模糊性對不同類別投資人群聚行為之影響: 以台灣股票市場為例

Abstract

本研究旨在探討臺灣股票市場內，個股模糊性對於外資、散戶、投信與其他法人四種不同類別投資人群聚行為程度之影響。並再加入金融危機時期、投資人情緒、市值與市場報酬方向四種情境，分析並比較在不同情境之下模糊性如何影響四類投資者的群聚行為。本研究使用2008年1月1日至2019年12月31日臺灣證券交易所之日內逐筆成交資料進行研究，結果顯示模糊性的增加會使群聚行為的程度減弱，雖在四種不同情境之下模糊性對於群聚行為影響的程度會有所差異，但在所有情境下四種類別投資人大部分整體而言沒有表現出模糊性的增加會使群聚行為加劇的情況。

This study investigates the impact of stock ambiguity on the herding behavior of four distinct types of investors in the Taiwan’s stock market: foreign investors, retail investors, investment trusts, and other institutional investors. Additionally, the study examines the effect of ambiguity on herding behavior under four different conditions: during financial crises, varying investor sentiment, differences in market value, and market return direction. The research utilizes intraday transaction data from the Taiwan Stock Exchange, covering the period from January 1, 2008, to December 31, 2019. The results indicate that increased ambiguity generally weakens the extent of herding behavior. Although the impact of ambiguity on herding behavior varies across different conditions, overall, the four distinct types of investors do not exhibit increased herding behavior with higher ambiguity in most cases.