股市劇烈變動區間台灣股票市場與本國機構投資人從眾行為之研究

Taiwan Stock Market and Domestic Institutional Investors Herding Behaviors during Acutely Market Volatility Periods

10.6295/TAMJ.2005.0502.04

李春安(Chun-An Li)；賴藝文(Yih-Wenn Laih)

從眾 ； 機構投資人 ； 回饋交易 ； 劇烈變動區間 ； 向量自我迴歸 ； Herding ； Institutional investors ； Feedback trading strategy ； Extreme movement ； Vector autoregression

台灣管理學刊

5卷2期（2005 / 08 / 01）

231 - 267

繁體中文

本實證研究首先針對股價劇烈變動區間探討整體股票市場與國內機構投資人彼此之間的從眾行為；其次，分別探討國內機構投資人從眾行為與大盤報酬間的互動關係，以及國內機構投資人彼此間從眾行為的互動關係。研究結果發現，整體市場與自營商在市場激烈下跌時，市場從眾現象較市場激烈上漲時明顯，但對投信而言，在市場激烈上漲時，市場從眾現象較市場激烈下跌時明顯。兩大機構投資人的投資風格在大盤劇烈上漲時明顯不同，投信（全體基金）是以買進策略為主的順勢操作，而自營商則為賣出策略為主的逆勢操作；但在大盤劇烈下跌時，兩大機構投資人皆採買進策略，有助於穩定市場大盤。就國內機構投資人的從眾行為與大盤報酬關係而言，本研究發現不論是個別基金、投信或是自營商買（賣）氣增強時，就是下期大盤回檔時，而當個別基金、投信或是自營商的買（賣）氣減弱時，則是大盤蓄勢待發時，並且個別基金、投信或是自營商的從眾行為領先市場報酬變動；同時，投信存在「殺跌」的正向回饋交易策略。在投信與自營商兩大機構投資人間，投信與過去自營商從眾值呈顯著負相關，顯示兩大機構投資人的從眾行為互有消長，而自營商的從眾行為較獨立不受過去投信從眾行為的影響，但投信從眾行為受自營商從眾行為影響；並且不管在買進與賣出的從眾策略上，自營商皆領先投信。

The purposes of this paper are to investigate the total market herding behavior of Taiwan stock market during extreme movement, and the herding behavior among domestic institutional investors and its affect on stock market returns. The empirical results show the total market and dealers exist strong herding evidence when market moves extremely downward. However, the whole fund industry has strong herding evidence when market moves up extremely. The advanced institutional investors herding evidence show that fund industry and dealers all use buying herding strategy during market move extreme downward. When market moves extreme upward, fund industry use buying herding strategy, but dealers use selling herding one. In spite of individual fund, whole fund industry, or dealers sample, when their buying (selling) behavior becoming strong, market will turndown at following period, and when their buying (selling) behavior becoming weak, market will move upward at following period. All the herding indexes of individual fund, whole fund industry, and dealers lead stock market returns. We also find that the herding index of whole fund industry is negative correlated with dealers' herding index. But, the herding index of dealers is isolated. It cannot be explain by the herding index of whole fund industry. Dealers are all lead fund industry in spite of buying or selling herding strategy.

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