-movement effect ； herding behavior ； bull bear market ； initial last period ； extreme up down period