English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25760229      Online Users : 394
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/109727


    Title: 台灣證券市場上從眾行為與市場及橫斷面報酬率間關係之研究(第2年)
    Authors: 林信助
    Contributors: 國貿系
    Keywords: 從眾;反從眾;資產定價異常
    Herding;Adverse Herding;Asset pricing anomaly
    Date: 2016
    Issue Date: 2017-05-17 16:28:43 (UTC+8)
    Abstract: 在這個兩年期計畫的第二年計畫中,我們檢驗市場從眾行為如何影響台灣股市的橫斷面報酬。我們首先依標準化後之估計貝它值將每個月的橫斷面報酬率區分為十個投資組合,並發現這些投資組合的平均報酬率不僅跟估計貝它值的大小沒有單調關係,也似乎並不隨著市場從眾程度的大小而變化。這似乎反映出台灣股市的淺碟型特徵。透過迴歸分析,我們也並未發現高低貝它投資組合之間的報酬差異會顯著受到市場從眾程度大小的影響。與Hwang and Salmon(2009)的研究結果相較,市場從眾行為影響台灣股市的方式與其對美國股市之影響並不相同。
    This is the second year‘s report of a two-year project. In this follow-up project, we investigate how market herding behavior may affect cross-sectional asset returns on Taiwan‘s stock market. We first form decile portfolios according to standardized beta, and find that beta does not forecast the
    following month’s cross-sectional returns neither unconditionally, nor conditional on the market herding state. This seems to reflect the shallow-disk characteristics of Taiwan‘s security market, where individual traders are easily infected by noises or attention-grabbing events. The regression analysis results also show that the high minus low beta returns are not significantly affected by the lagged market herding measure, which indicates that there hasn‘t been any asset pricing anomaly created by market herding behavior on Taiwan‘s stock market. Unlike the study of Hwang and Salmon (2009), the impact of market herding behavior on cross-sectional asset returns on the Taiwanese security market is different from that on the U.S.
    Relation: MOST 103-2410-H-004-034-MY2
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    103-2410-H-004-034-MY2.pdf1014KbAdobe PDF194View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback