台灣投資人群聚行為之探討

Abstract

本文使用Zhou and Lai( 2009)改良的LSV模型衡量群聚程度，研究2011年至2012年台灣上市股票市場的群聚行為。本文發現法人的群聚程度都比散戶高很多，並發現群聚集中於大型股。市場大幅波動時，散戶的買進群聚增強；投信則賣出群聚增強；而其他法人則在買賣群聚皆增強。 本文進一步分析群聚和股票報酬的交互關係，觀察投資人在強烈群聚後零投資組合(B1-S1)的績效表現，發現外資、投信和其他法人賺取的報酬皆大於散戶，顯示法人的整體績效表現優於散戶。其中，外資及投信在大、中、小三種類型的股票都賺取正報酬；散戶只在大型股賺取正報酬；而其他法人只在中型股賺取正報酬。在市場壓力下，外資和投信對於不確定性較高、公開資訊較少的小型股，仍然有顯著的正報酬；其他法人的群聚只在中型股也有顯著的正報酬；散戶則沒有任何顯著的正報酬。根據以上的結果，外資及投信的群聚可能為資訊所驅使，散戶和其他法人的群聚則可能是行為或情緒所驅使。

We study the herding behavior in Taiwan. This study uses the herding measure introduced by Lakonishok et al.(1992) and modified by Zhou and Lai (2009),and investigate the herding behavior in Taiwan during the period from 2011 to 2012.The study finds evidence of herding by both investors but stronger herding tendency among institutional than individual investors and also find all investors herd more on firms with large capitalizations. All of individual investors’ buy-herding,domestic mutual fund investors’ sell-herding and other institutional investors’ buy-herding and sell-herding are increasing in volatile period. To further explore the dynamic relation between herding and returns,the study observe the returns of a zero-investment portfolio.The performance of institutional investors are better than individual investors. For foreign investors and domestic mutual-fund investors, the finding shows positive returns in each size group.However,individual investors only earn positive returns in large size and other institutional investors just earn positive returns in median size.Both of foreign investors and domestic mutual-fund investors earn positive returns in small size stocks with high uncertainty during period of market stress. The other institutional investors earn positive returns in median size.Finally,individual investors have not any significant positive returns. According to the above results,I suggest that herding by foreign investors and domestic mutual-fund should be information-driven.In contrast,the herding behavior of individual investors and the other institutional investors may driven by behavioral factors.