本研究之目的為檢視台灣股票市場中自營商、投信基金、外資及自然人四類投資人群聚行為，並分析股票特性與各類投資人群聚行為之關係以及其交易策略對未來股價變動的影響。本研究利用逐筆委託單與成交單資料以及利用Lakonishok et al. (1992) 和Wermers (1999) 之群聚指標來衡量投資人每日群聚行為。 結果發現自營商與外資在大型股較會產生群聚現象，投信基金與散戶則面對小型股較易產生群聚現象，而且發現資訊瀑布流僅存在國內散戶。外資與散戶的賣出群聚會造成股價不穩定，但整體的投資行為會增進資訊反應速度，使股價更快回到基本面價值。 In this study, we investigate the herding behavior of different types of investors, including proprietary dealers, investment trust, QFII and individuals, in the Taiwan stock market. Examining the relationship between Characteristics of stocks and herding behavior and influence of investor’s trading strategies on stock future price. We use intraday tick by tick order data and trade data to calculate the two measures of daily herding, introducing by Lakonishok et al. (1992) and Wermers (1999). It is apparent that proprietary dealers and QFII herd more heavily in large stocks, but investment trust and individuals herd more heavily in small stocks. We find that herding behavior of individuals is in accordance with information cascading hypothesis. Finally, we find that short heavily by QFII and individuals would destabilize future stock price, but total trading behavior speed information compounded into fundamental price.
