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| Title: | 日本負利率政策下股市從眾行為之驗證
Effects of negative interest rate policy on herding behavior on the Japanese stock market |
| Authors: | 蔡宜臻 |
| Contributors: | 周冠男
蔡宜臻 |
| Keywords: | 從眾行為
負利率政策
CSSD模型
CSAD模型
時間序列迴歸分析
Herding behavior
Negative interest policy
CSSD model
CSAD model
Time series regression analysis |
| Date: | 2017 |
| Issue Date: | 2017-07-31 11:32:57 (UTC+8) |
| Abstract: | 本研究目的在檢視日本銀行於2016 年1 月29 日時宣布的負利率政策，是否讓日本股票市場產生從眾行為之現象。為了瞭解日本銀行宣布負利率政策的消息釋出對於從眾行為之影響，使用Christie and Huang (1995)的橫斷面報酬標準差(Cross-sectional standard deviations, CSSD)以及Chang et al. (2000)的橫斷面報酬絕對差(Cross-sectional absolute standard deviations, CSAD)檢定日本股市在東証一部上市的大型股於2016/01/25-2016/02/05 之負利率政策宣布前四日與後五日期間 (包括宣布日)，有無從眾行為之現象，且探討哪一個產業最為明顯；接著以時間序列迴歸分析導致從眾行為之可能個總體因子，以及負利率政策實施內容導致從眾行為之可能性。
This paper investigates whether or not the Negative Interest Rate Policy announced by Bank of Japan on January 29th 2016 causes herding behavior on the Japanese stock market. This paper applies both the Cross-Sectional Standard Deviations (CSSD) method from Christie and Huang (1995) and the Cross-Sectional Absolute Standard Deviations (CSAD) method from Chang et al. (2000) to examine the existence of herding behavior on Tokyo Stock Exchange during a 10-day window from January 25th
2016 to February 5th 2016, 4 days before to 5 days after the policy announcement. Which industry exhibits the strongest effect is also studied. In addition, a time-series regression analysis is conducted to find out the possible micro and macro factors that may be driving herding behaviors |
| Reference: | 1. Andrea Devenow, Ivo Welch (1996). “Rational herding in financial economics”. European Economic Review 40 (1996) 603-615
2.Hirofumi Uchida, Ryuichi Nakagawa (2007). “Herd behavior in the Japanese loan market: Evidence from bank panel data”. J Finan. Intermediation, 16, 555-583
3.Kenneth A. Kim, John R. Nofsinger, (2005) “Institutional Herding, Business Groups, and Economic Regimes: Evidence from Japan” The Journal of Business 78 (1), 213-242
4.Masahiro Ashiya, Takero Doi (2001). “Herd behavior of Japanese economists”. Journal of Economic Behavior & Organization, 46, 343-346
5.Nofsinger and Sias, (1999). “Herding and Feedback Trading by Institutional and Individual Investors.” The Journal of Finance Volume 54, Issue 6 2263–2295
6.Olivier Loisel, Aude Pommeret, Franck Portier, (2012) “Monetary Policy and herd behavior: Learning against bubbles.” https://ideas.repec.org/p/bfr/banfra/412.html
7.Riza Demirer, Ali M. Kutan, Chun-Da Chen, (2010). “Do investors herd in emerging stock market? Evidence from the Taiwanese market”. Journal of Economic Behavior & Organization, 76, 283-295
8.Tobias F. Röthel(2001), “Competitions, herd behavior, and credit cycles: evidence from major Swiss Banks” Journal of Economics and Business, 53, 585-592
9.斉藤寿彦[2016]「日本銀行のマイナス金利政策とその影響─副作用を中心として─」
10.金堀徹[2016]「日銀が導入したーマイナス金利付き量的・質的金融緩和の効果波及経路の検証」
11.黑田東彥[2016]「マイナス金利付き量的・質的金融緩和」への疑問に答える
12.陳志宏，2007，”台灣股市從眾行為之分析”，國立中山大學財務管理研究所碩士論文。
13.傅澤瑋、林曼莉，”基金特性及外部環境對於基金經理人從眾行為的相關性”，台灣銀行季刊第六十一卷第二期
14.沈中華，2016， ” 負利率的時代 ”，兩岸金融季刊第四卷第三期 |
| Description: | 碩士
國立政治大學
企業管理研究所(MBA學位學程)
104363065 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104363065 |
| Data Type: | thesis |
| Appears in Collections: | [企業管理研究所（MBA學位學程）] 學位論文
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