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日内理性及非理性群聚行为与市场品质互动之探讨

【中文摘要】:群聚行为是否为理性或非理性,一直是在文献中被探讨的问题,但始终未能找到有效的方法分辨理性与非理性的群聚行为并且更深入研究两者行为的不同。本研究尝试利用Bernhardt, et al. (2006) 所提出衡量分析师群聚行为的S统计量应用于股票市场中,以及利用未来报酬率条件判断委託簿失衡,提出三个理性群聚行为衡量指标,再利用迴归式拆解总群聚无法被理性群聚解释的残差部分视为非理性的群聚。最后以向量自我迴归模型探讨理性与非理性群聚与市场波动度、效率性及杂讯的相互关係。
本研究结果发现:(1)理性群聚在高市值中可以减少市场波动及杂讯,但对效率性没有显着的影响。(2)理性群聚在低市值中也可以降低杂讯但反而增加了市场波动,对市场效率性仍然没有显着影响。(3)非理性群聚不论在高市值或低市值皆增加市场波动及杂讯,但对市场效率性仍然没有显着影响。(4)市场波动及杂讯,在高市值中确实会降低理性的群聚行为,但在低市值中市场波动反而增加了理性群聚行为,杂讯仍然会降低理性的群聚行为。(5)不论在高市值或低市值,市场波动及杂讯皆会造成非理性群聚行为的增加。(6)市场效率性对于理性与非理性群聚行为并没有显着影响,不论在高市值或是低市值。
【英文摘要】:A comment investment question is: Is herding behavior rational or irrational? Previous studies don’t propose effective methodologies to identify this behavior, or deeply investigate the differences of both rational and irrational herding behavior. The purpose of this study is to propose some methodologies to measure rational herding. Initially, we use the “S statistic” proposed by Bernhardt, et al. (2006) which was originally used to estimate the probability of analysts’ herding and apply it to the stock market. Second, we use the condition of following return to identify order imbalance as rational herding. Then, the residuals form the regression of that unexplained by rational herding. Finally, we research the interaction between rational and irrational herding and market volatility, efficiency, and noise using the Vector Autoregression Model.
The findings of this paper are: (1) Rational herding can decrease volatility and noise, but has no significant impact on efficiency in high market value situations. (2) Rational herding can also decrease noise but increase volatility, however there is also no significant impact on efficiency in low market value situations. (3) Irrational herding can increase volatility and noise but has no significant impact on efficiency in either high or low market value situations. (4) Volatility and noise can decrease rational herding in high market value situations, but the volatility increases rational herding and noise still decreases rational herding in low market value situations. (5) Volatility and noise can increase irrational herding in both high and low market values situations. (6) Market efficiency has no impact on rational or irrational herding in either high or low market value situations.
【参考文献】:

  • 英文部分
  • Blasco, Natividad, Pilar Corredor, and Sandra Ferreruela. “Herding, Volatility and Market Stress.”
  • Bikhchandani S., D. Hirshleifer and I. Welch, 1992, “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”, The Journal of Political Economy, 100, 992-1027.
  • Bikhchandani S.and S Sharma, 2001, “Herd Behavior in Financial Markets”, IMF Staff Papers, Vol. 47, No. 3.
  • Bikhchandani S., Hirshleifer D., and I. Welch, 1992, “A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades”, Journal of Political Economy, Vol. 100, No. 5, pp. 992-1026.
  • Bernhardt D., M. Campello, E. Kutsoati, 2006, “Who herds?”, Journal of Financial Economics, Volume 80, Issue 3, June 2006, Pages 657–675.
  • Bloomfield R., M. O’Hara and G. Saar, 2009, “How Noise Trading Affects Markets: An Experimental Analysis”, The Review of Financial Studies, Vol.22, No.6
  • Charles M.C. Lee and H. Swaminathan, 2000, “Price Momentum and Trading Volume”, The Journal of Finance, Volume 55, Issue 5, pages 2017–2069
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  • Chang Eric C., J.W. Cheng, A. Khorana, 2000. “An examination of herd behavior in equity markets: An international perspective”, Journal of Banking & Finance, Volume 24, Issue 10, Pages 1651–1679.
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  • Lee, C. and Ready M., 1991. Inferring trading direction from intraday data, Journal of Finance , 46(78), 733-746
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  • Long D., J. Bradford, A. Shleifer, Lawrence H. Summers and Robert J. Waldmann, 1990, “Noise Trader Risk in Financial Markets”, The Journal of Political Economy, Vol. 98, No. 4., pp. 703-738
  • Nofsinger John R. and Richard W. Sias, 1999, “Herding and Feedback Trading by Institutional and Individual Investors”, The Journal of Finance, VOL 54. NO 6.
  • Patterson, D. and V. Sharma, 2005, “Intraday herding and market efficiency”, Working Paper.
  • Park A., D. Sgroi, 2008, “When Herding and Contrarianism Foster Market Efficiency: A Financial Trading Experiment”, working paper.
  • Shiller R.J., 1997, “Human Behavior and the Efficiency of the Financial System”
  • Shleifer, Andrei, and Lawrence H. Summers, 1990, “The noise trader approach to finance”, Journal of Economic Perspectives 4(2), 19-33.
  • Scharfstein David S., and Jeremy C. Stein, 1990, “Herd behavior and investment”, American Economic Review 80(3), 465-479.
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  • 中文部分
  • 林秋发,2005,微结构、杂讯交易与市场绩效,国立中央大学财务金融研究所博士论文
  • 陈柏宏,2005,避险者、投机者与散户的从众行为─以美国S&P500期货市场为例,中山大学财务管理学系硕士论文
  • 刘佳奇,2006,投资人的过度自信、从众行为与交易绩效,中山大学财务管理学系硕士论文
  • 陈志宏,2007,台湾股市从众行为之分析,中山大学财务管理学系硕士论文
  • 周宾凰、池祥萱、周冠男、龚怡霖,行为财务学: 文献回顾与展望,证券市场发展季刊14:2, 1-48, 2002 年
  • 龙培尧,2010,投资人日内群聚行为分析: 理性或非理性?,淡江大学财务金融学系硕士论文
  • 曾丽文,2003,台湾开放式股票型基金从众行为与基金基效之关係分析,朝阳科技大学企业管理学系硕士论文
  • 张振展,2009,台湾股票市场日内群聚和动能策略分析,淡江大学财务金融学系硕士论文
  • 来源:中山大学;作者:吴慈惠
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