本研究的目的是要檢定台灣整體股市及各產業投資人的從眾現象。我們首先使用狀態空間模型分析台灣股票市場從眾行為與投資人情緒之間的關聯,資料期間為1998年1月3日至2009年12月31日的310家上市公司,每家公司有144筆月資料。其次,我們利用Granger因果關係檢定,探討從眾行為與市場績效的領先落後關係,最後檢視重大事件對從眾行為的影響。實證結果可歸納如下。 一、在台灣整體股票市場及個別產業,投資人都有明顯的從眾現象。 二、總體經濟因素無法解釋台灣投資人的從眾行為。 三、市場波動性與投資人情緒會影響從眾行為。 四、前一期從眾行為對於當期市場報酬率有負向影響、對於當期從眾行為有正向影響;而前一期市場波動性對於當期從眾行為和市場波動性都有正向影響。 五、重大事件會影響台灣投資人的從眾行為,尤其是國內的政治事件。
This study examines investors’ herding behavior in the entire stock market and individual industries of Taiwan. First, we used the state-space model to investigate the relationship between herding behavior and investors’ sentiments. The samples are from January 3, 1998 to December 31, 2009 for 310 listed companies, and 144 monthly data are generated for each company. Second, we used Granger causality test to explore the lead-lag relationship between investors’ herding behavior and market-performance variables. Finally, impacts of great events on investors’ herd behavior in the Taiwan stock market are inspected. Major results are as follows. (1) Investors’ herding behavior in the overall stock market and individual industries is obviously. (2) Macroeconomic factors cannot explain investors’ herding behavior in Taiwan. (3) Market volatility and investors’ sentiments will affect the herding behavior. (4) The last-period’s herding behavior has negative impact on the current-period’s market return and positive impact on the current-period’s herding behavior. On the other hand, the last-period’s market volatility has positive impact on both the current-period’s herding behavior and market volatility. (5) Great events would affect investors’ herding behavior in Taiwan, especially those related to domestic politics.