外資和股票投資人羊群效應：台灣觀光類股實證研究

The Investment of QFII and the Herd Effect of Stock Investors: Evidence from Taiwan's Tourism Industry

近年來陸客為台灣觀光市場的重要客源，而觀光類股之榮枯也隨著政府政策變化，如何提升觀光類股投資效率是吾人所關切的議題，本研究採用2007年11月3日至2017年1月20日的日資料進行程式交易，配合Johansen共整合檢定和Granger因果檢定來檢視台灣觀光類股之羊群效應，發現加入外資現貨之投資資訊之獲利優於用觀光類股領頭羊晶華(2707)之股價資訊，證實本研究之假說：運用外資現貨資料交易之模式可以提升台灣觀光類股之投資效率。

Mainland China tourist is the most important sources of tourism for Taiwan in recent years, however the stock market of Taiwan's tourism is influenced by government policy. How to improve the strategy of investment on the stock market is essential to investor, Daily data of Taiwan's tourism stock, covering the period from July, 3, 2007 to Jan, 2017, are employed. Johansen's maximum likelihood procedure and Granger causality are used to explain the herding behavior and positive feedback effect in tourism industry of Taiwan. It indicates that: Adopting the information of QFII's spot trading can improve the efficiency of investment on Taiwan's tourism stock.