博碩士論文 etd-0431117-131053 詳細資訊


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姓名 陳益璋(Yi-Chang Chen) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 博士(Ph.D.) 畢業時期 105學年第2學期
論文名稱(中) 市場基本面、理性預期與從眾行為的關係
論文名稱(英) Market Fundamentals, Rational Expectations and Herding Behavior
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    摘要(中) 本篇論文探討從眾行為與市場基本面、理性預期的關聯性。論文涵蓋兩個議題。第一個議題主要討論台灣股票市場投資人的從眾行為,透過四因子模型區分成假性從眾(spurious herding)與意向從眾(intentional herding),並建構不同的投資組合,分別為大型股、小型股、成長型、價值型等四種投資偏好屬性,檢視在市場處於牛市、熊市以及在金融危機時的市場基本面,投資人的從眾行為。本研究使用分量迴歸進行實證,可以檢驗在不同分量的報酬離散情況,並檢視股價報酬極端變動的從眾現象。研究期間為2000至2014年。研究發現從眾現象存在台灣股市上,主要來自於投資人的意向從眾行為,特別是股市處在下跌風險的狀況。假性從眾的行為,實證上發現較容易導致投資人產生交易不對稱的現象,特別是股市處於多頭市場的條件下。進一步檢驗美國市場的基本面對台灣投資人的從眾行為影響,發現對於總體經濟,例如美國聯準會的利率宣告調整也會影響到意向從眾行為的發生,尤其是在空頭市場狀況下。美國股票市場有顯著外溢效果影響到意向從眾行為,不過沒有證據影響到假性從眾。美國次級房貸與歐洲債務危機期間,也觀察到投資人較容易有非理性的意向從眾行為。
      第二個議題主要討論中國股票市場的從眾行為,並且考慮到投資人對市場的理性預期。研究期間為2008至2015年。發現在市場動蕩的時期,從眾行為仍然很少;相對的,在市場多頭的條件下,從眾行為較為明顯,隱含投資者存在對於市場狀況解讀存在有不同程度的理性預期。實證也發現有證據顯示從眾行為較容易存在於非理性期望之中。資訊不對稱效應也存在於對市場基本面中。不過並沒有證據顯示美國股市對中國市場存在外溢效果。儘管投資者同時面臨金融危機和外部影響,但仍傾向於跟隨市場共識。本研究認為,由於中國市場監管的有效性、資訊的反應效率和市場制度差異性,投資者的從眾行為可能對導致有預期心理條件下而有明顯不同。
    摘要(英) This paper explores the relationship among herding behavior, market fundamentals and rational expectations. There are two topics included in this study. The first topic focuses on Taiwan stock market from 2000 through 2014, distinguishing between spurious and intentional herding using the four-factor model, and constructing portfolios, namely, Large, Small, Growth, Value, based on the market condition in terms of bull markets, bear markets and financial crises. This paper examines the discrepancy of stock returns in different extreme changes using quantile regression, finding that herding exists due to the intentions of investors, particularly in the stock market in a situation of falling risk. Also, it is more likely that spurious herding leads to asymmetric response to transactions, especially in bull market conditions. The findings of spillover effects suggest that the U.S. fundamentals have an impact on Taiwan stock market; this may be explained by intentional herding especially in bear markets. There is evidence of intentional herding in the periods of subprime crisis and European debt crisis, indicating that investors are more likely to act with irrational intentions.
    The second topic focuses on China’s stock markets, taking into account the rational expectations of investors on the market from 2008 through 2015. The results show that herding rarely exists even though it is in the period of market turmoil. In contrast with bull markets, herding becomes more obvious, implying that investors’ herding behavior exists in the degrees of rational expectations in terms of market conditions. The evidence shows that herding behavior is more likely to exist in irrational expectations. Market fundamentals affect asymmetric information effects, and no evidence indicates the spillover effects from the U.S. stock market to China’s stock markets. Investors’ herding behavior may be significantly different from the expected psychological conditions. In spite of investors facing the financial crisis and external effects simultaneously, they still tend to follow the market consensus. This paper claims that investors’ herding behavior may be obviously different due to the effectiveness of regulation, information efficiency and market integrations.
    關鍵字(中)
  • 基本面
  • 資訊不對稱效應
  • 分量迴歸
  • 外溢效果
  • 從眾行為
  • 理性預期
  • 關鍵字(英)
  • Spillover effects
  • Herding behavior
  • Fundamentals
  • Quantile regression
  • Rational expectations
  • Asymmetric information effects
  • 論文目次 論文審定書 i
    誌謝 ii
    摘要 iii
    ABSTRACT iv
    Chapter 1 General Introduction 1
    1.1 Background and motivation 1
    1.2 Outline of the dissertation 2
    Chapter 2 Spurious Herding and Intentional Herding: Market Conditions and Financial Crisis 6
    2.1 Introduction 6
    2.2 Literature review 10
    2.3 Methodology 14
    2.3.1 The herding measure 14
    2.3.2 Measurement of spurious herding and intentional herding 16
    2.3.3 Market conditions and asymmetric effects 18
    2.3.4 Application of quantile regression 18
    2.4 Data and empirical results 22
    2.4.1 Data and descriptive statistics 22
    2.4.2 Spurious herding and intentional herding 25
    2.4.3 Herding and asymmetric effects 30
    2.4.4 Spillover herding effects and fundamental macroeconomic impacts 34
    2.4.5 Financial crisis and asymmetric herding behavior 37
    2.5 Chapter summary 42
    Chapter 3 Herding Behavior and Rational Expectations 44
    3.1 Introduction 44
    3.2 Literature review 46
    3.2.1 Detection and attribution of herding behavior 46
    3.2.2 Herding behavior in China 48
    3.3 Methodology 52
    3.3.1 Identify herding behavior 52
    3.3.2 Identify rational expectation 52
    3.3.3 Identify the use of quantile regression 55
    3.4 Data and empirical results 57
    3.4.1 Data 57
    3.4.2 Estimates of herding behavior under levels of quantile 57
    3.4.2 Estimates of herding behavior for the RL conditions 59
    3.5 Chapter summary 68
    Chapter 4 Conclusions, Implications and Recommendations 69
    REFERENCES 71
    Appendix Table 1 A summary of the findings of herding behavior 77
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    口試委員
  • 秦長強 - 召集委員
  • 陳昇鴻 - 委員
  • 黃文聰 - 委員
  • 王昭文 - 指導教授
  • 黃振聰 - 指導教授
  • 口試日期 2017-05-24 繳交日期 2017-05-31

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