本研究旨在分析台灣市場中，投資人做投資決策時，其行為是否會受到從眾效應的影響。藉由Cross-Sectional Absolute Dispersions (CSAD)的研究方法衡量從眾效果時，研究結果顯示台灣市場存在顯著的從眾現象。另一方面，考量現今全球金融市場的連動性與密不可分的關係，除了衡量從眾行為在台灣市場的影響外，本研究嘗試加入美國市場的變化對台灣投資人的影響。研究結果顯示投資人做投資決策時，美國市場的變化會顯著的影響其結果，驅使從眾效果加劇、更顯著。除此之外，本研究亦探討特定事件如亞洲金融海嘯、網路泡沫以及次貸危機發生時，對從眾效果的影響。實證顯示，網路泡沫期間，國內外指數大幅的波動會顯著的影響投資人行為並造成從眾效果。而次貸危機發生時，指數波動僅造成部分從眾效果。最後，本研究也嘗試以從眾效果的影響為出發點，進而設計一投資策略、形成投資組合，並分析該投資組合之特性。回測結果顯示，低流動性與低波動性之股票能有效降低投資組合風險。以上研究結果除以簡單回歸估計係數外，並輔以分量迴歸作為穩定性檢測，以防估計偏誤。

This study investigates investment behavior of Taiwan market participants from different aspects of measure, especially with regard to their tendency to forming herding behavior. By applying concepts of Cross-Sectional Absolute Dispersions (CSAD), we find significant evidence of herding behavior in the Taiwan market. Evidences suggest that the herding formation in Taiwan market is strongly influenced by the US market and we should not ignore the impact of globalization. With regard to the issue of financial crises, we find no herding behavior during the 1998 Asian Crisis but partial evidence shows that herding activities may be influenced by crisis during the 2000 Internet Bubble and 2008 Sub-prime Crisis in the Taiwan market. Moreover, all empirical results are reexamined using Quantile analysis to avoid potential bias in estimations. Finally, results from applying herding behavior in portfolio management indicate that investing in stocks of lower liquidity and volatility can reduce the risk of portfolios.

Table of Contents
I. INTRODUCTION 1
1-1 DEVELOPMENT OF BEHAVIORAL FINANCE 1
1-2 WHAT IS BEHAVIORAL FINANCE 1
1-3 BEHAVIORAL FINANCE AND ALPHA 1
1-4 RESEARCH MOTIVATION 2
II. LITERATURE REVIEW 4
2-1 DEFINITION OF HERDING BEHAVIOR 4
2-2 TRADING BEHAVIOR 4
2-3 RETURN DISPERSIONS 5
III. DATA AND METHODOLOGY 9
3-1 DATA 9
3-2 METHODOLOGY 9
3-2-1 Chiang’s Methodology 10
3-2-2 Grouping 10
3-2-3 Issues in Herding Behavior 11
3-2-4 Quantile Regression Approach 13
3-2-5 Procedure of Investment Strategy 16
IV. EMPIRICAL RESULTS 17
4-1 DESCRIPTIVE STATISTICS 17
4-2 HERDING BEHAVIOR IN TAIWAN MARKET 19
4-3 ESTIMATION OF HERDING BEHAVIOR 22
4-4 GLOBALIZATION AND FINANCIAL CRISIS 24
4-4.1 Globalization 24
4-4.2 Financial Crisis 25
4-5 INVESTMENT STRATEGIES OF HERDING BEHAVIOR 27
V. CONCLUSION 32
5-1 CONCLUSION 32
5-2 FOLLOW-UP STUDY 34
APPENDIX 35
REFERENCES 39
List of Figures
FIGURE 1 DISTRIBUTION OF RESIDUALS 18
FIGURE 2 RELATIONSHIP BETWEEN CSAD AND RM 19
FIGURE 3 CONSTRUCTED PORTFOLIOS I 29
FIGURE 4 CONSTRUCTED PORTFOLIOS II 30
List of Tables
TABLE 1 LIST OF SOME RELEVANT STUDIES IN HERDING BEHAVIOR 8
TABLE 2 DATA AND METHODOLOGIES 15
TABLE 3 DESCRIPTIVE STATISTICS OF Rt AND CSADt 18
TABLE 4 NORMALITY TEST OF RESIDUALS 18
TABLE 5 ESTIMATIONS OF HERDING BEHAVIOR IN TAIWAN MARKET 20
TABLE 6 SYMMETRIC QUANTILES TEST OF HERDING BEHAVIOR IN THE TAIWAN MARKET 22
TABLE 7 REGRESSION RESULTS IN SIZE, LIQUIDITY, AND VOLATILITY 23
TABLE 8 REGRESSION RESULTS OF GLOBALIZATION AND FINANCIAL CRISIS 26
TABLE 9 DESCRIPTIVE STATISTICS OF CONSTRUCTED PORTFOLIO 28
Appendix
TABLE A1 DESCRIPTIVE STATISTICS OF HERDING BEHAVIOR IN INDUSTRY LEVEL 35
TABLE A2 ESTIMATIONS OF HERDING BEHAVIOR IN EACH INDUSTRY 36
TABLE A3 QUANTILE ANALYSIS OF HERDING BEHAVIOR: UP AND DOWN MARKETS. 37
TABLE A4 QUANTILE ANALYSIS OF GLOBALIZATION AND FINANCIAL CRISIS “CASE STUDY” 38

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