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題名 金融危機與跨國從眾行為
Financial crisis and herding behavior across Countries
作者 吳立渝
貢獻者 胡聯國
吳立渝
關鍵詞 跨國從眾行為
行為財務
台灣股市
美國股市
金融危機
herding behavior
behavioral finance
Taiwan stock market
US stock market
financial crisis
日期 2009
上傳時間 9-May-2016 14:52:58 (UTC+8)
摘要 本文主要在探討在何種情況下(意即金融危機發生前後)會發生比較顯著的跨國從眾現象。本文採用2003年10月1日到2009年2月28日期間的台灣加權指數、台灣50、美國S&P 500和道瓊工業指數報酬率資料，並利用Hwang and Salmon (2004)測量從眾行為指標的方法，檢驗在此段期間下，台灣投資人行為是否有明顯跟隨美國投資人行為的現象。實證研究發現整體而言在此段期間下，台灣存在顯著的跨國從眾行為。細部以月為單位探討從眾行為顯著結果的變化，可以歸納出以下三個結論：一、從眾行為主要發生在經濟情況相對穩定的情況下，意即在金融危機日趨嚴重以前，測量從眾行為的指標反而比較顯著。例如在2007年和2008年時的經濟情況比在2003年、2004年和2005年時還要衰退，但測量到存在顯著跨國從眾行為的月數反而較少。二、持續存在顯著跨國從眾行為的最長期間為2005年3月到2006年1月，歷經11個月。三、最常被觀測到有顯著從眾行為現象的月份為1月、11月和12月。
This paper mainly examines under what conditions herding behavior is likely to become more significant and obvious, in which I modify Hwang and Salmon (2004)’s methodology and use the returns data of Taiwan Weighted Index, Taiwan 50 stock Index, S&P 500 stock and Dow Jones Industry Index of the sample period of October 1, 2003 to February 28, 2009 to test if there is any multinational herding behavior. I find that Taiwan investors in this sample period follow (even imitate) the investment actions of American investors. In more details about the herding patterns, we have found three main phenomena. First, herding behavior mainly occurs significantly during relatively quiet period, say, before the financial crisis, rather than when the market is under stress. The economic situations in 2007 and 2008 are much worse than in 2003, 2004, and 2005, but numbers of months exhibiting significant herding in these bad situations are less. Second, the longest lasting time of herding is March 2005 to January 2006, which totally lasts for eleven months, and this period is before 2007 and 2008 in which the financial systems are destroyed badly. Third, herding always happens in January, November and December given the sample period.
參考文獻 1. Banerjee, A. V., 1992. “A simple model of herding behavior” Quarterly Journal of Economics 107, 797-818
     2. Barberis, N., R. Thaler, 2002. ”A survey of behavioral finance”
     3. Bikhchandani, S., D. Hirshleifer, I. Welch, 1992. “A theory of fads, fashion, custom and cultural change as informational cascades” Journal of Political Economy 100, 992-1026
     4. Bikhchandani, S., Sharma, S., 2000. ”Herding behavior in financial markets: A review” IMF Working Paper
     5. Brennan, M., 1993. “Agency and asset prices” Finance Working Paper No. 6-93, UCLA
     6. Bowe, M., Domuta, D., 2004. “Investor herding during financial crisis: a clinical study of the Jakarta stock exchange.” Pacific-Basin Finance Journal 12, 387-418
     7. Chang, E. C., Cheng, J. W., Khorana, A., 2000. “An examination of herding behavior in equity markets: an international perspective. “Journal of Banking and Finance 24, 1651-1679
     8. Christie, W. G., Huang, R. D., 1995. “Following the pied piper: do individual returns herd around the market?” Financial Analysts Journal, July- August, 31-37
     9. Cipriani, M., Guarino, M. , 2005. “Herding behavior in a laboratory financial market” The American Economic Review Vol. 95, No. 5 Dec. , 1427-1443
     10. Eichengreen, Barry, Donald Mathieson, Bankim Chadha, Anne Jansen, Laura Kodres, and Sunil Sharma, 1998. ”Hedge funds and financial market dynamics” Occasional Paper No. 166, IMF Working Paper
     11. Fama, E. F. (1970), “Efficient capital markets: a review of theory and empirical work” Journal of Finance 25, 383-417
     12. Franco Caparrelli, Anna Maria D’ Areangellis, Alexander Cassuto, 2004. “Herding in the Italian stock market: a case of behavioral finance” The Journal of Behavioral Finance Vol.5, No. 4, 222-230
     13. Gleason, K. C., Marhur, I., Peterson, M. A. , 2004. “Analysis of intraday herding behavior among the sector ETFs” Journal of Empirical Finance 11, 681-694
     14. Hirofumi Uchida, Ryuichi Nakagawa, 2007. “Herding behavior in the Japanese loan market: Evidence from bank panel data” Journal of Financial Intermediation 16, 555-583
     15. Hirshleifer, D., 2001. “Investor psychology and asset pricing” The Journal of Finance Vol. LVI, NO.4, 1533-1577
     16. Hwang, S., Salmon, M., 2001. “A new measure of herding and empirical evidence”
     17. Hwang, S., Salmon, M., 2004. ”Market stress and herding” Journal of Empirical Finance 11, 585-616
     18. Hwang, S., Salmon, M., 2006. “Sentiment and beta herding”
     19. Joshua, D. C., Shumway, T., 2005. ”Do behavioral biases affect price?” The Journal of Finance Vol. LX, No. 1, 1-34
     20. Lakonishok, J.,Shleifer, A. , Vishny, R.W., 1992. “The impact of institutional trading on stock prices” Journal of Financial Economics 32, 23-43
     21. Maug, E., Narayan, N., 1996. “Herding and delegated portfolio management” mimeo, London Business School
     22. Scharfstein, D., Jeremy, S., 1990. “Herding behavior and investment” American Economic Review 80, 465-479
     23. Tan, L., Chiang, T. C., Mason, J. R., Nelling, E., 2008. “Herding behavior in Chinese stock markets: An examination of A and B shares” Pacific- Basin Finance Journal 16, 61-77
     24. Welch, I., “Sequential sales, learning and cascades” Journal of Finance 47, 695-732
     25. Wermers, R., 1999. “Mutual fund herding and the impact on stock prices” The Journal of Finance Vol. Liv, No. 2, 581-622
     26. Zhou, R.T., Lai, R.N., 2009. “Herding and information based trading.” Journal of Empirical Finance
     27. 陳執中，2006。投資人之從眾行為與股市崩盤之關係研究，國立政治大學國際貿易學系未出版碩士論文
     28. 徐偉翔，2005。投資人從眾行為之再檢視–就台灣市場產業別分類之觀察，國立彰化師範大學商業教育學系未出版碩士論文
     29.龔怡霖，2001。行為財務學–行為回顧與未來發展，國立中央大學財務管理研究所未出版論文
     30. 施生元，2001。投信、外資及散戶從眾行為之探討，元智大學管理研究所未出版碩士論文
     31. 蘇惟宏，2000。機構法人從眾行為之研究¬–以國內股市集中交易市場為例，國立政治大學企業管理學系未出版碩士論文
     32. 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研究所未出版碩士論文
     33. 陳世杰，1998。台灣股票市場群及行為與追逐效果之研究，國立台灣科技大學管理技術研究所未出版碩士論文
描述 碩士
國立政治大學
國際經營與貿易學系
96351008
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096351008
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 吳立渝zh_TW
dc.creator (作者) 吳立渝zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 14:52:58 (UTC+8)-
dc.date.available 9-May-2016 14:52:58 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 14:52:58 (UTC+8)-
dc.identifier (Other Identifiers) G0096351008en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95054-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 96351008zh_TW
dc.description.abstract (摘要) 本文主要在探討在何種情況下(意即金融危機發生前後)會發生比較顯著的跨國從眾現象。本文採用2003年10月1日到2009年2月28日期間的台灣加權指數、台灣50、美國S&P 500和道瓊工業指數報酬率資料，並利用Hwang and Salmon (2004)測量從眾行為指標的方法，檢驗在此段期間下，台灣投資人行為是否有明顯跟隨美國投資人行為的現象。實證研究發現整體而言在此段期間下，台灣存在顯著的跨國從眾行為。細部以月為單位探討從眾行為顯著結果的變化，可以歸納出以下三個結論：一、從眾行為主要發生在經濟情況相對穩定的情況下，意即在金融危機日趨嚴重以前，測量從眾行為的指標反而比較顯著。例如在2007年和2008年時的經濟情況比在2003年、2004年和2005年時還要衰退，但測量到存在顯著跨國從眾行為的月數反而較少。二、持續存在顯著跨國從眾行為的最長期間為2005年3月到2006年1月，歷經11個月。三、最常被觀測到有顯著從眾行為現象的月份為1月、11月和12月。zh_TW
dc.description.abstract (摘要) This paper mainly examines under what conditions herding behavior is likely to become more significant and obvious, in which I modify Hwang and Salmon (2004)’s methodology and use the returns data of Taiwan Weighted Index, Taiwan 50 stock Index, S&P 500 stock and Dow Jones Industry Index of the sample period of October 1, 2003 to February 28, 2009 to test if there is any multinational herding behavior. I find that Taiwan investors in this sample period follow (even imitate) the investment actions of American investors. In more details about the herding patterns, we have found three main phenomena. First, herding behavior mainly occurs significantly during relatively quiet period, say, before the financial crisis, rather than when the market is under stress. The economic situations in 2007 and 2008 are much worse than in 2003, 2004, and 2005, but numbers of months exhibiting significant herding in these bad situations are less. Second, the longest lasting time of herding is March 2005 to January 2006, which totally lasts for eleven months, and this period is before 2007 and 2008 in which the financial systems are destroyed badly. Third, herding always happens in January, November and December given the sample period.en_US
dc.description.tableofcontents Acknowledgements 1
     Abstract 2
     1. Introduction 5
     2. Literature Review 9
     2.1 Types and Causes of Herding behavior 9
     2.2 Methodology Review 11
     2.3 Empirical Results Review 17
     3. Empirical Model 22
     3.1 Drawbacks with Previous Methodology 22
     3.2 A Modified Measurement of Herding 23
     3.2.1 Estimating the Cross-sectional Standard Deviation of the Betas 28
     4. Empirical Results 29
     4.1 Data Description 29
     4.2 Process and Analysis 32
     5. Conclusion 46
     6. Reference 48		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096351008en_US
dc.subject (關鍵詞) 跨國從眾行為zh_TW
dc.subject (關鍵詞) 行為財務zh_TW
dc.subject (關鍵詞) 台灣股市zh_TW
dc.subject (關鍵詞) 美國股市zh_TW
dc.subject (關鍵詞) 金融危機zh_TW
dc.subject (關鍵詞) herding behavioren_US
dc.subject (關鍵詞) behavioral financeen_US
dc.subject (關鍵詞) Taiwan stock marketen_US
dc.subject (關鍵詞) US stock marketen_US
dc.subject (關鍵詞) financial crisisen_US
dc.title (題名) 金融危機與跨國從眾行為zh_TW
dc.title (題名) Financial crisis and herding behavior across Countriesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Banerjee, A. V., 1992. “A simple model of herding behavior” Quarterly Journal of Economics 107, 797-818
     2. Barberis, N., R. Thaler, 2002. ”A survey of behavioral finance”
     3. Bikhchandani, S., D. Hirshleifer, I. Welch, 1992. “A theory of fads, fashion, custom and cultural change as informational cascades” Journal of Political Economy 100, 992-1026
     4. Bikhchandani, S., Sharma, S., 2000. ”Herding behavior in financial markets: A review” IMF Working Paper
     5. Brennan, M., 1993. “Agency and asset prices” Finance Working Paper No. 6-93, UCLA
     6. Bowe, M., Domuta, D., 2004. “Investor herding during financial crisis: a clinical study of the Jakarta stock exchange.” Pacific-Basin Finance Journal 12, 387-418
     7. Chang, E. C., Cheng, J. W., Khorana, A., 2000. “An examination of herding behavior in equity markets: an international perspective. “Journal of Banking and Finance 24, 1651-1679
     8. Christie, W. G., Huang, R. D., 1995. “Following the pied piper: do individual returns herd around the market?” Financial Analysts Journal, July- August, 31-37
     9. Cipriani, M., Guarino, M. , 2005. “Herding behavior in a laboratory financial market” The American Economic Review Vol. 95, No. 5 Dec. , 1427-1443
     10. Eichengreen, Barry, Donald Mathieson, Bankim Chadha, Anne Jansen, Laura Kodres, and Sunil Sharma, 1998. ”Hedge funds and financial market dynamics” Occasional Paper No. 166, IMF Working Paper
     11. Fama, E. F. (1970), “Efficient capital markets: a review of theory and empirical work” Journal of Finance 25, 383-417
     12. Franco Caparrelli, Anna Maria D’ Areangellis, Alexander Cassuto, 2004. “Herding in the Italian stock market: a case of behavioral finance” The Journal of Behavioral Finance Vol.5, No. 4, 222-230
     13. Gleason, K. C., Marhur, I., Peterson, M. A. , 2004. “Analysis of intraday herding behavior among the sector ETFs” Journal of Empirical Finance 11, 681-694
     14. Hirofumi Uchida, Ryuichi Nakagawa, 2007. “Herding behavior in the Japanese loan market: Evidence from bank panel data” Journal of Financial Intermediation 16, 555-583
     15. Hirshleifer, D., 2001. “Investor psychology and asset pricing” The Journal of Finance Vol. LVI, NO.4, 1533-1577
     16. Hwang, S., Salmon, M., 2001. “A new measure of herding and empirical evidence”
     17. Hwang, S., Salmon, M., 2004. ”Market stress and herding” Journal of Empirical Finance 11, 585-616
     18. Hwang, S., Salmon, M., 2006. “Sentiment and beta herding”
     19. Joshua, D. C., Shumway, T., 2005. ”Do behavioral biases affect price?” The Journal of Finance Vol. LX, No. 1, 1-34
     20. Lakonishok, J.,Shleifer, A. , Vishny, R.W., 1992. “The impact of institutional trading on stock prices” Journal of Financial Economics 32, 23-43
     21. Maug, E., Narayan, N., 1996. “Herding and delegated portfolio management” mimeo, London Business School
     22. Scharfstein, D., Jeremy, S., 1990. “Herding behavior and investment” American Economic Review 80, 465-479
     23. Tan, L., Chiang, T. C., Mason, J. R., Nelling, E., 2008. “Herding behavior in Chinese stock markets: An examination of A and B shares” Pacific- Basin Finance Journal 16, 61-77
     24. Welch, I., “Sequential sales, learning and cascades” Journal of Finance 47, 695-732
     25. Wermers, R., 1999. “Mutual fund herding and the impact on stock prices” The Journal of Finance Vol. Liv, No. 2, 581-622
     26. Zhou, R.T., Lai, R.N., 2009. “Herding and information based trading.” Journal of Empirical Finance
     27. 陳執中，2006。投資人之從眾行為與股市崩盤之關係研究，國立政治大學國際貿易學系未出版碩士論文
     28. 徐偉翔，2005。投資人從眾行為之再檢視–就台灣市場產業別分類之觀察，國立彰化師範大學商業教育學系未出版碩士論文
     29.龔怡霖，2001。行為財務學–行為回顧與未來發展，國立中央大學財務管理研究所未出版論文
     30. 施生元，2001。投信、外資及散戶從眾行為之探討，元智大學管理研究所未出版碩士論文
     31. 蘇惟宏，2000。機構法人從眾行為之研究¬–以國內股市集中交易市場為例，國立政治大學企業管理學系未出版碩士論文
     32. 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研究所未出版碩士論文
     33. 陳世杰，1998。台灣股票市場群及行為與追逐效果之研究，國立台灣科技大學管理技術研究所未出版碩士論文		zh_TW