碩士 / 開南大學 / 財務金融學系 / 97 / This study examines whether herding behavior is present in the investment activities of foreign investors and local institutional investors (investment trusts, dealers) during the time of Financial Tsunami. It chooses as samples the net buy/sell data of the 50 primary stocks selected by Taiwan Stock Exchange Corporation (TSEC) for TSEC Taiwan 50 Index during the 216 weeks from January 2005 to March 2009. Defining March 2007 as the dividing line of the period of Financial Tsunami, it conducts model verification and data statistical analysis through the LSV Herding Measure proposed by Lakonishok et al. (1992), comparing the differences in the herding behavior of foreign investors and local institutional investors before and after the Financial Tsunami. Research findings indicate：
I. Prior to the onset of the Financial Tsunami, herding behavior is obvious in the investment activities of institutional investors in Taiwan’s stock market. Affecting institutional investors one by one, these activities resulted in significant price fluctuation in Taiwan’s stock market. The intensity of herding behavior does not change because of Financial Tsunami.
Ⅱ.Because of the presence of herding behavior, the investment activities of institutional investors in Taiwan’s stock market before and after the Financial Tsunami showed high ratio of same-direction net buy/sell. After the Financial Tsunami occurred, there were changes in the
operational directions of institutional investors: Foreign investors and dealers showed a net buy herding behavior prior to the onset of the Financial Tsunami, while foreign investors and investment trusts showed a net sell herding behavior after the onset of the Financial Tsunami. Meanwhile, local institutional investors (investment trusts and dealers) showed a net sell herding behavior before the Financial Tsunami, which is different to the post-Financial-Tsunami phenomenon where the net sell herding behavior and the net buy herding behavior were more balanced, indicating the fat that the herding behaviors of institutional investors following the onset of the Financial Tsunami were different.
Ⅲ.There is significant discrepancy between the investment activities of foreign investors and local institutional investors (investment trusts and dealers) in Taiwan’s stock market before and after the Financial Tsunami：
(Ⅰ) Different ratio of net buy/sell：
During the entire period of time, institutional investors mainly registered net buy, which was slightly higher than net sell. This trend was prevalent before the onset of the Financial Tsunami. Following the onset of the Financial Tsunami, net buy was slightly higher than net sell.
(Ⅱ)Number of shares in net buy/sell differs among institutional investors:
During the entire period of time, foreign investors were more inclined to net buy while local institutional investors were more inclined to net sell. Relatively the number of shares purchased by foreign investors was higher than that by local institutional investors. This situation was present prior to the Financial Tsunami.
Following the Financial Tsunami, foreign investors turned from net buy to net sell while local institutional investors turned from net sell to net buy, buying more shares than foreign investors did. The activities of local institutional investors helped stabilize the market.
Ⅳ.The herding behavior of same-direction net buy/sell seen in Taiwan’s stock market before and after the Financial Tsunami differs among institutional investors because of their industrial preference. Following the Financial Tsunami, institutional investors simultaneous raised the proportion of their investment maneuvers in food and biomedical stocks and significantly reduced their involvement in shipping, electronics and steel stocks. During the entire period of time, foreign investors and local institutional investors were heading toward opposite directions in their investment in department store and textile stocks.
Ⅴ.The intensity of the herding behavior of institutional investors is not affected by the increased frequency of the transactions. Once herding behavior is observed in their investment in traditional industries, it will be extremely intense.
VI.The investment direction of institutional investors will determine the future trend of Taiwan’s stock market. The magnitude and fluctuation resulting from their herding behavior have addition effect. This phenomenon is not affected by the Financial Tsunami.
| Identifer | oai:union.ndltd.org:TW/097KNU00304013 |
| Date | January 2009 |
| Creators | Lee,Cheng-Yu, 李承祐 |
| Contributors | 廖武正 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 75 |
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