放寬漲跌幅限制對股票市場從眾行為之影響：日資料與日內資料之分析

The Impact of Price Limit on Herding Behavior: Daily and Intraday Analysis of Stock Market

陳秀桂(Hsiu-Kuei Chen) ； 林欣羿(Hsin-Yi Lin)

《當代商管論叢》 3卷1期 (2018/12) Pp. 29-53

https://doi.org/10.6852/JCBM.201812_3(1).02

摘要

本研究以日資料與日內資料探討漲跌幅限制放寬對從眾行為的影響，並以橫斷面絕對離差模型（cross-sectional absolute deviation, CSAD）衡量從眾行為。日資料實證結果發現，制度放寬後高價的股票在下跌市場從眾現象較為明顯；中價股在極端下跌市場從眾現象較為顯著；股價較低的股票則是在極端上漲市場從眾現象較為顯著。日內分析顯示價格限制放寬後從眾行為在下跌市場、極端上漲、極端下跌市場時，接近中午之從眾現象較為明顯。

關鍵字

從眾行為 ； 漲跌幅限制 ； 日內分析

並列摘要

This study uses daily and intraday data to explore the impact of the relaxation of price fluctuation limits on herding behavior. After the relaxation of price fluctuation limits, the empirical results of the daily data show during the down market, high price stocks exhibit more significant herding behavior and middle price stocks display more herding behavior in the extreme down market. In contrast, low price stocks show herding behavior in the extreme up market. The results of intraday analysis indicate that herding behavior is more obvious towards midday in the down, extremely down and extremely up market after the relaxation of daily price fluctuation limits.

並列關鍵字

Herding Behavior ； Price Limit ； Intraday Analysis