摘要
過去研究指出，非理性的從眾投資行為是造成股市波動幅度擴大的主因，然而相關文獻對於跨市場的從眾感染效應則較少著墨。本研究藉由檢測兩岸三地四個市場在2008金融危機期間，個別市場內投資人所形成的從眾指標與市場大盤的變化關係，以及從眾指標跨市場間的因果關係。探討以華人為主但分屬不同開發成熟度的市場，當投資人面臨世界性的金融變局時，所呈現出的從眾投資行為差異，以及此次金融危機期間從眾氛圍在三地跨市場之間感染的脈絡。 研究發現;四個市場都存在顯著的從眾現象，而齊漲與齊跌程度的差異，則突顯悲觀的氛圍在訊息較透明的市場會相對降低。經由VAR分析的結果顯示，台、港、深三個股市的前期從眾行為趨勢會正向影響大盤，而前期大盤報酬也會影響爾後的市場從眾趨勢，只是在台股呈現正向關係，但港、深股卻顯示反向變化。另外，台、港、深三個市場投資人在本次金融危機期間的從眾行為也呈現相互影響的現象，數據顯示台股受到港股前期的正向影響，而港股受到台股前期負向的影響。滬股較為特別，透過Granger因果關係分析發現，滬股的從眾與大盤報酬並未呈現顯著關係。而且滬股與港股之間從眾指標的相互影響也不顯著，但是其從眾趨勢卻會對台股及深股的從眾造成顯著的引導效果。
並列摘要
It is widely believed that investors’ irrational herding behavior is a contributing factor to the increased volatility during market turmoil, but related research on the dissemination of cross-market herding, unfortunately, has not been satisfactorily addressed. This paper studies herding behavior in four major Asian stock markets (Taiwan, Hong Kong, Shanghai and Shenzhen) during 2008 Financial Crisis, and examines the transmission and lead-lag relationship of herding across these markets. We find that herding behavior is significant in all four markets during the Crisis, but the influence made by pessimistic atmosphere varies with the level of market transparency. Furthermore, the results from VAR analyses indicate that herding behaviors of Taiwan, Hong Kong and Shenzhen markets are highly correlated with not only their own market returns but also another markets’ herding, but the direction of influence differs across markets. Finally, the results from Granger analyses show that Shanghai market’s herding is not correlated with market return, but it will lead both Taiwan and Shenzhen markets’ herding.
參考文獻
延伸閱讀
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