本論文透過台灣期貨市場的日內交易資料分析 2005 年至 2019 年第一季為止市場中的從眾交易行為。研究結果發現，從眾交易顯著存在於台灣期貨市場，且從眾強度隨時間推進而增強;另外，在市場崩跌的情況中投資人更傾向於放棄自己擁有的資訊轉向跟隨他人的決策，然而此情況會隨著市場崩跌的原因以及事件發生時期的不同而有所不同。本研究接續使用不同指標探討從眾交易與波動度之間關 聯，結果顯示，投資人跟隨市場走向會造成價格壓力上升，使市場風險增加，但情況可能會隨著套利空間的出現而在第二天反轉，反而使得波動度下降。最後，在探討形成從眾交易行為的原因上，本研究以市場情緒作為切入點，使用包括資券餘額比、股票週轉率、恐慌指數以及連假前夕作為市場情緒替代變數，結果顯示在市場情緒趨向極端時投資人追隨他人決策的傾向會越明顯，然而投資人雖然對於即將來臨的假期感到興奮，卻間接使得對市場的注意力降低，反而降低從眾的現象。

This paper analyzes the intraday herding behavior in the Taiwan futures market from 2005 to the first quarter of 2019. The results of the study found that herding behavior significantly existed in the Taiwan futures market, and the intensity level of herding increased over time. In addition, in the case of a market crash, investors were more inclined to give up their own information and decided to follow other people's decision. However, this situation will vary depending on the cause of the market crash and the timing of the event. This study continues to use different indicators to explore the relationship between herd trading and volatility. The results show that investors following the market trend will lead to increased price pressure and increased market risk, but the situation may change the next day with the emergence of arbitrage space and reduces volatility. Finally, in discussing the reasons for the formation of herd trading behavior, we take market sentiment as a starting point, and use margin trading, stock turnover rate, VIX and the eve of consecutive holidays as market sentiment substitute variables. The results show that the trend of market sentiment is extremes, the tendency of investors to follow other people's decisions will be more obvious. However, although investors are excited about the upcoming holiday, they indirectly reduce their attention to the market and reduce herding behavior.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 vi
表次 vii
第壹章、 緒論1
第貳章、 文獻回顧與假說建立 5
第一節、 從眾行為之實證研究 5
第二節、 從眾行為對波動度之影響 8
第三節、 投資人情緒下的從眾行為 9
第參章、 研究方法與迴歸模型 11
第一節、 研究資料 11
第二節、 主要變數 11
第三節、 迴歸模型13
第肆章、 實證結果20
第一節、 敘述統計20
第二節、 台灣期貨市場的從眾現象 20
第三節、 市場極端情況下的從眾行為 22
第四節、 從眾現象與市場波動度 23
第五節、 投資人情緒與從眾現象 24
第伍章、 總結 27
參考文獻 、29

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