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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李顯峰(Hsien-Feng Lee) | |
dc.contributor.author | Yang-Jui Chang | en |
dc.contributor.author | 張洋瑞 | zh_TW |
dc.date.accessioned | 2021-06-15T07:05:28Z | - |
dc.date.available | 2010-12-09 | |
dc.date.copyright | 2010-12-09 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-12-04 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48629 | - |
dc.description.abstract | 傳統上,經濟學家假設參與經濟活動的人具有完全的理性,然而,隨著行為經濟學的深入研究,科學家發現人的行為是介於理性與非理性之間。依據傳統的分析,若在金融市場上隨機抽取一個投資人,則其應該是以自己的意願作決定,但是越來越多的實證研究發現絕大多數的情況下,投資人會受到其他投資人的行動影響,因而改變自己的心意,轉而跟從他人的行為。
本研究以樣本期間2006年至2009年共995筆的臺灣股市各類型投資人交易情形的日資料,運用Quandt-Andrews檢定、單變數與多變數GARCH模型、VAR模型及Granger因果關係檢定等方式找出存在於市場上的從眾行為。結果發現:一、不論是投資人的類型為何,其當期交易情形會受到自身以前期間交易情形的影響。二、除了外資以外,投資人均有跟從其他類型投資人交易的情形。 | zh_TW |
dc.description.abstract | Traditionally, economists hypothesize people, involving in economic activities, are of full rationality; however, as the rise of behavioral economics, scientists have found that human behaviors are between rationality and irrationality. In financial markets, randomly selected, a person makes decision of transactions by his own will, as conventional analyses said. Unfortunately, most of the time, more and more empirical evidence shows that people are influenced by other investors’ actions, and change their minds to herd others.
This article is to investigate the herd behavior in the Taiwan stock market, using the daily data, from 2006 to 2009, sample size of 995, of the trading conditions of all kinds of investors, with Quandt-Andrews test, univariate and multivariate GARCH models, the VAR model, and Granger causality test. The major findings are as follows: First, no matter what kinds of investors are, they all herd themselves. Second, investors, except the foreign brokers, herd other types of investors. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T07:05:28Z (GMT). No. of bitstreams: 1 ntu-99-P97323008-1.pdf: 421902 bytes, checksum: 1fc88ad0a17f8f44a9c3baa87e65c118 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 謝辭 i
中文摘要 iii 英文摘要 iv 第一章 緒論 1 第一節 研究動機 1 第二節 研究架構 2 第二章 文獻探討 4 第一節 從眾行為相關理論 4 第二節 金融市場從眾行為實證研究 8 第三章 研究方法 11 第一節 研究理論架構與樣本資料說明 11 第二節 實證方法 14 第四章 實證結果與分析 25 第一節 敘述統計 25 第二節 單根檢定 26 第三節 結構性變動檢定 26 第四節 單變數與多變數GARCH模型 27 第五節 VAR模型 34 第五章 結論與建議 40 第一節 結論 40 第二節 後續研究建議 40 參考文獻 42 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣股票市場從眾行為之實證研究 | zh_TW |
dc.title | Herd Behavior in Taiwan Stock Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 謝德宗,林惠玲 | |
dc.subject.keyword | 從眾行為,Quandt-Andrews檢定,交易情形,多變量GARCH,Granger因果關係檢定, | zh_TW |
dc.subject.keyword | Herd behavior,Quandt-Andrews test,Trading conditions,Multivariate GARCH model,Granger causality test, | en |
dc.relation.page | 48 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-12-06 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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