台灣證券市場投資人產業群聚現象之衡量與因素探討

Abstract

本研究探討台灣股票市場各類型參與者的產業群聚現象，並追蹤各類型的交易人產業群聚買進與群聚賣出投資組合自形成後之後續報酬率變化，再釐清不同類型交易人之間的產業群聚關係。本文實證結果顯示，台灣確實存在以產業分類為特色之群聚現象，台灣證券市場在2008至2012年間的前後期產業需求平均相關係數達0.4874，在1%水準下顯著；其次，市場壓力對台灣股市產業群聚現象無明顯之影響；第三，由日資料來看，本文實證結果無法支持台灣股市產業群聚現象總是反映新產業資訊至產業評價過程的說法。最後，台灣股市有跨投資人類型的產業群聚現象。儘管各類投資人最主要皆來自於追隨同類型之其他交易者，自然人的產業群聚行為顯著與其他三類的法人交易者負相關，這意味著當法人群聚交易某一產業的股票時，自然人會對同一產業的股票群聚做出與法人相反方向的交易。

This paper examines whether investors in Taiwan stock market follow each other into and out of the same industry. The study tracks the buy herding and the sell herding industry portfolios’ performance, and investigates whether industry herding behavior of a particular type of investors can be triggered by the trading of other type of investors. The empirical results show that the herding in Taiwan stock market has an industry component. The cross-sectional correlation of the industry demand between quarters averages 48.74% in the sample period. However, the study finds no evidence that market stress affects investors’ industry herding. Third, in Taiwan stock market, industry herding is not always the process that industry information is impounded into prices. Sometimes it could be behavior-driven. Last, in Taiwan stock market, the industry herding of one type of investors’ can be triggered by other types of investors. In particular, there is a significant negative relationship between retail investors’ industry herding and institutional investors’ trades.