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    Title: 注意股連續警示下投資人從眾行為分析
    The Herding Behavior of Investors for Monitoring Stocks with Continuous Alerts
    Authors: 楊奇達
    Yang, Chi-Ta
    Contributors: 周冠男
    Chou, Robin K
    楊奇達
    Yang, Chi-Ta
    Keywords: 注意股
    連續警示
    從眾指標
    從眾行為
    三大法人
    t檢定
    Alerted stocks
    Continuous alerts
    Herding index
    Herding behavior
    Institutional investors
    t - test
    Date: 2018
    Issue Date: 2019-01-23 11:55:40 (UTC+8)
    Abstract: 本研究以2017年9月至2018年8月台灣證劵交易所每日公告的注意股票,選取連續多次遭警示的注意股票為樣本,並以警示事件前十四個交易日(事件前),警示發生區間(警示區)及警示事件後十四個交易日(事件後),分別觀察外資,投信,自營商及散戶的從眾行為效應。本研究使用Lakonishok, Shleifer and Vishny(1992)及Wermers(1999)從眾行為的衡量指標,來分析三大法人與散戶在各條件分類下之從眾行為表現。實證結果觀察得出三大法人在事件前、警示區及事件後,從指標上觀測幾乎都有從眾行為發生,顯示獲得即時資訊能力比散戶來的高且判斷力較佳,從眾現象偏向理性行為。散戶因為獲得資訊較慢,彼此甚少交流,加上連續警示訊息可能產生恐懼及觀望心態,故較無從眾行為產生。投信的指標數值遠高於其他三者,表示國內基金經理人因考量相對績效,故傾向於跟隨其他經理人買進相同的股票,相對上要求短期的績效。外資家數眾多且擁有自己的研究團隊,較重視個股基本面,以中長期操作為主,比較沒有短期績效壓力,指標數值上與投信或自營商比較而言,相對較弱。自營商謀求個人績效最大化,彼此間很少往來,因此從眾指標值低於投信。三大法人在警示區的從眾指標幾乎都高於其他期間,顯示連續三次以上的警示宣告容易吸引法人聚眾,產生股票明牌效應,造成監視制度效果不佳。在正及負報酬率注意股中,三大法人在警示區從Wermers指標觀察出,皆有相同性的買入及賣出從眾現象,顯示有追漲殺低的現象。在正報酬率的注意股中,經過連續三次以上的警示宣告期過後,外資及投信兩大主力皆無買入從眾現象,警示宣告後的確有降溫的效果。成交量異常的從眾指標相對較其他分類條件高,顯示當成交量能異常時,將容易吸引三大法人的觀察注意,進而產生從眾行為。三大法人在中小型股的從眾指標也高於大型股,顯示中小型股票的交易產生的報酬異常因股本較小,較容易吸引投資機構進入操作。
    The study investigates the herding behavior of the institutional investors and the private investors for the stocks being continuously alerted during the early stage (the fourteen trading days before the alert announces), the alerting stage (the period that the alert continuously announces) and the later stage (the fourteen trading days after the alert ends). The samples have been selected from the alerted stocks daily announced by the Taiwan Stock Exchange Corporation (TWSE) from September of 2017 to August of 2018. The study adopts Lakonishok, Shleifer and Vishny (1992) and Wermers (1999) of the index herd to analyze the investors’ behavior under the various conditions. The empirical findings show that the institutional investors tend to have the herding effect in every stage and have better channels to access the instant information and judging ability than the private investors; therefore the herding is more like rational behavior. The private investors are much less herding due to the weaker ability to access the information and less interaction; moreover, the continuous alerts will cause the fears and the hesitance to the alerted stocks. The investment trust shows the strongest effect, which indicates that they are relatively more considering the performance and tend to follow the other managers to purchase the same stocks. The herding index of the foreign investment is weaker than the investment trust and the securities dealer, the result comes from too many foreign investment in the market and with their own research team, and they are more focusing on the fundamental analysis of the stocks and long term strategy; therefore the managers are under the less performance pressure in the short term. The securities dealers are generally persuade their own performance and seldom exchange the information with each other, so the herding index is also weaker than the investment trust. The herding indexes in the alerting stage are almost stronger than the other stages and indicates that the stocks with more than three alerts will easily cause the herding behavior among the institutional investors, which results in the fad effect. The effect implies that the monitoring system is not effective. The Wermers index in the alerting stage, under the conditions of the alerted stocks with the positive return and negative return, shows there is the herding behavior of buy high and sell low occurring among the institutional investor. There is no more herding among the foreign investment and the investment trust for the alerted stocks with the positive return after more than three alert announcements, and the announcements effectively cool down the herding behavior. The herding index of the abnormal trading volume is stronger than the other conditions and results in the herding for the institutional investors. The herding index of the small & mid capital equity is also stronger than the large capital equity, and it appears that the abnormal return comes from more institutional investors joint the manipulation due to its smaller share capital.
    Reference: 英文部份
    1.Charles M.C. Lee, Mark J. Ready and Paul J. Seguin (1994), Volume, Volatility, and New York Stock Exchange Trading Halts”, The Journal of Finance, Volume 49, Issue 1, March, pp183-214
    2.Devenow, A. and Welch, I. (1996) Rational Herding in Financial Economics. European Economic Review, 40, pp603-615.
    3.Falkenstein, Eric G. "Preferences for stock characteristics as revealed by mutual fund portfolio holdings." The Journal of Finance 51.1 (1996): pp111-135
    4.John S. Howe and Gary G. Schlarbaum (1996), SEC Trading Suspensions: Empirical Evidence, Journal of Financial and Quantitative Analysis, Volume 21, Issue 03, September, pp323-333
    5.Lakonishok, Josef, Andrei Shleifer, and Robert W Vishny. 1992. “The Impact of Institutional Trading on Stock Prices.” Journal of Financial Economics 32 (1). pp32-43
    6.Michael H. Hopewell, and Arthur L. Schwartz Jr.(1978), Temporary Trading Suspensions in Individual NYSE Securities, The Journal of Financial, Volume 33, Issue 5. December, pp1355-1373.
    7.Richard W. Sias. The Review of Financial Studies, Volume 17, Issue 1, 1 January 2004, pp165–206
    8.Scharfstein, David S, and Jeremy C Stein. 1990. “Herd Behavior and Investment.” Amercian Economic Review 80 (Jun.): pp465-479
    9.Stephen P. Ferris, Raman Kumar, and Glenn A. Wolf(1992), The effect of SEC-ordered Suspensions on Returns, Volatility, and Trading Volume, The Financial Review, Volume 27, Issued 1, February, pp1-34.

    中文部份
    1.Goodinfo!台灣股市資訊網:個股籌碼分析/法人買賣
    2.台灣證劵交易所:每日成交資訊、三大法人買賣超日報、公告注意股票股票資訊
    3.朱欣梅(2013),公告注意股票之研究 - 以台灣櫃檯買賣中心交易為例,國立成功大學高階管理碩士在職專班(EMBA)未出版之碩士論文
    4.宋明哲(2001),警示股的宣告效果,私立朝陽科技大學財務金融研究所未出版之碩士論文
    5.林文雄(1992),遭監視制度警示股票其市場反應之研究,國立中興大學企業管理研究所未出版之碩士論文
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    7.林哲正(1996),檢測台灣股市監視制度之穩定機制-持股行為觀點,國立中央大學財務管理學研究所未出版之碩士論文
    8.林皇瑞(2004),法人機構從眾行為之研究-以證券自營商與外資為研究對象,國立台灣科技大學財務金融研究所未出版之碩士論文
    9.吳政樂(1999),證券自營商之從眾行為與投資策略分析,國立中央大學財務管理學研究所未出版之碩士論文
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    11.施秀婷(2002),高科技類股從眾行為之研究,私立元智大學管理研究所未出版之碩士論文
    12.洪永章(2015),台灣投資人群聚行為之探討,國立交通大學財務金融研究所未出版之碩士論文
    13.徐嘉宏(1994),受異常交易公告股票過度反應之相關研究,私立淡江大學金融研究所未出版之碩士論文
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    17.張主卿(1995),警示股價量行為之實證研究,國立政治大學國際貿易研究所未出版之碩士論文
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    19.劉堉婷(1996),監視制度下注意股票異常報酬之相關研究,淡江大學金融研究所未出版之碩士論文
    20.薛羽玲(2012),臺灣股市三大法人從眾行為之探究,國立高雄應用科技大學金融資訊研究所未出版之碩士論文
    21.簡舫文(2006),台灣投資人在警示股前後的下單策略,國立東華大學國際經濟研究所未出版之碩士論文
    22.簡慈慧(1995),注意股票公告前後股價行為之研究,國立中央大學財務管理學研究所未出版之碩士論文
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    104932011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104932011
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.EMBA.009.2019.F08
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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