政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111581
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51105047      線上人數 : 919
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/111581


    題名: 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
    作者: 蔡宜臻
    貢獻者: 周冠男
    蔡宜臻
    關鍵詞: 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
    日期: 2017
    上傳時間: 2017-07-31 11:32:57 (UTC+8)
    摘要: 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
    參考文獻: 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
    描述: 碩士
    國立政治大學
    企業管理研究所(MBA學位學程)
    104363065
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104363065
    資料類型: thesis
    顯示於類別:[企業管理研究所（MBA學位學程）] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    306501.pdf1470KbAdobe PDF2146檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋