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題名 日本負利率政策下股市從眾行為之驗證
Effects of negative interest rate policy on herding behavior on the Japanese stock market
作者 蔡宜臻
貢獻者 周冠男
蔡宜臻
關鍵詞 從眾行為
負利率政策
CSSD模型
CSAD模型
時間序列迴歸分析
Herding behavior
Negative interest policy
CSSD model
CSAD model
Time series regression analysis
日期 2017
上傳時間 31-Jul-2017 11:32:57 (UTC+8)
摘要 本研究目的在檢視日本銀行於2016 年1 月29 日時宣布的負利率政策,是否讓日本股票市場產生從眾行為之現象。為了瞭解日本銀行宣布負利率政策的消息釋出對於從眾行為之影響,使用Christie and Huang (1995)的橫斷面報酬標準差(Cross-sectional standard deviations, CSSD)以及Chang et al. (2000)的橫斷面報酬絕對差(Cross-sectional absolute standard deviations, CSAD)檢定日本股市在東証一部上市的大型股於2016/01/25-2016/02/05 之負利率政策宣布前四日與後五日期間 (包括宣布日),有無從眾行為之現象,且探討哪一個產業最為明顯;接著以時間序列迴歸分析導致從眾行為之可能個總體因子,以及負利率政策實施內容導致從眾行為之可能性。
This paper investigates whether or not the Negative Interest Rate Policy announced by Bank of Japan on January 29th 2016 causes herding behavior on the Japanese stock market. This paper applies both the Cross-Sectional Standard Deviations (CSSD) method from Christie and Huang (1995) and the Cross-Sectional Absolute Standard Deviations (CSAD) method from Chang et al. (2000) to examine the existence of herding behavior on Tokyo Stock Exchange during a 10-day window from January 25th
2016 to February 5th 2016, 4 days before to 5 days after the policy announcement. Which industry exhibits the strongest effect is also studied. In addition, a time-series regression analysis is conducted to find out the possible micro and macro factors that may be driving herding behaviors
參考文獻 1. Andrea Devenow, Ivo Welch (1996). “Rational herding in financial economics”. European Economic Review 40 (1996) 603-615
2.Hirofumi Uchida, Ryuichi Nakagawa (2007). “Herd behavior in the Japanese loan market: Evidence from bank panel data”. J Finan. Intermediation, 16, 555-583
3.Kenneth A. Kim, John R. Nofsinger, (2005) “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan” The Journal of Business 78 (1), 213-242
4.Masahiro Ashiya, Takero Doi (2001). “Herd behavior of Japanese economists”. Journal of Economic Behavior & Organization, 46, 343-346
5.Nofsinger and Sias, (1999). “Herding and Feedback Trading by Institutional and Individual Investors.” The Journal of Finance Volume 54, Issue 6 2263–2295
6.Olivier Loisel, Aude Pommeret, Franck Portier, (2012) “Monetary Policy and herd behavior: Learning against bubbles.” https://ideas.repec.org/p/bfr/banfra/412.html
7.Riza Demirer, Ali M. Kutan, Chun-Da Chen, (2010). “Do investors herd in emerging stock market? Evidence from the Taiwanese market”. Journal of Economic Behavior & Organization, 76, 283-295
8.Tobias F. Röthel(2001), “Competitions, herd behavior, and credit cycles: evidence from major Swiss Banks” Journal of Economics and Business, 53, 585-592
9.斉藤寿彦[2016]「日本銀行のマイナス金利政策とその影響─副作用を中心として─」
10.金堀徹[2016]「日銀が導入したーマイナス金利付き量的・質的金融緩和の効果波及経路の検証」
11.黑田東彥[2016]「マイナス金利付き量的・質的金融緩和」への疑問に答える
12.陳志宏,2007,”台灣股市從眾行為之分析”,國立中山大學財務管理研究所碩士論文。
13.傅澤瑋、林曼莉,”基金特性及外部環境對於基金經理人從眾行為的相關性”,台灣銀行季刊第六十一卷第二期
14.沈中華,2016, ” 負利率的時代 ”,兩岸金融季刊第四卷第三期
描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
104363065
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104363065
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 蔡宜臻zh_TW
dc.creator (作者) 蔡宜臻zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 31-Jul-2017 11:32:57 (UTC+8)-
dc.date.available 31-Jul-2017 11:32:57 (UTC+8)-
dc.date.issued (上傳時間) 31-Jul-2017 11:32:57 (UTC+8)-
dc.identifier (Other Identifiers) G0104363065en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111581-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理研究所(MBA學位學程)zh_TW
dc.description (描述) 104363065zh_TW
dc.description.abstract (摘要) 本研究目的在檢視日本銀行於2016 年1 月29 日時宣布的負利率政策,是否讓日本股票市場產生從眾行為之現象。為了瞭解日本銀行宣布負利率政策的消息釋出對於從眾行為之影響,使用Christie and Huang (1995)的橫斷面報酬標準差(Cross-sectional standard deviations, CSSD)以及Chang et al. (2000)的橫斷面報酬絕對差(Cross-sectional absolute standard deviations, CSAD)檢定日本股市在東証一部上市的大型股於2016/01/25-2016/02/05 之負利率政策宣布前四日與後五日期間 (包括宣布日),有無從眾行為之現象,且探討哪一個產業最為明顯;接著以時間序列迴歸分析導致從眾行為之可能個總體因子,以及負利率政策實施內容導致從眾行為之可能性。zh_TW
dc.description.abstract (摘要) This paper investigates whether or not the Negative Interest Rate Policy announced by Bank of Japan on January 29th 2016 causes herding behavior on the Japanese stock market. This paper applies both the Cross-Sectional Standard Deviations (CSSD) method from Christie and Huang (1995) and the Cross-Sectional Absolute Standard Deviations (CSAD) method from Chang et al. (2000) to examine the existence of herding behavior on Tokyo Stock Exchange during a 10-day window from January 25th
2016 to February 5th 2016, 4 days before to 5 days after the policy announcement. Which industry exhibits the strongest effect is also studied. In addition, a time-series regression analysis is conducted to find out the possible micro and macro factors that may be driving herding behaviors
en_US
dc.description.tableofcontents 第一章 緒論……………………………………………………………………6
第一節 研究背景……………………………………………………………6
第二節 研究目的……………………………………………………………8
第三節 研究方法……………………………………………………………9
第二章 文獻探討…………………………………………………………11
第一節 從眾行為…………………………………………………………11
第二節 日本貨幣寬鬆政策歷程……………………………12
第三章 研究方法與設計……………………………………………16
第一節 資料選取…………………………………………………………16
第二節 研究方法…………………………………………………………17
第四章 實證結果…………………………………………………………19
第一節 從眾行為之驗證……………………………………………19
第二節 影響從眾行為之因素…………………………………31
第三節 從眾行為與負利率政策之關係………………34
第五章 結論………………………………………………………………36
參考文獻………………………………………………………………………39
zh_TW
dc.format.extent 1505604 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104363065en_US
dc.subject (關鍵詞) 從眾行為zh_TW
dc.subject (關鍵詞) 負利率政策zh_TW
dc.subject (關鍵詞) CSSD模型zh_TW
dc.subject (關鍵詞) CSAD模型zh_TW
dc.subject (關鍵詞) 時間序列迴歸分析zh_TW
dc.subject (關鍵詞) Herding behavioren_US
dc.subject (關鍵詞) Negative interest policyen_US
dc.subject (關鍵詞) CSSD modelen_US
dc.subject (關鍵詞) CSAD modelen_US
dc.subject (關鍵詞) Time series regression analysisen_US
dc.title (題名) 日本負利率政策下股市從眾行為之驗證zh_TW
dc.title (題名) Effects of negative interest rate policy on herding behavior on the Japanese stock marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Andrea Devenow, Ivo Welch (1996). “Rational herding in financial economics”. European Economic Review 40 (1996) 603-615
2.Hirofumi Uchida, Ryuichi Nakagawa (2007). “Herd behavior in the Japanese loan market: Evidence from bank panel data”. J Finan. Intermediation, 16, 555-583
3.Kenneth A. Kim, John R. Nofsinger, (2005) “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan” The Journal of Business 78 (1), 213-242
4.Masahiro Ashiya, Takero Doi (2001). “Herd behavior of Japanese economists”. Journal of Economic Behavior & Organization, 46, 343-346
5.Nofsinger and Sias, (1999). “Herding and Feedback Trading by Institutional and Individual Investors.” The Journal of Finance Volume 54, Issue 6 2263–2295
6.Olivier Loisel, Aude Pommeret, Franck Portier, (2012) “Monetary Policy and herd behavior: Learning against bubbles.” https://ideas.repec.org/p/bfr/banfra/412.html
7.Riza Demirer, Ali M. Kutan, Chun-Da Chen, (2010). “Do investors herd in emerging stock market? Evidence from the Taiwanese market”. Journal of Economic Behavior & Organization, 76, 283-295
8.Tobias F. Röthel(2001), “Competitions, herd behavior, and credit cycles: evidence from major Swiss Banks” Journal of Economics and Business, 53, 585-592
9.斉藤寿彦[2016]「日本銀行のマイナス金利政策とその影響─副作用を中心として─」
10.金堀徹[2016]「日銀が導入したーマイナス金利付き量的・質的金融緩和の効果波及経路の検証」
11.黑田東彥[2016]「マイナス金利付き量的・質的金融緩和」への疑問に答える
12.陳志宏,2007,”台灣股市從眾行為之分析”,國立中山大學財務管理研究所碩士論文。
13.傅澤瑋、林曼莉,”基金特性及外部環境對於基金經理人從眾行為的相關性”,台灣銀行季刊第六十一卷第二期
14.沈中華,2016, ” 負利率的時代 ”,兩岸金融季刊第四卷第三期
zh_TW