從眾與非從眾行為對市場報酬衝擊之研究

The Impact of Herding and Non-herding on Market Returns

證券市場中，從眾行為可能引起資產價格出現齊漲或齊跌，造成市場劇烈波動。因此，從眾行為常讓人有非理性的負面觀感。本研究將從眾行為區分成追隨市場報酬的「從眾」行為與不追隨市場報酬的「非從眾」行為，觀察此兩種行為對股票報酬與波動的影響。實證結果顯示，從眾行為與市場報酬趨勢有正向關聯性，非從眾行為與市場報酬有反向關係，市場存在不同從眾交易者，可以降低資產偏離真實價值的程度。此外，追隨市場報酬的從眾行為會增加市場的波動程度，非從眾行為則可緩和市場波動性。本文實證結果亦顯示，1990 年代之前，台灣股市存有從眾行為與追漲正向回饋交易共存的現象。 Herding may drive stock return volatility and prices co-movement. This study decomposes investor’s trading behavior into herding toward market returns and non-herding. We investigate the impact of both types of herding behaviors on stock market. Our results suggest that the herding behavior toward market returns was positively correlated with market returns, with which non-herding behavior was negatively correlated. The coexistence of different types of herding traders decreases the bias of stock price movement away from intrinsic value. Furthermore, the non-herding may decrease the market volatility, whereas the herding may increase. We also find that herding behavior and positive feedback buying strategy coexist before 1990s.