台灣上市公司不同類型投資人日內群聚行為之實證研究

An Empirical Study of Intraday Herding Behavior for Different Types of Investors in the Taiwan Stock Market.

林冠宇(Kuan-Yu Lin)

指導教授 ： 林蒼祥 ； 蔡蒔銓

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00140

摘要

本文主要檢視台灣股票市場中自營商、共同基金、外資和散戶是否存在群聚行為以及群聚交易之特性，有別於以往使用成交資料以及研究資料頻率不高來推估投資人群聚行為，本研究採用委託單資料和日內高頻率資料衡量，可更貼近投資人買賣的行為，對於群聚行為的衡量更為真實，利用Lakonishok et al.（1992）和Wermers（1999）之群聚指標來衡量投資人群聚行為。而實證結果發現台灣股票市場投資人普遍都存在群聚行為，共同基金群聚行為最明顯再來是外資、自營商，最後則是散戶，且各投資人日內群聚行為呈現U型，開盤與收盤群聚值最大。以股票市值作為分類上，散戶偏愛市值較大的股票，外資、共同基金與自營商偏愛市值較小的股票。另外，若將股票前期報酬排序，並分為五等分，發現機構投資人日內不會使用正向或反向回饋策略，而散戶則是使用反向回饋策略，以日資料來衡量，發現外資與共同基金使用正向回饋策略，自營商用反向回饋策略，散戶則沒有使用回饋策略。此外在各投資人群聚行為是否會影響股價上，我們發現外資和散戶日內群聚行為會造成股價不穩定，而在日群聚上，則沒有證據顯示投資者會造成股價不穩定。

關鍵字

日內資料 ； 群聚行為 ； 個別投資者 ； 機構投資者 ； 回饋交易

並列摘要

In this study, we analyses whether Foreign Investors, Mutual funds, Security Dealers and Individual investors are engaged in herding behavior in Taiwan stock market. Different from past literature use infrequent trade data, we use intraday high frequent order data to observe investors’ herding behavior closely and measure accurately. We employ the measure of herding by Lakonishok et al.（1992）and Wermers（1999）.We find all investors use herding in Taiwan stock market. It shows that herding follows U-shaped intraday pattern and the most emphasis is Mutual funds, better than Foreign Investors, Security Dealers and individual investors might not be so obvious. In stock size, it is apparent that individual investors are heavily engaged in trading high capitalization stocks, and more herding by institutional investors in small stocks than in large stocks. Besides, we segregate past return by quintile; this is done to investigate the tendency of investors to trade together due to common feedback strategies. We find institutional investors do not execute feedback trading strategies, and negative feedback trading strategies by individual investors in intraday return. But in daily return we find that Foreign Investors and Mutual funds use positive feedback trading strategies and evidence in favor of the employment of negative feedback trading strategies by Security Dealers and individual investors do not execute feedback trading strategies. Finally, we tests to provide evidence on whether investors destabilize or stabilize stock prices. We find that intraday trading by Foreign Investors and individual investors had a destabilizing effect on Taiwan stock market, and no evidence that daily trading of all investors had impact on stock prices.

並列關鍵字

Intra-day data ； Herding ； Individual investor ； Institutional investor ； feedback trading

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