極端市場之際，模糊程度是否影響投資人的從眾行為

Will Ambiguity Affect herding Behavior During Market Stress?

何孟達(MENG-TA HO)

指導教授 ： 林美珍

國立臺北大學/商學院/企業管理學系/碩士(2016年)

摘要

本研究探討投資人在台灣股票市場的從眾行為及投資人的不對稱反應，使用 Chang, Cheng, & Khorana (2000)及 Yao, Ma, & He (2014)兩個研究方法探討市場模糊程度(VIX)對從眾行為的影響。首先，我們檢驗投資人在台灣上市股票市場在極端報酬之下是否有從眾行為，接著，檢驗從眾行為是否會因為市場模糊程度而有所差異。我們使用 Fu (2010)的研究方法檢視模糊程度是否會影響台灣投資人的從眾行為。實證結果顯示，在極端報酬下，台灣股市投資人有從眾行為，但市場模糊程度越高，從眾行為越不明顯。

關鍵字

從眾行為 ； 市場模糊 ； 橫斷面報酬離散 ； 橫斷面報酬絕對離散 ； 不對稱反應

並列摘要

The main purpose of this study is to investigate whether market ambiguity has impact on the herding behavior in Taiwan listed stock market. We adopt the change in volatility index (VIX) as a proxy for market ambiguity to conduct the analysis using three methods proposed by Chang, Cheng, & Khorana (2000) and Yao, Ma, & He (2014). Furthermore, we use the method proposed byFu (2010) to investigate whether ambiguity affects investors’ reaction in Taiwan stock market. Our study reveals that investors have herding behavior during extreme markets in Taiwan stock market. However, the herding behavior decreases with the volatility index.

並列關鍵字

CSAD ； CSSD ； herding ； ambiguity ； asymmetric response

參考文獻

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Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.

Christie, W. G., & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, 51(4), 31-37.