本文使用2014年10月20日至2015年12月31日之臺灣上市公司資料,探討價格限制放寬後對臺灣股票市場中從眾行為之影響。本文以CSAD(Cross-Sectional Absolute Deviation)指標衡量從眾行為,且將從眾行為進一步區分成基本因素從眾(fundamental herding)與非基本因素從眾(non-fundamental herding),觀察價格限制放寬後對這兩種從眾現象之影響。另外,本文同時也檢驗臺灣期貨市場與股票市場是否有從眾外溢效果產生,以及在價格限制放寬後其從眾外溢效果之變化。實證結果發現臺灣股票市場存在從眾行為,且電子產業之從眾程度高於非電子產業,而市場上漲時期之從眾程度低於市場下跌時期。整體而言,價格限制放寬使市場整體從眾程度下降,且於市場上漲時期之從眾現象消失,但未對市場下跌時期之從眾現象產生影響。此外,本文實證顯示臺灣股票市場之從眾屬於基本因素從眾,在價格限制放寬後其基本因素從眾之程度有顯著降低。從眾外溢效果分析顯示臺灣期貨市場沒有明顯的從眾現象,期貨市場與股票市場在價格限制放寬前存在雙向之從眾外溢效果,但在價格限制放寬後其外溢效果皆消失。
This study uses the data from the Taiwan Stock Exchange (TWSE) from October 20, 2014 to December 31, 2015 to examine the impact of price limit on herding. The cross-sectional absolute deviation(CSAD) is used to measure herding behavior. This study further investigates the effect of the expansion of price limits on fundamental and non-fundamental herding. In addition, we examine herding spillover effect between stock and future market, and explore whether herding spillover effect varies following the expansion of price limit. The empirical results show that herding behavior exists in Taiwan stock market; herding effect of electronic industry is higher than that of non-electronic industry and herding is greater when market is down. Overall, the wider price limit decreases the herding effect; herding behavior disappears after the expansion of price limit when market is up, but does not affect herding behavior when market is down. This study finds that herding in Taiwan stock market is fundamental herding, and such fundamental herding significantly decreases after the adoption of new price limit regime. The analysis of the spillover effect shows the herding spillover effect from future market to stock market exists, vice versa; however, the new price limit policy leads to the spillover effect to disappear.