台灣股市從眾行為研究-三大法人與個人投資者的比較

Abstract

本研究使用Grinblatt et al.（1995）提出的動能指標M值與Fama and MacBeth（1973）的模型探討台灣加權指數當日漲跌幅超過2%的事件日下，三大法人與一般個人投資者之選股偏好與從眾行為之關係。結果發現，三大法人由於資訊取得較為迅速，在事件日已反應結束，因此觀察事件日隔日之持股比率變化並無從眾行為存在，反而採取反向策略，且以外資最為明顯，而一般個人投資者則由於資訊取得落後，在觀察事件日三大法人之交易行為後，採取與市場同向之追漲殺跌投資行為，導致明顯的從眾現象產生，且中小型股的從眾行為更為顯著。不同產業下，不論使用何樣本，皆呈現三大法人皆偏好採用反向策略與非三大法人存在與市場同向的從眾行為，其中以外資M的負值最為顯著，其M值在市場上資金流向比率較高產業更為顯著，推論當市場劇烈波動後，外資傾向做出與多數投資者相反的交易決策。而自營商在持股比率較高的產業中M呈現正值，推論其交易行為易受市場行情影響產生從眾現象。進一步觀察事件日上漲或下跌對於M值的影響，顯示在台灣50中，下跌事件日之M值顯著小於0，可推論當市場重挫時，整體投資者偏向加碼買進。 其次，使用逐步回歸分析驗證投資者選股偏好與從眾行為關係，本研究挑選流動性、市場風險、PE及PB ratio四個選股偏好之因子，結果顯示影響從眾行為最為顯著的因素為流動性，但許多公司的從眾行為並非與本研究所挑選之變數相關，推翻過去文獻中認為會影響投資者從眾行為的因素，本研究認為非三大法人之從眾行為大多來自於事件日的交易資訊，散戶觀察市場動向進而在隔日做出與其同向的投資決策，因此造成從眾現象。 本研究經由探討機構投資人與一般個人投資者的行為，希望了解投資人間交易行為的差異，結果顯示，機構投資人因資訊取得較為快速，因此投資決策以快速反應，在隔日則採取反向策略，有穩定市場之效；而一般散戶因資訊取得速度較慢，則需待觀察事件日之交易資訊後，才做出投資決策，因此產生從眾現象。

Based on the M-value of Grinblatt et al.（1995）and the model of Fama and MacBeth（1973）, this thesis discusses the herding behavior of Taiwan Stock market and tries to find out the factors that influence the herding behavior. Investors are separated into two parts which are institutional and non-institutional investors. There are three main institutional investors in Taiwan: foreign investors, mutual funds and security dealers. First, I pick the days that TAIEX increased or decreased more than 2% in one day, and investigate the change of stock holding percentage. What I have discovered in this research is that institutional investors have faster and more information than non-institutional investors, so they can respond the market tendency immediately. However, non-institutional investors didn’t respond as soon as institutional investors did, so they just followed institutional investors’ decision. If the market value of company is not so huge, the herding behavior of non-institutional investors will be more apparent. I also choose four factors which includes liquidity, beta, PE ratio and PB ratio to detect which factor influence the herding behavior of investors more. Finally, I discovered that liquidity was the most important factor influence herding behavior of investors, but there are more evident shows that the herding behavior has no relation with those factors. Non-institutional investors just follow the market trends. This is the reason why institutional investors can do positive feedback, but non-institutional investors usually make the wrong decision, buying stocks in high price and selling them in low price.