摘要
傳統上，經濟學家假設參與經濟活動的人具有完全的理性，然而，隨著行為經濟學的深入研究，科學家發現人的行為是介於理性與非理性之間。依據傳統的分析，若在金融市場上隨機抽取一個投資人，則其應該是以自己的意願作決定，但是越來越多的實證研究發現絕大多數的情況下，投資人會受到其他投資人的行動影響，因而改變自己的心意，轉而跟從他人的行為。 本研究以樣本期間2006年至2009年共995筆的臺灣股市各類型投資人交易情形的日資料，運用Quandt-Andrews檢定、單變數與多變數GARCH模型、VAR模型及Granger因果關係檢定等方式找出存在於市場上的從眾行為。結果發現：一、不論是投資人的類型為何，其當期交易情形會受到自身以前期間交易情形的影響。二、除了外資以外，投資人均有跟從其他類型投資人交易的情形。
並列摘要
Traditionally, economists hypothesize people, involving in economic activities, are of full rationality; however, as the rise of behavioral economics, scientists have found that human behaviors are between rationality and irrationality. In financial markets, randomly selected, a person makes decision of transactions by his own will, as conventional analyses said. Unfortunately, most of the time, more and more empirical evidence shows that people are influenced by other investors’ actions, and change their minds to herd others. This article is to investigate the herd behavior in the Taiwan stock market, using the daily data, from 2006 to 2009, sample size of 995, of the trading conditions of all kinds of investors, with Quandt-Andrews test, univariate and multivariate GARCH models, the VAR model, and Granger causality test. The major findings are as follows: First, no matter what kinds of investors are, they all herd themselves. Second, investors, except the foreign brokers, herd other types of investors.