台灣證券市場從眾行為實證檢視：整體股票市場和產業觀點

An Empirical Examination of Herd Behavior in Taiwan Equity Markets：Whole stock market and industry perspectives.

楊永富(Yung-Fu Yang)

指導教授 ： 李榮鎮

長榮大學/管理學院/經營管理研究所/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Chang, Cheng and Khorana (2000)所提出的橫斷面報酬絕對誤差(CSAD)衡量方法。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)所提之檢定從眾行為的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，共同的現象是在熊市時比在牛市時從眾行為更為明顯，此現象與McQueen et al. (1996)的論點一致。而價格限制與從眾行為之實證方面，除整體市場發現在牛市時，從眾現象有減弱的現象；在熊市時從眾現象消失外，其餘檢定與無價格限制下無差異，皆存在從眾現象。
但整體而言，本研究之結論與Chang, Cheng and Khorana (2000)的結論一致但與國內一些研究論文，例如:江宏儒 (2002)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 ； CSAD ； 市場報酬率 ； 價格限制

並列摘要

This study examines the herding behavior of the entire stock markets and across industries of Taiwan. In an empirical study, Chtistie and Huang (1995) examine the investment behavior of market participants in the U.S. equity market. By utilizing the Cross-Sectional Standard Deviation (CSSD) as a measure of the average proximity of individual asset returns to the realized market average, they develop a test of herd behavior.
Chang, Cheng and Khorana (2000) extend the work of Chtistie and Huang (1995) along a larger dimension. They use a non-linear regression specification to examine the relation between the level of equity return dispersions and the overall market return. They measure the equity return dispersion by the Cross-Sectional Absolute Deviation of Return (CSAD). In this paper, I also use CSAD to examine the presence of herding of the entire stock and across the industries of Taiwan equity markets.
The empirical test in this study indicates that during periods of extreme price movement, the market participants are more likely to herd during periods of dramatic up markets than in down markets of the entire stock market and across industries. Further, I conduct test to examine whether the presence of the daily price limits (7%) imposed on stock markets in Taiwan is significant. However, these tests alter our overall evidence in favor of herding in the equity markets of Taiwan.

並列關鍵字

Herding Behavior ； CSSD ； Market Return ； Price Limit

參考文獻

6. 李春安，賴藝文，2005，股市劇烈波動區間台灣股票市場與本國機構投資人從眾行為之研究，台灣管理學刊，第5?f，第2期，pp.231-268。

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