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| Title: | 機構投資者從眾行為與股價崩盤風險
Institutional Herding and Stock Price Crashes |
| Authors: | 吳潁齊
Wu, Ying-Qi |
| Contributors: | 李志宏
Lee, Chih-Hung
吳潁齊
Wu, Ying-Qi |
| Keywords: | 機構投資人
從眾行為
股價崩盤風險
Institutional investor
Herding
Stock Price Crashes |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:44:13 (UTC+8) |
| Abstract: | 本研究藉由區分機構投資者為外資、投信、自營，衡量其從眾行為是否會
造成股價崩盤風險，樣本期間為 2001 年第一季度至 2023 年第四季度，機構投資者出現持股變化的上市櫃公司。實證結果顯示機構投資者當期的買方從眾行為會增加下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的買方從眾行為也會造成未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期買進股票，或是投資人情緒過度樂觀，將股價推升至偏離基本價值，進而造成未來股價崩盤；機構投資者的當期賣方從眾行為會減少下一期的股價崩盤風險，不論是採用季度資料或是年度資料，皆可得出此結果，另外滯後季度的賣方從眾行為也會減少未來股價崩盤風險，機構投資人可能因為名聲、潮流、特徵從眾集體在當期賣出股票，此行為可以修正偏離基本價值的股票，抑或是使得股票價格過度被低估，當期投資人情緒已經過度悲觀，因此未來股價崩盤風險下降。
This study analyzes whether institutional investors’ herding behavior will cause stock price crash risk by distinguishing them as foreign capital, investment banks, and dealer. Using the shareholding data from the first quarter of 2001 to the fourth quarter of 2023, the study finds that institutional investors’ buy-side herding behavior in the current period will cause the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, buy-side herding behavior with a lag of quarters also cause the risk of future stock price crashes. Institutional investors’ buy-side herding behavior may be based on reputation herding, fad herding, characteristic herding, or overly optimistic investor sentiment, which pushes the stock price away from the basic value, thereby causing the stock price to crash in the future. Institutional investors’sell-side herding behavior in the current period will reduce the risk of stock price crashes in the next period. This result can be obtained whether using quarterly data or annual data. In addition, sell-side herding behavior with a lag of quarters also reduce the risk of future stock price crashes. Institutional investors’sell-side herding behavior may be based on reputation herding, fad herding, characteristic herding. This behavior can correct stocks that deviate from their fundamental value, or make the stock price excessively
undervalued, and current investor sentiment is already overly pessimistic, so the risk of future stock price crashes decreases. |
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| Description: | 碩士
國立政治大學
財務管理學系
111357032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111357032 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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