技術分析資訊對共同基金從衆行爲的影響

The Impact of Information in Technical Analysis on Herd Behavior of Mutual Fund

李顯儀(Hsien-Yi Lee) ； 吳幸姬(Hsing-Chi Wu)

《臺大管理論叢》 20卷1期 (2009/12) Pp. 227-260

https://doi.org/10.6226/NTURM2009.20.1.227

摘要

大部分的基金經理人都會採用相同的股市分析工具，使得他們對某些股票應何時買賣的訊息相似度很高，因此容易出現集體買賣的從眾行為。本文的研究目的在於利用技術分析指標所篩選出的股票是否受到基金經理人的重視，使得同時去買賣這些股票，進而造成從眾行為？實證結果有三個發現：（一）基金經理人分別利用長、短期技術指標所篩選出來的股票集群，有不同的從眾行為。（二）基金經理人對於技術指標建議買入股票的從眾行為較建議賣出股票來得明顯。（三）基金經理人在多頭時期的從眾行為會較空頭時期來得明顯。此結果顯示：技術分析資訊是會影響國內共同基金的交易行為。

關鍵字

技術分析 ； 共同基金 ； 從眾行為

並列摘要

Most mutual fund managers use the same analysis tools on stock market, and that makes the timings of buying and selling some kind of stocks are very similar and fund managers have the herd behaviors. The main purpose of this paper is to figure out the herd behaviors among fund managers, buying and selling stock at the same time in using technique analysis. There are three empirical findings. First, mutual fund managers show different herd behaviors on some kind of stocks derive from long-term and short-term technique analysis. Secondly, the herd behavior of buying stock is more obvious than that of selling stock with technique analysis. Finally, the herd behavior of mutual fund managers in bull period is more significant than that in bear period. The results imply the information from technical analysis could influence the trading behaviors of mutual fund.

並列關鍵字

technical analysis ； mutual fund ； herd behavior

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