學術產出-學位論文
| 題名 | 機構投資者從眾行為與股價崩盤風險 Institutional Herding and Stock Price Crashes |
| 作者 | 吳潁齊 Wu, Ying-Qi |
| 貢獻者 | 李志宏 Lee, Chih-Hung 吳潁齊 Wu, Ying-Qi |
| 關鍵詞 | 機構投資人 從眾行為 股價崩盤風險 Institutional investor Herding Stock Price Crashes |
| 日期 | 2024 |
| 上傳時間 | 5-八月-2024 13:44:13 (UTC+8) |
| 摘要 | 本研究藉由區分機構投資者為外資、投信、自營，衡量其從眾行為是否會
造成股價崩盤風險，樣本期間為 2001 年第一季度至 2023 年第四季度，機構投資者出現持股變化的上市櫃公司。實證結果顯示機構投資者當期的買方從眾行為會增加下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的買方從眾行為也會造成未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期買進股票，或是投資人情緒過度樂觀，將股價推升至偏離基本價值，進而造成未來股價崩盤；機構投資者的當期賣方從眾行為會減少下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的賣方從眾行為也會減少未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期賣出股票，此行為可以修正偏離基本價值的股票，抑或是使得股票價格過度被低估，當期投資人情緒已經過度悲觀，因此未來股價崩盤風險下降。 This study analyzes whether institutional investors’ herding behavior will cause stock price crash risk by distinguishing them as foreign capital, investment banks, and dealer. Using the shareholding data from the first quarter of 2001 to the fourth quarter of 2023, the study finds that institutional investors’ buy-side herding behavior in the current period will cause the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, buy-side herding behavior with a lag of quarters also cause the risk of future stock price crashes. Institutional investors’ buy-side herding behavior may be based on reputation herding, fad herding, characteristic herding, or overly optimistic investor sentiment, which pushes the stock price away from the basic value, thereby causing the stock price to crash in the future. Institutional investors’sell-side herding behavior in the current period will reduce the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, sell-side herding behavior with a lag of quarters also reduce the risk of future stock price crashes. Institutional investors’sell-side herding behavior may be based on reputation herding, fad herding, characteristic herding. This behavior can correct stocks that deviate from their fundamental value, or make the stock price excessively undervalued, and current investor sentiment is already overly pessimistic, so the risk of future stock price crashes decreases. |
| 參考文獻 | 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，桃園市。 洪永章(2015)。台灣投資人群聚行為之探討，國立交通大學財務金融研究所未出版之碩士論文，新竹市。 Christie, W.G., &Huang, R.D.(1995).Following the pied piper: Do individual returns herd around the market? Finance of Analysts Journal,31-37 Chang, E.C., Chang, J.W., & Khorana,A.(2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance,24(10),1651-1679 Chen J., Hong H., & Stein J. C.(2001). Forecasting crashes: Trading volume，past returns，and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381. Chiang, T.C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8),1911-1912 Chen C., Kim J.B., & Yao L.(2017). Earnings smoothing: Does it exacerbate or constrain stock price crash risk? Journal of Corporate Finance,42, 36-54. Devenow A. & Welch I., (1996). Rational Herding in Financial Economics. European Economic Review,40, 603-615. Froot, K. A., Scharfstein, D. S. & Stein J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short- term Speculation. Journal of Finance, 47, 1461-1484. Gompers, P.A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of economics,116(1),229-259 Hutton A. P., Marcus A. & Tehranian H., (2009). Opaque Financial Reports，R2，and Crash Risk. Journal of Financial Economics, 94, 67-86. Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance journal, 18(5),477-493 Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188. Jin L. & Myers, S. C., (2006). R2 Around the World: New Theory and New Tests. Journal of Financial Economics, 79, 257-292 Kim J. B., Li Y. H. & Zhang L. D.,(2011a). Corporate Tax Avoidance and Stock Price Crash Risk：Firm- level Analysis. Journal of Financial Economics,100, 639-662. Kim J. B., Li Y. H. & Zhang L. D.,(2011b). CFOs Versus CEOs：Equity Incentives and Crashes. Journal of Financial Economics,101, 713-730. Kim J. B. & Zhang L., (2011). Does Accounting Conservatism Reduces Stock Price Crash Risk? Working Paper, City University of Hong Kong. Kim J. B., Wang Z., & Zhang L.(2016). CEO overconfidence and stock price crash risk. Contemporary Accounting Research, 33(4), 1720-1749. Lakonishok, J., Shleifer , A., &Vishny, R. W.(1992).The Impact of Institutional Trading on Stock Price. Journal of Financial Economics, 32(1),23-24 Scharfstein, D. S., &Stein, J.C.(1990). Herd behavior and investment. The American Economic Review, 465-479. Sias, R.W.(2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206. Wermers, R. (1999). Mutual Fund Herding and the Impact on Stock Prices. The Journal of Finance,54(2),581-622 Wu K., & Lai S.(2020). Intangible intensity and stock price crash risk. Journal of Corporate Finance, 64, 101682. Xu N., Li X., Yuan Q., & Chan K. C.(2014). Excess perks and stock price crash risk: Evidence from China. Journal of Corporate Finance, 25, 419-434. Zhu Y., Wu Z., Zhang H., & Yu J.(2017). Media sentiment，institutional investors and probability of stock price crash: evidence from Chinese stock markets.Accounting & Finance, 57(5), 1635-1670 |
| 描述 | 碩士 國立政治大學 財務管理學系 111357032 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0111357032 |
| 資料類型 | thesis |
| dc.contributor.advisor | 李志宏 | zh_TW |
| dc.contributor.advisor | Lee, Chih-Hung | en_US |
| dc.contributor.author (作者) | 吳潁齊 | zh_TW |
| dc.contributor.author (作者) | Wu, Ying-Qi | en_US |
| dc.creator (作者) | 吳潁齊 | zh_TW |
| dc.creator (作者) | Wu, Ying-Qi | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 5-八月-2024 13:44:13 (UTC+8) | - |
| dc.date.available | 5-八月-2024 13:44:13 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-八月-2024 13:44:13 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111357032 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/152731 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理學系 | zh_TW |
| dc.description (描述) | 111357032 | zh_TW |
| dc.description.abstract (摘要) | 本研究藉由區分機構投資者為外資、投信、自營，衡量其從眾行為是否會 造成股價崩盤風險，樣本期間為 2001 年第一季度至 2023 年第四季度，機構投資者出現持股變化的上市櫃公司。實證結果顯示機構投資者當期的買方從眾行為會增加下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的買方從眾行為也會造成未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期買進股票，或是投資人情緒過度樂觀，將股價推升至偏離基本價值，進而造成未來股價崩盤；機構投資者的當期賣方從眾行為會減少下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的賣方從眾行為也會減少未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期賣出股票，此行為可以修正偏離基本價值的股票，抑或是使得股票價格過度被低估，當期投資人情緒已經過度悲觀，因此未來股價崩盤風險下降。 | zh_TW |
| dc.description.abstract (摘要) | This study analyzes whether institutional investors’ herding behavior will cause stock price crash risk by distinguishing them as foreign capital, investment banks, and dealer. Using the shareholding data from the first quarter of 2001 to the fourth quarter of 2023, the study finds that institutional investors’ buy-side herding behavior in the current period will cause the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, buy-side herding behavior with a lag of quarters also cause the risk of future stock price crashes. Institutional investors’ buy-side herding behavior may be based on reputation herding, fad herding, characteristic herding, or overly optimistic investor sentiment, which pushes the stock price away from the basic value, thereby causing the stock price to crash in the future. Institutional investors’sell-side herding behavior in the current period will reduce the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, sell-side herding behavior with a lag of quarters also reduce the risk of future stock price crashes. Institutional investors’sell-side herding behavior may be based on reputation herding, fad herding, characteristic herding. This behavior can correct stocks that deviate from their fundamental value, or make the stock price excessively undervalued, and current investor sentiment is already overly pessimistic, so the risk of future stock price crashes decreases. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的與結果 2 第二章 文獻探討 4 第一節 從眾行為文獻探討 4 第二節 股價崩盤風險文獻探討 6 第三章 研究方法 9 第一節 資料來源與研究期間 9 第二節 應變數定義與模型 9 第三節 衡量從眾行為之模型–主要自變數 11 第四節 控制變數定義 13 第四章 實證結果分析 17 第一節 敘述統計 17 第二節 機構投資者從眾行為與股價崩盤風險 17 第三節 回歸結果 18 第五章 結論與建議 21 第一節 結論 21 第二節 建議 22 參考文獻 23 | zh_TW |
| dc.format.extent | 2691595 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111357032 | en_US |
| dc.subject (關鍵詞) | 機構投資人 | zh_TW |
| dc.subject (關鍵詞) | 從眾行為 | zh_TW |
| dc.subject (關鍵詞) | 股價崩盤風險 | zh_TW |
| dc.subject (關鍵詞) | Institutional investor | en_US |
| dc.subject (關鍵詞) | Herding | en_US |
| dc.subject (關鍵詞) | Stock Price Crashes | en_US |
| dc.title (題名) | 機構投資者從眾行為與股價崩盤風險 | zh_TW |
| dc.title (題名) | Institutional Herding and Stock Price Crashes | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 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，桃園市。 洪永章(2015)。台灣投資人群聚行為之探討，國立交通大學財務金融研究所未出版之碩士論文，新竹市。 Christie, W.G., &Huang, R.D.(1995).Following the pied piper: Do individual returns herd around the market? Finance of Analysts Journal,31-37 Chang, E.C., Chang, J.W., & Khorana,A.(2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance,24(10),1651-1679 Chen J., Hong H., & Stein J. C.(2001). Forecasting crashes: Trading volume，past returns，and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381. Chiang, T.C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8),1911-1912 Chen C., Kim J.B., & Yao L.(2017). Earnings smoothing: Does it exacerbate or constrain stock price crash risk? Journal of Corporate Finance,42, 36-54. Devenow A. & Welch I., (1996). Rational Herding in Financial Economics. European Economic Review,40, 603-615. Froot, K. A., Scharfstein, D. S. & Stein J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short- term Speculation. Journal of Finance, 47, 1461-1484. Gompers, P.A., & Metrick, A. (2001). Institutional investors and equity prices. The quarterly journal of economics,116(1),229-259 Hutton A. P., Marcus A. & Tehranian H., (2009). Opaque Financial Reports，R2，and Crash Risk. Journal of Financial Economics, 94, 67-86. Hung, W., Lu, C.-C., & Lee, C. F. (2010). Mutual fund herding its impact on stock returns: Evidence from the Taiwan stock market. Pacific-Basin Finance journal, 18(5),477-493 Hsieh, S.-F. (2013). Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market. International Review of Financial Analysis, 29, 175-188. Jin L. & Myers, S. C., (2006). R2 Around the World: New Theory and New Tests. Journal of Financial Economics, 79, 257-292 Kim J. B., Li Y. H. & Zhang L. D.,(2011a). Corporate Tax Avoidance and Stock Price Crash Risk：Firm- level Analysis. Journal of Financial Economics,100, 639-662. Kim J. B., Li Y. H. & Zhang L. D.,(2011b). CFOs Versus CEOs：Equity Incentives and Crashes. Journal of Financial Economics,101, 713-730. Kim J. B. & Zhang L., (2011). Does Accounting Conservatism Reduces Stock Price Crash Risk? Working Paper, City University of Hong Kong. Kim J. B., Wang Z., & Zhang L.(2016). CEO overconfidence and stock price crash risk. Contemporary Accounting Research, 33(4), 1720-1749. Lakonishok, J., Shleifer , A., &Vishny, R. W.(1992).The Impact of Institutional Trading on Stock Price. Journal of Financial Economics, 32(1),23-24 Scharfstein, D. S., &Stein, J.C.(1990). Herd behavior and investment. The American Economic Review, 465-479. Sias, R.W.(2004). Institutional herding. The Review of Financial Studies, 17(1), 165-206. Wermers, R. (1999). Mutual Fund Herding and the Impact on Stock Prices. The Journal of Finance,54(2),581-622 Wu K., & Lai S.(2020). Intangible intensity and stock price crash risk. Journal of Corporate Finance, 64, 101682. Xu N., Li X., Yuan Q., & Chan K. C.(2014). Excess perks and stock price crash risk: Evidence from China. Journal of Corporate Finance, 25, 419-434. Zhu Y., Wu Z., Zhang H., & Yu J.(2017). Media sentiment，institutional investors and probability of stock price crash: evidence from Chinese stock markets.Accounting & Finance, 57(5), 1635-1670 | zh_TW |