A Study on The Relationship Between Stock Price and Financing Stocks That Wants To Prove The Evidence on Herding and Momentum Strategy

[[abstract]]這篇文章的主要目的是為了要研究散戶的投資行為是否有從眾行為以及追漲殺低行為。Maug與Nalik在1996年的研究顯示，股票市場中基金經理人為了相對績效，會有跟隨同業的舉動，也就是在同一時間會購買或是賣出相同的股票。而且也會因此作出追漲殺低的行為，也就是會購買已經上漲的股票而賣出以下跌的股票。在台灣，根據台灣證交所的資料，至2007年3月為止，散戶交易比重佔全部交易的百分之六十六點五，而且散戶手上並沒有充裕的資金，因此會使用融資來買進或賣出股票。然而，散戶由於資訊蒐集能力以及判讀能力仍不足，也希望能在短期間得到報酬，因此也會有誘因做出追漲殺低的行為。因此本研究將散戶當日投資的操作以當日融資買賣超張數當作被解釋項，而過去融資增減數值、法人買賣超、以及股價變化當作解釋項作OLS分析，研究樣本取樣自民國90年至96年3月30日之台灣上市共20檔權值股股價及融資變化相關資訊進行實證分析。實證結果如下： 1. 散戶買賣權值股會跟隨前一日散戶的動作，但是會與法人反向操作，沒有很明顯的證據證明有從眾行為。 2. 散戶對於權值股的買賣並沒有明顯的追漲殺低行為。[[abstract]]The purpose of this article is to study the investment behavior of individual investors, has herding and momentum strategy or not. According to study of Maug and Nalik in 1996, fund managers will buy (sell) the same stocks as other managers do because of relative performance. And they will also buy winners and sell losers. In Taiwan, according to TSE, 66.5% of volumes of Taiwan’s stock are traded by individual investors until 2007/3/30. And they don’t have enough money to buy stocks; they usually use finance buying and finance selling. However, individual investors don’t have enough ability to collect and analyze information; they also hope to get return in short time. They have inducement to buy winners and sell losers. This paper uses a data of the difference of finance balance and stock prices of 20 big stocks between 2001 and 2007/3/30 to analyze the effect. The result is as follows: 1. Individuals buy or sell big stock will follow individuals which they did yesterday, but they do inverse way as corporate investors. There is no strong evidence of herding. 2. There is no evidence of momentum strategy