本研究旨在檢視國內不動產市場投資是否存在從眾行為之現象。主要主題有三，分別是從眾行為之衡量、探討造成從眾行為的因素，以及從眾行為與不動產市場績效之間的關係。本文使用預售屋、成屋以及地價三種資料進行實證分析。實證結果發現，當市場處於下跌階段時，不動產市場普遍不存在從眾現象。但在市場上漲階段，不同樣本標的與不同期間的從眾行為則不具有一致性，且從眾行為存在落後一期效果。其中以台北市當期預售屋、大台北地區落後一期預售屋有顯著從眾行為。其他不動產市場，台北縣落後一期預售屋、成屋市場以及土地也存在從眾行為，唯檢定結果並不顯著。
造成從眾行為現象之因子，以市場外生變數:貨幣供給額、GDP成長率、國民儲蓄額、家計單位所得以及市場內生變數:市場深度、前期市場報酬率為顯著影響從眾因子。最後，從眾行為與不動產價格波動、交易量波動兩兩分別具有Granger因果關係，從眾行為效果會促進不動產價格效率以及加劇不動產市場之交易。

There are three purposes in this thesis. First of all, the thesis examines the market herding behavior of real estates in Taiwan. Second, if herding exists in the markets, what factors cause herding behavior? Finally, how does herding behavior affect market performance? The empirical results show there is no herding evidence in the real estates markets when market moves downward. There are different results between different real estates and periods when market moves upward. There is obvious herding behavior in the pre-sale houses in Taipei City. Herding behavior also exist lag phenomenon. During lag period, there is obvious herding behavior in the pre-sale houses in Taipei when market moves upward. There is weak herding behavior in the other real estates, including pre-sale houses of Taipei County, existing houses and land.
We find that macro factors such as money supply, GDP growth rate, saving amount, incoming and micro factors such as market depth and market return in the last period will cause herding behavior. Finally, herding behavior, price volatility and transaction amount volatility have Granger causality. Herding behavior will makes price more efficient and increases transaction.

表目錄 II
圖目錄 IV
公式目錄 V
中文摘要 VI
英文摘要 VII
第一章 緒論 1
第一節、研究動機 1
第二節、研究目的 3
第三節、研究架構與流程 4
第二章 文獻探討 5
第三章 研究設計 18
第一節、研究內容與假說 18
第二節、樣本選取與來源 23
第三節、研究方法與變數設定 26
第四章 實證分析 39
第一節、從眾行為衡量 39
第二節、從眾行為因素分析衡量 56
第三節、從眾行為與市場績效 78
第伍章 結論與建議 89
第一節、結論 89
第二節、建議 91
參考文獻 93

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