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| Title: | 台灣上市航運類股從眾行為分析－以Covid-19 時期為例
Herding behavior for shipping and transportation stock in Taiwan stock market during COVID-19 |
| Authors: | 楊婕
Yang, Chieh |
| Contributors: | 周冠男
陳嬿如
楊婕
Yang, Chieh |
| Keywords: | 從眾行為
Covid-19疫情
CSSD模型
CSAD模型
分量迴歸
Herding behavior
Covid-19
CSSD model
CSAD model
Quantile regression |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:31:44 (UTC+8) |
| Abstract: | 航運類股在Covid-19疫情的期間內，不但經歷了2020年初疫情爆發時的市場龐大壓力，同時又接續經歷了2021年航運價格的快速上漲，在股價激烈波動之下，本研究欲探討在疫情中的這段時期是否有從眾現象發生，並同時比對疫情前與後疫情的期間，研究期間為2018年初至2023年初。本研究使用Christie and Huang (1995) 的CSSD模型、Chang et al. (2000) 的CSAD模型與Salmon and Huang (2001) 的HS模型來衡量從眾行為的現象與程度，且除了一般的OLS迴歸之外，也使用分量迴歸檢視個股報酬離散程度的分配位於不同分位時之估計係數。根據實證結果，得出台灣上市航運類股在疫情期間有溫和的從眾行為，存在於個股報酬的離散程度位在較高分位時，且從眾行為的程度也相較疫情前與後疫情大。
During the Covid-19, the shipping and transportation stock in Taiwan not only faced significant market pressures during the outbreak in early 2020 but also experienced a rapid increase in shipping prices in 2021. Under the circumstances of intense stock price volatility, this study aims to investigate whether herding behavior existed during this period of Covid-19 and compare it with the periods before and after Covid-19. The study period covers from early 2018 to early 2023. The study utilizes Christie and Huang (1995) CSSD model, Chang et al. (2000) CSAD model, and Salmon and Huang (2001) HS model to measure the existance and degree of herding behavior. In addition to ordinary least squares (OLS) regression, the study also use quantile regression to examine the estimated coefficients when the dispersion of stock returns is located in different quantiles. Based on the empirical results, it is found that Taiwan`s listed shipping and transporatation sector exhibited moderate herding behavior during the Covid-19, particularly at the higher quantile of the dispersion of stock returns. The degree of herding behavior was also greater compared to the periods of pre-Covid-19 and post-Covid-19. |
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| Description: | 碩士
國立政治大學
企業管理研究所(MBA學位學程)
110363018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110363018 |
| Data Type: | thesis |
| Appears in Collections: | [MBA Program] Theses
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