Herding and Its Impact on Stock Return : Evidence from Taiwan Stock Market

[[abstract]]本文將台灣投資人分為外資、投信、自營商、其他一般法人、散戶，利用其買賣資料，以Lakonishok Shleifer and Vishny(1992)所提出的從眾指標，檢測各類投資人之從眾行為以及特性，接著利用Wermers(1999)與Puckett and Yan(2008)所提出的方法將投資人分成買賣兩方並探討從眾行為與股價報酬的相關。 實證結果發現，台灣各類投資人都顯著有從眾行為，且從眾程度顯著不同。在股票特性方面，台灣外資、自營商、散戶皆在市值比、成交筆數較大的投組出現高程度的從眾行為，原因可能為投資人持有相同資訊或投資人偏愛此種特性的股票，而其他一般法人則會因為資訊流在成交筆數較少的投組出現高程度的從眾現象，在市場資訊更透明後，國內機構投資人皆減少從眾行為，唯有投信可能因為聲譽及薪資考量而加劇從眾現象；另外，從從眾前報酬可看出外資、自營商、投信在買賣方都是存在正向回饋行為，散戶則是反向回饋行為，其他一般法人則在買方為正向回饋交易者，賣方卻為反向回饋交易者。而由從眾後報酬可看出外資在賣方的投資行為並不理性，因為那些被外資大量賣出的投組，其事後股價會上漲而產生正的超額報酬，代表外資的從眾行為會使股票偏離基本價值，所以事後才出現報酬反轉的現象，而自營商則是在從眾買方有報酬反轉現象；此外也可看出那些被散戶大量買進(賣出)的投組，其事後股價都會跌(漲)而產生損失，代表散戶在買方和賣方的投資決策皆不理想。[[abstract]]In this study we examine the existence of herding and the relation between herding and stock returns by dividing Taiwanese investors into five groups: foreign investors dealers investment trusts other institutional investors and individual investors We find strong evidence of herding at the daily frequency using the Lakonishok Shleifer and Vishny(1992) measure We also find the foreign investors dealers and individual investors prefer to buy the stocks with large capitalization and high liquidity while other institutional investors prefer the stocks with lower liquidity In addition we investigate the stock returns around herding Our results indicate that institutional investors had positive feedback trading and the individual investors had negative feedback trading Moreover we find price reversal after foreign investors’ large selling and dealers’ large buying which implies that foreign investors’ sell herding and dealers’ buy herding is not based on information For individual investors we find price reversal after their buy and sell herdin