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題名 貨幣政策、投資人情緒以及台灣股市之從眾行為
An Empirical Study on Monetary policy,Investor sentiment and Herd behavior in Taiwan Stock Market
作者 林志軒
Lin, Chih Shian
貢獻者 林信助
Lin, Shinn Juh
林志軒
Lin, Chih Shian
關鍵詞 從眾行為
市場情緒
貨幣政策
系統性風險
herd behavior
investor sentiment
monetary policy
systematic risk
日期 2013
上傳時間 29-Jul-2014 16:01:36 (UTC+8)
摘要 本文採用Hwang and Salmon (2010) 所建構的從眾指標來分析台灣股市之從眾行為。有別於過往之相關研究，這種依市場風險β值的變異所計算的市場從眾指標不僅排除非系統風險 (idiosyncratic risk) 的影響，其參數化的設定亦便於假設檢定和統計推論的進行。從實證結果發現，從眾行為不僅普遍存在於台股市場，且隨著市場情緒趨於熱絡而更加明顯。另外，以隔夜拆放款利率做為貨幣政策的代理變數，也顯示貨幣政策的調整會對市場情緒有加乘效果，進而加劇股市的從眾行為；而當調幅越大時，從眾現象越顯強烈。一個合理的推測是：央行大幅升降息的動作會讓大眾有預測未來景氣走勢的機會而使得投資方向趨於一致，進而提高市場的從眾程度；尤其在經濟緊縮期間，央行的貨幣政策似乎更有影響股市走勢的作用。
In this paper, we apply the herding index constructed by Hwang and Salmon (2010) in analyzing the overall herding behavior in Taiwan’s stock market. Unlike previous studies, the new index measures the degree of herding by the variation of systematic risk β, and hence avoids the contamination from the idiosyncratic risk. With its parametric setup, it also facilitates easier implementation of statistical inference and hypotheses testing. Our empirical results show that herding behavior not only pervasively exists in Taiwan’s stock market, the degree of herding also intensifies as the market sentiment is heating up and becomes more positive. In addition, with the overnight lending rate as the proxy variable for Central bank’s monetary policy, we show that an expansionary monetary policy strengthens market sentiment, thereby exacerbates the herding behavior in stock market more significantly with a stronger policy magnitude. A reasonable conjecture is that Central bank`s policy attitude provides investors a unifying benchmark for predicting the future development of business cycles, synchronizes their investment directions, thereby increases the degree of overall market herding. In particular, Central bank`s monetary policy seems to be more influential on stock market’s herding behavior during recession periods.
參考文獻 (一)中文文獻\n1.李春安與賴藝文，2005。股市劇烈變動區間台灣股票市場與本國機構投資人從眾 \n 行為之研究，台灣管理學刊，第五卷第二期，231-268。\n\n2.羅進水與李春安，2009。從眾與非從眾行為對市場報酬衝擊之研究，管理評論，\n 第二十八卷第三期，22-41。\n\n3.葉智丞與李春安，2012。投資人情緒、從眾與非從眾行為關聯性之研究，證券市 \n 場發展季刊，第二十四卷第三期，141-182。\n\n4.周賓凰、張宇志與林美珍，2007。投資人情緒與股票報酬互動關係，證券市場發\n 展季刊，第十九卷第二 期，153-190。\n\n5.徐清俊與顏雯津，2008。情緒指標與股價報酬關係之研究，明新學報，第三十四\n 卷第一期，89-106。\n\n6.徐苑玲、郭迺鋒、彭純純與陳盈潔，2010。台灣投資人情緒指數新編製與股票市\n 場報酬之間的關聯性，貨幣觀測與信用評等，第83期，60-73。\n\n7.許振明與蔡佳珍，1993。股價與經濟因素之關連性分析與預測:MTV及主成分迴\n 歸分析，台大管理論叢，第四卷第二期，79-104。\n\n8.邱建良、陳君達與曹俊傑，2005。貨幣政策之衝擊對股市多頭與空頭之影響效 \n 果：以台灣股票市場為例，貨幣市場，第九卷第一期，1-19。\n\n9.劉名寰、郭迺鋒、林崑峰與林祝吉，2009。國際經濟因子對台灣貨幣政策傳遞效\n 果的影響：結構因子擴充向量自我迴歸模型(SFAVAR)，台灣經濟學會研討會。\n\n10.陳慧娟，2010。股市從眾行為與處分效果關聯之研究，雲林科技大學財務金 \n 融研究所碩士論文。\n\n11.許榮邦，2010。台灣股票市場從眾行為與市場情緒之關聯性分析-以狀態空間模 \n 型驗證，台北大學經濟研究所碩士論文。\n\n12.謝和原，2012。臺灣存託憑證市場從眾行為之研究，中正大學財務金融研究所 \n 碩士論文。 \n \n (二)英文文獻\n\n1.Baker, M. and Wurgler, J., 2006. Investor Sentiment and \n the Cross-Sectionof Stock Returns, Journal of Finance, \n 61(4), 1645-1680.\n\n2.Banerjee, A., 1992. A Simple Model of Herd Behavior, \n Quarterly Journal of Economics, 108(3), 797-817.\n\n3.Bernanke, B. S. and Kuttner, K. N., 2005. What explains \n the stock market’s reaction to Federal Reserve policy? \n Journal of Finance, 60(3), 1221-1257.\n\n4.Brown, W. and Cliff, M., 2004. Investor Sentiment and the \n Near-term Stock Market, Journal of Empirical Finance, \n 11(1), 1-27.\n\n5.Chang, E. C., Cheng, J. W. and Khorana, A., 2000. An \n examination of herd behavior in equity markets: An \n international perspective, Journal of Banking and Finance, \n 24, 1651-1679. \n\n6.Christie, W. G. and Huang, R. D., 1995. Following the pied \n piper: Do individual returns herd around the market? \n Financial Analysts Journal 51(4), 31-37.\n\n7.Devenow, A., and Welch, I., 1996. Rational Herding in \n Financial Economics,European Economic Review, 40, 603-615.\n\n8.Fama, E. , 1970. Efficient Capital Markets：A Review of \n Theory and Empirical Work, Journal of Finance, 25(2), \n 383-417.\n\n9.Fama, E. F. and K. R. French, 1993. Common Risk Factors \n in the Returns on Stock and Bonds, Journal of Financial \n Economics, 33, 3–56.\n\n10.Hwang, S. and Salmon, M., 2004. Market stress and \n herding, Journal of Empirical Finance, 11(4), 585-616.\n\n11.Hwang, S. and Salmon, M., 2010. Sentiment, Beta Herding, \n and Cross-sectional Asset Returns,Behavioural Finance and \n Market Efficiency, Warwick Business School.\n\n12.Kurov, A., 2010. Investor Sentiment and the Stock \n Market’s Reaction to Monetary Policy, Journal of Banking \n and Finance, 34, 139-149.\n\n13.Lakonishok, J., Shleifer, A. and Vishny, R. W., 1992. The \n impact of institutional trading on stock prices, Journal \n of Financial economics, 32, 23-43.\n\n14.Lamont, O., Polk, C. and Saa-Requejo, J., 2001. Financial \n Constraints and Stock Returns, Review of Financial \n Studies 14(2), 529-54.\n\n15.Patelis, A. D., 1997. Stock return predictability and the \n role of monetary policy, Journal of Finance, 52(5), 1951-\n 1972.\n\n16.Perez-Quiros, G., Timmermann, A., 2000. Firm Size and \n Cyclical Variations in Stock Returns, Journal of Finance \n 55(3), 1229-62.\n\n17.Thorbecke, W., 1997. On stock market returns and monetary \n policy, Journal of Finance, 52(2), 635-654.\n\n18.Wermers, R., 1999. Mutual fund herding and the impact on \n stock prices, Journal of Finance, 54, 581-621.
描述 碩士
國立政治大學
國際經營與貿易研究所
101351028
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1013510281
資料類型 thesis
dc.contributor.advisor 林信助zh_TW
dc.contributor.advisor Lin, Shinn Juhen_US
dc.contributor.author (Authors) 林志軒zh_TW
dc.contributor.author (Authors) Lin, Chih Shianen_US
dc.creator (作者) 林志軒zh_TW
dc.creator (作者) Lin, Chih Shianen_US
dc.date (日期) 2013en_US
dc.date.accessioned 29-Jul-2014 16:01:36 (UTC+8)-
dc.date.available 29-Jul-2014 16:01:36 (UTC+8)-
dc.date.issued (上傳時間) 29-Jul-2014 16:01:36 (UTC+8)-
dc.identifier (Other Identifiers) G1013510281en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=76207-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 101351028zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 本文採用Hwang and Salmon (2010) 所建構的從眾指標來分析台灣股市之從眾行為。有別於過往之相關研究，這種依市場風險β值的變異所計算的市場從眾指標不僅排除非系統風險 (idiosyncratic risk) 的影響，其參數化的設定亦便於假設檢定和統計推論的進行。從實證結果發現，從眾行為不僅普遍存在於台股市場，且隨著市場情緒趨於熱絡而更加明顯。另外，以隔夜拆放款利率做為貨幣政策的代理變數，也顯示貨幣政策的調整會對市場情緒有加乘效果，進而加劇股市的從眾行為；而當調幅越大時，從眾現象越顯強烈。一個合理的推測是：央行大幅升降息的動作會讓大眾有預測未來景氣走勢的機會而使得投資方向趨於一致，進而提高市場的從眾程度；尤其在經濟緊縮期間，央行的貨幣政策似乎更有影響股市走勢的作用。zh_TW
dc.description.abstract (摘要) In this paper, we apply the herding index constructed by Hwang and Salmon (2010) in analyzing the overall herding behavior in Taiwan’s stock market. Unlike previous studies, the new index measures the degree of herding by the variation of systematic risk β, and hence avoids the contamination from the idiosyncratic risk. With its parametric setup, it also facilitates easier implementation of statistical inference and hypotheses testing. Our empirical results show that herding behavior not only pervasively exists in Taiwan’s stock market, the degree of herding also intensifies as the market sentiment is heating up and becomes more positive. In addition, with the overnight lending rate as the proxy variable for Central bank’s monetary policy, we show that an expansionary monetary policy strengthens market sentiment, thereby exacerbates the herding behavior in stock market more significantly with a stronger policy magnitude. A reasonable conjecture is that Central bank`s policy attitude provides investors a unifying benchmark for predicting the future development of business cycles, synchronizes their investment directions, thereby increases the degree of overall market herding. In particular, Central bank`s monetary policy seems to be more influential on stock market’s herding behavior during recession periods.en_US
dc.description.tableofcontents 摘要.........................I\n目錄.........................III\n表次................................IV \n圖次................................IV\n壹、研究背景和文獻.....................1\n貳、研究方法和資料選取..................6\n一、研究方法..........................6\n二、資料來源與敘述.....................10\n参、台股市場從眾行為實證分析.............13\n一、從眾指標衡量.......................13\n二、台股從眾行為實證研究.................13\n三、市場情緒和從眾指標之關係..............16\n肆、央行貨幣政策對台股從眾行為實證研究......20\n一、貨幣政策變數基本資料.................20\n二、貨幣政策強弱對市場從眾行為的影響........21\n三、貨幣政策強弱對市場從眾行為的影響........23\n伍、結論...............................29\n參考文獻...............................30zh_TW
dc.format.extent 1971941 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1013510281en_US
dc.subject (關鍵詞) 從眾行為zh_TW
dc.subject (關鍵詞) 市場情緒zh_TW
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) 系統性風險zh_TW
dc.subject (關鍵詞) herd behavioren_US
dc.subject (關鍵詞) investor sentimenten_US
dc.subject (關鍵詞) monetary policyen_US
dc.subject (關鍵詞) systematic risken_US
dc.title (題名) 貨幣政策、投資人情緒以及台灣股市之從眾行為zh_TW
dc.title (題名) An Empirical Study on Monetary policy,Investor sentiment and Herd behavior in Taiwan Stock Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) (一)中文文獻\n1.李春安與賴藝文，2005。股市劇烈變動區間台灣股票市場與本國機構投資人從眾 \n 行為之研究，台灣管理學刊，第五卷第二期，231-268。\n\n2.羅進水與李春安，2009。從眾與非從眾行為對市場報酬衝擊之研究，管理評論，\n 第二十八卷第三期，22-41。\n\n3.葉智丞與李春安，2012。投資人情緒、從眾與非從眾行為關聯性之研究，證券市 \n 場發展季刊，第二十四卷第三期，141-182。\n\n4.周賓凰、張宇志與林美珍，2007。投資人情緒與股票報酬互動關係，證券市場發\n 展季刊，第十九卷第二 期，153-190。\n\n5.徐清俊與顏雯津，2008。情緒指標與股價報酬關係之研究，明新學報，第三十四\n 卷第一期，89-106。\n\n6.徐苑玲、郭迺鋒、彭純純與陳盈潔，2010。台灣投資人情緒指數新編製與股票市\n 場報酬之間的關聯性，貨幣觀測與信用評等，第83期，60-73。\n\n7.許振明與蔡佳珍，1993。股價與經濟因素之關連性分析與預測:MTV及主成分迴\n 歸分析，台大管理論叢，第四卷第二期，79-104。\n\n8.邱建良、陳君達與曹俊傑，2005。貨幣政策之衝擊對股市多頭與空頭之影響效 \n 果：以台灣股票市場為例，貨幣市場，第九卷第一期，1-19。\n\n9.劉名寰、郭迺鋒、林崑峰與林祝吉，2009。國際經濟因子對台灣貨幣政策傳遞效\n 果的影響：結構因子擴充向量自我迴歸模型(SFAVAR)，台灣經濟學會研討會。\n\n10.陳慧娟，2010。股市從眾行為與處分效果關聯之研究，雲林科技大學財務金 \n 融研究所碩士論文。\n\n11.許榮邦，2010。台灣股票市場從眾行為與市場情緒之關聯性分析-以狀態空間模 \n 型驗證，台北大學經濟研究所碩士論文。\n\n12.謝和原，2012。臺灣存託憑證市場從眾行為之研究，中正大學財務金融研究所 \n 碩士論文。 \n \n (二)英文文獻\n\n1.Baker, M. and Wurgler, J., 2006. Investor Sentiment and \n the Cross-Sectionof Stock Returns, Journal of Finance, \n 61(4), 1645-1680.\n\n2.Banerjee, A., 1992. A Simple Model of Herd Behavior, \n Quarterly Journal of Economics, 108(3), 797-817.\n\n3.Bernanke, B. S. and Kuttner, K. N., 2005. What explains \n the stock market’s reaction to Federal Reserve policy? \n Journal of Finance, 60(3), 1221-1257.\n\n4.Brown, W. and Cliff, M., 2004. Investor Sentiment and the \n Near-term Stock Market, Journal of Empirical Finance, \n 11(1), 1-27.\n\n5.Chang, E. C., Cheng, J. W. and Khorana, A., 2000. An \n examination of herd behavior in equity markets: An \n international perspective, Journal of Banking and Finance, \n 24, 1651-1679. \n\n6.Christie, W. G. and Huang, R. D., 1995. Following the pied \n piper: Do individual returns herd around the market? \n Financial Analysts Journal 51(4), 31-37.\n\n7.Devenow, A., and Welch, I., 1996. Rational Herding in \n Financial Economics,European Economic Review, 40, 603-615.\n\n8.Fama, E. , 1970. Efficient Capital Markets：A Review of \n Theory and Empirical Work, Journal of Finance, 25(2), \n 383-417.\n\n9.Fama, E. F. and K. R. French, 1993. Common Risk Factors \n in the Returns on Stock and Bonds, Journal of Financial \n Economics, 33, 3–56.\n\n10.Hwang, S. and Salmon, M., 2004. Market stress and \n herding, Journal of Empirical Finance, 11(4), 585-616.\n\n11.Hwang, S. and Salmon, M., 2010. Sentiment, Beta Herding, \n and Cross-sectional Asset Returns,Behavioural Finance and \n Market Efficiency, Warwick Business School.\n\n12.Kurov, A., 2010. Investor Sentiment and the Stock \n Market’s Reaction to Monetary Policy, Journal of Banking \n and Finance, 34, 139-149.\n\n13.Lakonishok, J., Shleifer, A. and Vishny, R. W., 1992. The \n impact of institutional trading on stock prices, Journal \n of Financial economics, 32, 23-43.\n\n14.Lamont, O., Polk, C. and Saa-Requejo, J., 2001. Financial \n Constraints and Stock Returns, Review of Financial \n Studies 14(2), 529-54.\n\n15.Patelis, A. D., 1997. Stock return predictability and the \n role of monetary policy, Journal of Finance, 52(5), 1951-\n 1972.\n\n16.Perez-Quiros, G., Timmermann, A., 2000. Firm Size and \n Cyclical Variations in Stock Returns, Journal of Finance \n 55(3), 1229-62.\n\n17.Thorbecke, W., 1997. On stock market returns and monetary \n policy, Journal of Finance, 52(2), 635-654.\n\n18.Wermers, R., 1999. Mutual fund herding and the impact on \n stock prices, Journal of Finance, 54, 581-621.zh_TW