An Empirical Study on Monetary policy,Investor sentiment and Herd behavior in Taiwan Stock Market

本文採用Hwang and Salmon (2010) 所建構的從眾指標來分析台灣股市之從眾行為。有別於過往之相關研究，這種依市場風險β值的變異所計算的市場從眾指標不僅排除非系統風險 (idiosyncratic risk) 的影響，其參數化的設定亦便於假設檢定和統計推論的進行。從實證結果發現，從眾行為不僅普遍存在於台股市場，且隨著市場情緒趨於熱絡而更加明顯。另外，以隔夜拆放款利率做為貨幣政策的代理變數，也顯示貨幣政策的調整會對市場情緒有加乘效果，進而加劇股市的從眾行為；而當調幅越大時，從眾現象越顯強烈。一個合理的推測是：央行大幅升降息的動作會讓大眾有預測未來景氣走勢的機會而使得投資方向趨於一致，進而提高市場的從眾程度；尤其在經濟緊縮期間，央行的貨幣政策似乎更有影響股市走勢的作用。In this paper, we apply the herding index constructed by Hwang and Salmon (2010) in analyzing the overall herding behavior in Taiwan’s stock market. Unlike previous studies, the new index measures the degree of herding by the variation of systematic risk β, and hence avoids the contamination from the idiosyncratic risk. With its parametric setup, it also facilitates easier implementation of statistical inference and hypotheses testing. Our empirical results show that herding behavior not only pervasively exists in Taiwan’s stock market, the degree of herding also intensifies as the market sentiment is heating up and becomes more positive. In addition, with the overnight lending rate as the proxy variable for Central bank’s monetary policy, we show that an expansionary monetary policy strengthens market sentiment, thereby exacerbates the herding behavior in stock market more significantly with a stronger policy magnitude. A reasonable conjecture is that Central bank's policy attitude provides investors a unifying benchmark for predicting the future development of business cycles, synchronizes their investment directions, thereby increases the degree of overall market herding. In particular, Central bank's monetary policy seems to be more influential on stock market’s herding behavior during recession periods