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題名 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
作者 楊婕
Yang, Chieh
貢獻者 周冠男<br>陳嬿如
楊婕
Yang, Chieh
關鍵詞 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
日期 2023
上傳時間 2-Aug-2023 13:31:44 (UTC+8)
摘要 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.
參考文獻 施秀婷（2002）。高科技類股從眾行為之研究，未出版碩士論文，元智大學管理研究所。
張怡文、江穎慧、張金鶚（2009）。分量迴歸在大量估價模型之應用－非典型住宅估價之改進。都市與計劃，36(3)，281-304。
莊家彰、管中閔（2005）。台灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。
Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., & Sasu, D. (2023). An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. Journal of Economics and Finance, 1-24.
Barnes, M. L., & Hughes, A. T. W. (2002). A quantile regression analysis of the cross section of stock market returns. Working Paper, Federal Reserve Bank of Boston.
Buchinsky, M. (1998). Recent advances in quantile regression models: a practical guideline for empirical research. Journal of human resources, 88-126.
Chang, C. L., McAleer, M., & Wang, Y. A. (2020). Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19. Renewable and Sustainable Energy Reviews, 134, 110349.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
Chiang, T. C., Li, J., & Tan, L. (2010). Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. Global Finance Journal, 21(1), 111-124.
Christie, W. G., & Huang, R. D. (1995). Following the pied piper: do individual returns herd around the market?. Financial Analysts Journal, 51(4), 31-37.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Hwang, S., & Salmon, M. (2001). A new measure of herding and empirical evidence for the US, UK, and South Korean stock markets. Financial Econometrics Research Centre, 1, 12.
Jiang, R., Wen, C., Zhang, R., & Cui, Y. (2022). Investor`s herding behavior in Asian equity markets during COVID-19 period. Pacific-Basin Finance Journal, 73, 101771.
Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: journal of the Econometric Society, 46(1), 33-50.
Luu, Q. T., & Luong, H. T. T. (2020). Herding behavior in emerging and frontier stock markets during pandemic influenza panics. The Journal of Asian Finance, Economics and Business (JAFEB), 7(9), 147-158.
McQueen, G., Pinegar, M., & Thorley, S. (1996). Delayed reaction to good news and the cross‐autocorrelation of portfolio returns. The Journal of Finance, 51(3), 889-919.
Mishra, P. K., & Mishra, S. K. (2023). Do banking and financial services sectors show herding behaviour in Indian stock market amid COVID-19 pandemic? Insights from quantile regression approach. Millennial Asia, 14(1), 54-84.
Saastamoinen, J. (2008). Quantile Regression Analysis of Dispersion of Stock Returns-Evidence of Herd behavior. Discussion Papers, (57).
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(1-2), 61-77.
Wen, C., Yang, Z., & Jiang, R. (2022). Herding behavior in Hong Kong stock market during the COVID-19 period: a systematic detection approach. Journal of Chinese Economic and Business Studies, 20(2), 159-170.
描述 碩士
國立政治大學
企業管理研究所(MBA學位學程)
110363018
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110363018
資料類型 thesis
dc.contributor.advisor 周冠男<br>陳嬿如zh_TW
dc.contributor.author (Authors) 楊婕zh_TW
dc.contributor.author (Authors) Yang, Chiehen_US
dc.creator (作者) 楊婕zh_TW
dc.creator (作者) Yang, Chiehen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 13:31:44 (UTC+8)-
dc.date.available 2-Aug-2023 13:31:44 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 13:31:44 (UTC+8)-
dc.identifier (Other Identifiers) G0110363018en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146430-
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) 110363018zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構與流程 4

第二章 文獻探討 5
第一節 從眾行為理論 5
第二節 從眾行為實證文獻 5

第三章 研究設計與方法 9
第一節 資料來源與選取 9
第二節 研究方法 10

第四章 實證結果 15
第一節 敘述統計 15
第二節 從眾行為衡量 16

第五章 結論與建議 25
第一節 結論 25
第二節 研究建議 26

第六章 參考文獻 27		zh_TW
dc.format.extent 1761206 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110363018en_US
dc.subject (關鍵詞) 從眾行為zh_TW
dc.subject (關鍵詞) Covid-19疫情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) 分量迴歸zh_TW
dc.subject (關鍵詞) Herding behavioren_US
dc.subject (關鍵詞) Covid-19en_US
dc.subject (關鍵詞) CSSD modelen_US
dc.subject (關鍵詞) CSAD modelen_US
dc.subject (關鍵詞) Quantile regressionen_US
dc.title (題名) 台灣上市航運類股從眾行為分析－以Covid-19 時期為例zh_TW
dc.title (題名) Herding behavior for shipping and transportation stock in Taiwan stock market during COVID-19en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 施秀婷（2002）。高科技類股從眾行為之研究，未出版碩士論文，元智大學管理研究所。
張怡文、江穎慧、張金鶚（2009）。分量迴歸在大量估價模型之應用－非典型住宅估價之改進。都市與計劃，36(3)，281-304。
莊家彰、管中閔（2005）。台灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。
Ampofo, R. T., Aidoo, E. N., Ntiamoah, B. O., Frimpong, O., & Sasu, D. (2023). An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. Journal of Economics and Finance, 1-24.
Barnes, M. L., & Hughes, A. T. W. (2002). A quantile regression analysis of the cross section of stock market returns. Working Paper, Federal Reserve Bank of Boston.
Buchinsky, M. (1998). Recent advances in quantile regression models: a practical guideline for empirical research. Journal of human resources, 88-126.
Chang, C. L., McAleer, M., & Wang, Y. A. (2020). Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19. Renewable and Sustainable Energy Reviews, 134, 110349.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
Chiang, T. C., Li, J., & Tan, L. (2010). Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis. Global Finance Journal, 21(1), 111-124.
Christie, W. G., & Huang, R. D. (1995). Following the pied piper: do individual returns herd around the market?. Financial Analysts Journal, 51(4), 31-37.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Hwang, S., & Salmon, M. (2001). A new measure of herding and empirical evidence for the US, UK, and South Korean stock markets. Financial Econometrics Research Centre, 1, 12.
Jiang, R., Wen, C., Zhang, R., & Cui, Y. (2022). Investor`s herding behavior in Asian equity markets during COVID-19 period. Pacific-Basin Finance Journal, 73, 101771.
Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: journal of the Econometric Society, 46(1), 33-50.
Luu, Q. T., & Luong, H. T. T. (2020). Herding behavior in emerging and frontier stock markets during pandemic influenza panics. The Journal of Asian Finance, Economics and Business (JAFEB), 7(9), 147-158.
McQueen, G., Pinegar, M., & Thorley, S. (1996). Delayed reaction to good news and the cross‐autocorrelation of portfolio returns. The Journal of Finance, 51(3), 889-919.
Mishra, P. K., & Mishra, S. K. (2023). Do banking and financial services sectors show herding behaviour in Indian stock market amid COVID-19 pandemic? Insights from quantile regression approach. Millennial Asia, 14(1), 54-84.
Saastamoinen, J. (2008). Quantile Regression Analysis of Dispersion of Stock Returns-Evidence of Herd behavior. Discussion Papers, (57).
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(1-2), 61-77.
Wen, C., Yang, Z., & Jiang, R. (2022). Herding behavior in Hong Kong stock market during the COVID-19 period: a systematic detection approach. Journal of Chinese Economic and Business Studies, 20(2), 159-170.		zh_TW