頁籤選單縮合
題 名 | 外資和股票投資人羊群效應:臺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 |
---|---|
作 者 | 練有為; | 書刊名 | 觀光與休閒管理期刊 |
卷 期 | 5:1 2017.06[民106.06] |
頁 次 | 頁67-79 |
分類號 | 563.54 |
關鍵詞 | Johansen共整合分析; Granger因果檢定; 程式交易; 羊群效應; 正反饋交易; Johansen's cointegration analysis; Granger casualty test; Program trading; Herd effect; Positive feedback trading; |
語 文 | 中文(Chinese) |
中文摘要 | 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。 |
英文摘要 | 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. |
本系統中英文摘要資訊取自各篇刊載內容。