國立中山大學學位論文典藏

Transcription

1 S&P500

2 Asia Moo CEO I

3 II

4 S&P500 OI ( ) ( ( ) III

5 IV

6 V

7 VI

8 OI OI OI S&P S&P 500 (2005/05/03) S&P 500 (2005/05/03) ( ) VII

9 ( ) ( ) COT OI ( ) ( : 1988/1~2003/12) COT ( ) ( : 1988/1~2003/12) OI ( 1988/1~1989/12) OI ( 1990/1~2003/12) OI OI ( ) ( 1988/1~1989/12) ( T ) ( T ) ( ) (Granger Causaliy ) (VAR ) ( ) ( ) VIII

10 4-14 ( ) ( 1990/1/15~1994/1/4) (VAR ) ( ) (VAR ) ( ) (VAR ) ( ) OI ( ) ( 1999/1~2000/12) ( ) ( ) ( ) IX

11 2-1 LSV CSSD CSAD Sae Space OI (RLOI ) H 3-2 ( TR ) S 3-3 ( TR ) COT OI (LSR ) (Bias) (RSI) (Sd ) (Dep ) (HI ) OI ( ) (HFB ) (AHFB ) ( ) (Granger Causaliy ) (VAR ) ( ) X

12 3-18 (VAR ) ( ) (VAR ) ( ) (VAR ) ( ) XI

13 (CAPM) (Haugen, 2001) ( 2003) (Herding Behavior) 1

14 1 2 3 (Nofsinger and Sias, 1999) (Coe and Sander, 1997) LSV 4 (CSSD) (CSAD) LSV Lakonishok e al.(1992) Lakonishok e al.(1992) Wermers(1999) Bowe(2004) Bowe 5 CSSD CSAD Chrisie and Huang (1995) Chang, Cheng and Khorana(2000) CSSD CSAD CSSD 2

15 Nofsinger and Sias(1999) Iihara, Kao and Tokunaga(2001) (Lakonishok e al., 1992; Oehler, 1998; Wermers, 1999; Sias, 2004; Fong, Gallagher, Gardner and Swan, 2004) (Oehler, 1998; Fong, Gallagher, Gardner and Swan, 2004) (Wermers, 1999; Fong, Gallagher, Gardner and Swan, 2004) (Hwang and Salmon, 2004; Chen, 2002; Bowe and Domua, 2004) (Lakonishok e al.,1992; Wermers, 1999; Choe, Kho and Sulz, 1998; Bowe and Domua, 2004) (Pael, Zeckhauser, and Hendricks, 1991; Lakonishok, Shleifer and Vishny, 1994; Sirri and Tufano, 1998) (CAPM) 3

16 Gilber(2000) Wang(2004) Gleason, Lee and Mahur(2003) Gilber(2000) 1993~1995 (Open Ineres OI) OI OI Gilber Wang(2004) Wang Gleason, Lee and Mahur(2003) 1986~1998 CSSD CSAD CSSD CSAD KR-CRB(Knigh Ridder-Commodiy Research Bureau) Gilber 4

17 Wang Gleason, Lee and Mahur T-Bill S&P500 CSSD CSAD S&P500 LSV ( ) OI 6 ( OI ) T 6 OI OI 5

18 ( ) S&P500 OI Gilber Gilber (1993/9 ~1994/6 1994/6~1995 ) OI (14 ) 6

19 ( ) 7

20 S&P500 ( ) ( ) ( ) OI (Chang, Cheng and Khorana, 2000) (, 2003) (Hwang and Salmon, 2004; Bowe and Domua, 2004) 8

21 Devenow(1996) 9

22 LSV OI S&P500 10

23 S&P500 Gilber(2000) Gilber Gilber (2003) 2002/7 2003/1 1992/9/30 COT 11

24 S&P500 Devenow(1996) 12

25 1988/1~2003/12 S&P500 OI 1988/1~1989/12 CFTC OI (COT) 1992/9/30 S&P500 CFTC (COT) COT COT LSV CSSD CSAD 13

26 14

27 ( 1-1) ( 1-1) 15

28 ( 2. ) ( )

29 T 1. T 2. VAR 1. VAR

30 LSV CSSD CSAD Sae Space Model S&P (The General Theory) Froo, Sharfsein and Sein(1992) X Y X X Y X Y X X Y X 18

31 Banerjee(1992) Nofsinger and Sias(1999) Coe and Sander(1997) Hwang and Salmon(2004) (Bikhchandani, Hirshleifer, and Welch, 1992) Devenow(1996) (Admai and Pfleiderer, 1988; Chowdhry and Nanda, 1991) 19

32 Morck e al.(1989) (Rajan, 1994) IPO (Welch, 1992) Corb(1993) Chen(1995b) (D Arcy and Oh, 1996) (Graham, 1999) ( ) (Lee, 1992; Avery and Zemsky, 1995; Wermers, 1994) 20

33 21

34 LSV CSSD CSAD Sae Space LSV Lakonishok, Schleifer, and Vishny (1992) LSV 2-1 Wermers(1999) Bowe(2004) LSV Choe, Kho and Sulz(1998) Oehler(1998) Jones, Lee and Weis(1999) Oehler and Chao(2000) Lobao and Serra(2003) Bowe and Domua(2004) Sias(2004) Dorn, Huberman and Sengmueller(2004) Fong, Gallagher, Gardner and Swan(2004) (1995) (1997) (1998) (2000) (2000) (2001) (2001) (2002) (2003) (2004) 22

35 2-1 LSV H () i = B() i p ( () ()) () AF() i B i S i B(i) i S(i) P() AF(i) i B( i) p ( () ()) () B i S i CSSD CSAD Chrisie and Huang (1995) CSSD 2-2 Chrisie and Huang Chang, Cheng and Khorana(2000) CSAD 2-3 CSSD CSSD CSAD Gleason(2003 and 2004) CSSD CSAD ETF Hwang(2004) Henker(2004) (2001) (2002) (2002) 23

36 2-2 CSSD CSSD = N ( Ri, Rm, ) i= 1 N 1 2 CSSD = L L U U α β D β D ε R i, i R m, N L D U D 1% 5% 10% 1 1% 5% 10% CSAD CSAD = 1 N N = 1 R i, R m, CSAD = α γ R γ R ε m [ m ] 1, 2, 2 Sae Space Model Hwang and Salmon(2004) CSSD CSAD SMB HML ( S&P500 Moody AAA BAA ) Sae Space 2-4 CSSD CSAD 24

37 CAPM (Bea ) 1 log Sae Space [ ( )] log Sd β log( 1 h ) (= H m C im ) Sae Space Hwang and Salmon(2004) SMB( ) HML( ) S&P500 Moody AAA BAA H Hwang and Salmon(2004) H m 2-4 Sae Space b E ( ri ) b = β im = β im hm ( β im 1) E ( r ) m m m b Sd C ( β im ) = EC (( β = Sd ( β )(1 h ) C im m im h m ( β im 1) 1) 2 ) = E C (( β im 2 1) )(1 h m ) b log[ Sd ( β )] = log[ Sd ( β )] log(1 h ) log Sd C im b [ C im ] m m m C im ( β ) = µ H ν ( µ E[ log[ ( β ) ] 2 m = Sd C im ν m ~ iid(0, σ mν ) H m = log( 1 hm ) ) m s.. H m = mh m 1 φ η m 25

38 E r ) ( m b E r ) i ( i b β im i β im i 0 i h m 1 i 1 LSV CSSD CSAD Sae Space S&P500 S&P100 MidCap 400 S&P SmallCap 600 S&P SmallCap 2002 S&P500 T-Bill 26

39 50 LSV VAR 27

40 ETF Chrisie and Huang(1995) CSSD Chang, Cheng and Khorana(2000) CSAD Chrisie and Huang(1995) NYSE AMEX Henker(2004) 2000~2002 ASX Chang, Cheng and Khorana (2000) 28

41 Hwang and Salmon(2004) CSSD CSAD Bea 1993~2002 Hwang and Salmon(2004) ETF Gleason, Lee and Mahur(2003) KR-CRB (Knigh Ridder-Commodiy Research Bureau) CSSD CSAD Gleason and Mahur(2004) ETFs S&P500 CSSD CSAD ETF Lakonishok e al.(1992) LSV 29

42 Lakonishok e al.(1992) 1985~1989 Oehler(1998) 1988~ Wermers(1999) 1975~1994 Fong, Gallagher, Gardner and Swan(2004) 1994~ Voronkova and Bohl(2003) 1999~2001 Lobao and Serra(2003) 1998~ Oehler and Chao(2000) 57 Nofsinger and Sias(1999) 1977~1996 Jones, Lee and Weis(1999) 1984~1993 1,205 Iihara, Kao and Tokunaga(2001) 1975~1996 Chen(2002) 1995~2000 Sias(2004) 1983~1997 Bowe and Domua(2004) 1997~1999 JSX Dorn, Huberman and Sengmueller(2004) 1999,1,1~2000,5,31 30

43 (Bowe and Domua, 2004) CFTC (COT) Gilber(2000) Wang(2004) Gilber(2000) 1993~1995 Wang(2004) 1992,10~2003,3 COT ( ) ( ) ( ) (OI) SMB( ) HML( 31

44 ) CSSD Chrisie and Huang(1995) NYSE AMEX Gleason, Lee and Mahur(2003) Gleason and Mahur(2004) ETFs Henker(2004) ASX (Chang, Cheng and Khorana, 2000) Hwang and Salmon(2004) SMB HML S&P500 Moody AAA BAA (Lakonishok e al., 1992; Oehler, 1998; Wermers, 1999; Sias, 2004; Fong, Gallagher, Gardner and Swan, 2004) (Oehler, 32

45 1998; Fong, Gallagher, Gardner and Swan, 2004) Sias(2004) (Informaional Cascades) Bowe and Domua(2004) (Lakonishok e al., 1992) Lobao and Serra(2003) Wermers(1999) Fong, Gallagher, Gardner and Swan(2004) Gilber(2000) Wang(2003) OI ( ) 33

46 Hwang and Salmon(2004) Chen(2002) Bowe and Domua(2004) JSX 7 (2003) 2002/7 2003/1 1992/9 34

47 S&P Lakonishok e al.(1992) 8 Hwang and Salmon(2004) Lakonishok e al.(1992) Choe, Kho 8 S&P500 35

48 and Sulz(1998) KSE Wermers(1999) Jones, Lee, and Weis(1999) Bowe and Domua(2004) JSX Wermers(1999) Nofsinger and Sias(1999) Iihara, Kao and Tokunaga (2001) Iihara, Kao and Tokunaga (2001) Wang(2003) (Shiller, 1984; De Long e al., 1990) (Pael, Zeckhauser, and Hendricks, 1991; Lakonishok, Shleifer and Vishny, 1994; Sirri and Tufano, 1998) 36

49 (Disposiion Effec) (Shefrin and Saman, 1985; Odean, 1998) (Falkensein, 1996; Del Guercio, 1996) (Scharfsein and Sein, 1990; Lakonishok, Shleifer, and Vishny, 1994; Haugen, 1995) Lakonishok e al.(1992) Choe, Kho and Sulz(1998) KSE Nofsinger and Sias(1999) Jones, Lee and Weis(1999) Iihara, Kao and Tokunaga(2001) Chen(2002) Voronkova and Bohl(2003) Fong, Gallagher, Gardner and Swan(2004) Nofsinger and Sias(1999) Bowe and Domua(2004) JSX Sias (2004) COT Wang(2003) COT COT 37

50 CFTC 38

51 LSV (1995) 1993/6~1996/3 (1997) 1996/10~1997/12 (1998) 1996/11~1998/12 (2000) 1997/1~1999/6 (2000) 1993/6~1999/9 39

52 (2000) 1997~2001 (2001) 1995/1~2000/8 (2001) 1995/9~2000/8 (2001) 1994/1~2000/12 (2002) 1996/1~2000/12 (2002) 1998/1~2001/9 1991/1~2001/9 (2002) 1996~

53 (2003) 2002/1~2003/ (2003) 1999/1~2001/6 (2004) 2001/4~2004/3 (2004) 2000,1,1~2000,6,30 (2002) (2003) 41

54 2-1 ( ) ( ) Lakonishok e LSV 1. al. 1985~1989 ( ) Nraio & Draio 2. (1992) Chrisie and Huang (1995) Choe, Kho and Sulz (1998) Oehler (1998) Nofsinger and Sias (1999) Wermers (1999) Jones, Lee and Weis (1999) NYSE AMEX ( )1962,7~1988,12 ( )1925,12~1988,12 ( ) KSE ( ) 1996,11,30 ~1997,12, ~1993 ( ) 1977~1996 ( ) CSSD 1. LSV LSV 1. HF HV ~1994 LSV ( ) ~1993 ( ) LSV 1. Nraio & Draio 2. ( Exdemand ) 42

55 Oehler and Chao (2000) Chang, Cheng and Khorana (2000) Iihara, Kao and Tokunaga (2001) Chen (2002) Voronkova and Bohl (2003) Gleason, Lee and Mahur (2003) Wang 1993~1995 ( ) LSV 1. HF HV ( )1963,1~1997,12 1. ( )1981,1~1995,12 CSSD ( ) 1976,1~1995,12 CSAD 2. ( )1976,1~1995,12 ( ) 3. ( )1978,1~1995, ~ ( ) ,1,5 VAR 2. ( ) ~2000,11,28 LSV ~2001 Nraio & Draio ( ) 2. Exdemand 1986~ CSSD ( 1. ( ) CSAD ) ,10~2003,

56 (2003) ( ) Lobao and 1. 4~5 Serra 1998~2000 LSV 2. ( ) (2003) 3. Gleason and Mahur (2004) Bowe and Domua (2004) Hwang and Salmon (2004) Sias (2004) ETFs ( ) 1999,1,4 ~2002,9,30 JSX 1997,1~1999,12 ( ) 1993,1~2002,11 ( ) 1983,3~1997,12 ( ) CSSD CSAD LSV CSSD Sae Space Model

57 Dorn, Huberman and Sengmueller (2004) Fong, Gallagher, Gardner and Swan (2004) Henker (2004) 1999,1,1 ( ) ~2000,5, ,1,2 ~2001,12,31 ( ) ASX 2000~2002 ( ) LSV LSV 1. VAR LSV 2. CSSD 1. CSAD 2. 45

58 ( ) ( ) (1995) (1997) (1998) (2000) (2000) ,6~1996,3 LSV ( ) LSV ,10~1997,12 ( ) LSV ,11~1998,12 2. ( ) ,1~1999,6 LSV ( ) 3. VAR ,6~1999,9 ( ) LSV 2. 46

59 (2000) 1997~1999 ( ) ,1~2000,8 (2001) ( ) 1995,9~2000,8 (2001) ( ) ( ) 1994,1~2000,12 (2001) ( ) ( ) 1997,1~2000, ,1~2000,12 (2002) ( ) ( )1998,1~2001,9 (2002) ( )1991,1~2001,9 1. VAR LSV 3. Probi CSSD CSAD 1. LSV 2. VAR 1. LSV LSV 1. CSSD 2. CSAD 3. CSSD 1. CSAD 2. 47

60 ( ) CSSD 1996~ (2002) ( ) CSAD Granger 2002,1~2003,3 (2003) ( ) VAR ,1~2001,6 LSV (2003) ( ) ,4~2004,3 LSV 2. (2004) ( ) ,1,1 (2004) ~2000,6,30 ( ) 1. LSV 2. Logisic 3. 48

61 (Chicago Board of Trade, CBOT) (Breon Woods Agreemen) 1972 (Commodiy Fuures Trade Commiee, CFTC) (Naional Fuures Associaion, NFA) (CFTC) (NFA, FIA) (CBOT, CME, ec) : ISSA Handbook, US 49

62 (CFTC) 1974 (Commimen of Trader, COT) OI COT (Naional Fuures Associaion, NFA) 1982 (Fuures Indusry Associaion, FIA) CBOT (Chicago Board of Trade) CME (Chicago Mercanile Exchange) NYME (New York Mercanile X Exchange) NYBT (New York Board of Trade) MCE (Mid America 50

63 Commodiy Exchange) KCBT (Kansas Ciy Board of Trade) MGE (Minneapolis Grain Exchange) PBOT (Philadelphia Board of Trade) 2003 CME S&P500 (Chicago Mercanile Exchange CME) CME 1874 (Chicago Produce Exchange) 1919 (Eurodollar Fuures) 2003 Trade Daa Global Services CME ( ) (Eurex) (Euronex) CME (GLOBEX) GLOBEX 2:

64 2002 CME ( ) % 38.67% 5.98% 1.27% CME E-mini S&P 500 E-mini Nasdaq CME 1. CME (Inernaional Money Marke, IMM) (Index and Opion Marke, IOM) S&P CME 1995 (Growh and EmergingMarkes, GEM) IPC (Mexican Peso) (Brazilian Real) (Brady Bonds) S&P 500 capializaion weighed NYSE AMEX NASDAQ 52

65 70% S&P500 S&P 500 ( Sandard & Poor 500 ) 8:30AM 3:15PM ( ) GLOBEX2 5:00PM 8:15AM 3:30PM 5:00PM 8:15AM SP 250 S&P (GLOBEX2 15 ) ( ) (CFTC) 1974 (The Commodiy Fuures Trading Commission Ac) CBOT CME CFTC (COT) CFTC COT COT

66 COT 2-5 (Commercial and Non-commercial Traders) CFTC 70% 90% 2-6 (Gross-Basis) (Ne-Basis) 54

67 2-5 S&P 500 (2005/05/03) S&P 500 Sock Index Chicago Mercanile Exchange Fuures Only Posiions as of 05/03/05 Reporable Posiions Non-Commercial Commercial Toal Non-reporable Posiions Long Shor Spreads Long Shor Long Shor Long Shor (S&P 500 Index x $250.00) Open Ineres: 689,971 Commimens 59,396 72,601 11, , , , , , ,630 Changes From 04/26/05 (Change in Open Ineres: -366) -1, ,309 1,236-3,053 1, , Percen of Open Ineres for each Caegory of Traders Number of Traders in each Caegory (Toal Traders: 194) Commimens of Traders Repors hp:// 55

68 2-6 S&P 500 (2005/05/03) S&P 500 Sock Index Chicago Mercanile Exchange Commimens of Traders Fuures Only May 3, 2005 Commimens of Traders Repors hp:// 56

69 CME OI OI COT OI OI OI 57

70 2-7 ( ) ( ) ( ) ( ) ( ) % % % % 25 5 (12) (48%) (13) (52%) (17) (68%) (17) (68%) % % % % 34 (12) (35.30%) (15) (44.10%) (19) (55.90)% (19) (55.90)% % % % % (23) (7.30%) (25) (7.90%) (250) (78.90)% (250) (78.90)% % % % % 337 (26) (7.70%) (34) (10.10%) (245) (72.70)% (250) (74.20)% % % % % 50 5 (50) (22.10%) (50) (22.10%) (42) (18.60)% (42) (18.60)% % % % % (50) (18.40%) (50) (18.40%) (79) (29%) (79) (29%) % % % % 5 (4415) (45.50%) (4951) (51%) (3179) (32.80)% (3861) (39.80%) % % % % (4415) (44.40%) (4951) (49.80%) (3179) (32%) (3861) (38.80%) % % % % 5 (183) (1.80%) (333) (3.40%) (7100) (71.70%) (8713) (88%) % % % % (183) (1.70%) (333) (3.10%) (7131) (67.30%) (8757) (82.70%) % % % % 5 (4498) (12.80%) (4914) (14%) (9891) (28.20%) (11325) (32.30%) % % % % (4950) (11.10%) (5516) (12.40%) (14356) (32.20%) (16554) (37.10%)

71 Chrisie and Huang(1995) 1997/7 ~1998/9 (Hwang, 2004; Bowe, 2004) (, 2003;, 2004) (Samuelson, 1965; Jarrow, 1994) VAR 59

72 S&P /1~2003/12 16 CFTC (Commimens of Trader, COT) 1992/9/ /1 1989/ /1 2003/ (R 2 Adj-R 2 ) 1999/1 2000/

73 S&P500 Moody s AAA BAA S&P500 S&P500 CME CFTC Yahoo! Finance (OI) CFTC COT OI CFTC Gilber(2000) Wang(2003) COT COT OI OI COT Daasream Moody s AAA BAA S&P500 Gilber(2000) Wang(2003) 61

74 Gilber(2000) S&P500 (10 ) (30 ) Gilber Wang(2003) 90 S&P500 Wang Wang S&P500 OI CME CFTC Yahoo! Finance Daasream

75 S&P CME 3. CFTC S&P Yahoo! S&P Finance S&P COT COT 2. OI 1. COT 1. Moody s Daasream AAA BAA 1. S&P

76 OI ( RLOI ) 3-4 LSV Lakonishok(1992) Bowe(2004) OI OI ( OI ) 3-1 OI (RLOI ) RLOI = OI LSV OI COT OI COT 64

77 OI

78 3-2 ( ) OI OI OI OI ( OI OI ) OI OI Moody s ( ) S&P500 ( ) COT ( OI ) ( ) ( ) COT 66

79 ( I 1 2 ) Moody s (AAA) (BAA) ( I 3 S&P500 ( I ) OI OI OI ( ) OI ( ) (COT) COT OI 67

80 OI H ( TR TR S ) OI ( LSR ) (TT ) H 3-2 ( TR ) TR H = S 3-3 ( TR ) TR S = 3-4 COT OI (LSR ) ( ) LSR = ( ) ( ) (, 2001) (Bias) (RSI) Bias -5% Bias 5% RSI 20 68

81 RSI (Bias) 6 6 = *100% (RSI) 6 = 100 * 6 6 ( ) 5% L U D D ( ) COT CTD 1 ( D ) 69

82 ( ) COT CFTC OI 1992/9/30 T 1 ( D ) ( ) 1997/7 1998/5 1998/9 Macro 1997/7~1998/5 1 ( D ) % 5% 1992/9 COT 1997/7 1998/5 1998/9 1997/7~1998/9 70

83 COT ( ) 3-7 (Sd ) Sd = * (Dep ) 1 1 Dep = = λ λ = 9 71

84 (Froo, Sharfsein and Sein, 1992) (Morck e al., 1989) (Lakonishok e al., 1992; Wermers, 1999; Nofsinger and Sias,1999; Jones, Lee and Weis, 1999) (Iihara, Kao and Tokunaga, 2001) (Fong, Gallagher, Gardner and Swan, 2004) (Chen, 2002) (Bowe and Domua, 2004) 72

85 Gilber(2000) 1993~1995 OI OI COT Chrisie and Huang(1995) CSSD NYSE AMEX Chang, Cheng and Khorana(2000) (2002) (2002) 73

86 (Soll and Whaley, 1987 Karolyi, 1996) Samuelson(1965) Hong(2000) Jarrow(1994) (2003) 2002/7 2003/1 (2004) COT S&P500 Choe, Kho and Sulz(1998) Hwang and Salmon(2004) Chen(2002) Bowe(2004) JSX 74

87 3-4 Jarrow(1994) Samuelson(1965) Bowe(2004) 75

88 3-4 Panel A Panel B 76

89 3-5 ( ) (Lakonishok e al., 1992; Choe, Kho and Sulz, 1998; Jones, Lee, and Weis, 1999; Bowe and Domua, 2004) Wermers(1999) 77

90 ( ) (Pagano and Roell, 1996) (Admai and Pfleiderer, 1988; Chowdhry and Nanda, 1991; Devenow, 1996) ( ) 78

91 10 Wang(2003) (De Long e al., 1990; Nofsinger and Sias, 1999; Iihara, Kao and Tokunaga, 2001) Wang(2003) OI

92 ( ) (Nofsinger and Sias, 1999) OI CFTC COT (H) (S) (Z) 3-9 Lakonishok e al.(1992) LSV ( RLOI ) ( ERLOI ) S&P500 HI (Herding Index) T H (HI ) HI X = RLOI X ERLOI X X : H ( ), S( ), Z( ) 3-10 OI OI COT 80

93 OI ( ) S H f f H H TT LSR TR TR Vol R R I I RLOI ERLOI ε α α α α α α α α α α α = S f f f S S RSI Bias TT TR Vol Vol Vol R E R I RLOI ERLOI ε α α α α α α α α α α α α = ) ( H f f f Z Z Bias TT LSR TR Vol R R R R RLOI ERLOI ε α α α α α α α α α α α = ERLOI OI RLOI OI 1 I 2 I Moody s f R S&P500 R S&P500 f Vol S&P500 Vol S&P500 H TR S TR LSR OI TT Bias RSI ( )

94 T Granger Causaliy VAR 3-11 OI HID (Herding Index wih Direcion) 3-9 OI HFB (Herding Index by Following Block Traders) HFB 3-12 AHFB (Adjused Herding Index by Following Block Traders) T ( AHFB ) ( HID )

95 3-11 (HFB ) X 1 X 1 X 1 X 1X HID RLOI ERLOI 2 HFB = = = X 2 X 2 X 2 HID RLOI ERLOI Dr Dr X X 1 2 HI HI X X 1 2 If X 1 = Z( ) hen X 2 = H ( ) or S( ) If X 1 = S( ) hen X 2 = H ( ) Dr = 1 if RLOI ERLOI > 0 Dr = 1 if RLOI ERLOI < 0 HID Dr HI 3-9 OI (AHFB ) X1X 2 X1X 2 X 2 ( 1 X AHFB = Dr LN HFB ) if HFB X 1 X 2 > e AHFB X X1X 1 2 = HFB if HFB e e X 1 X 2 X ( ) HID HID HID H S Z = α βhid γhid ε S Z Z = α βhid γhid ε H H = α βhid γhid ε S Granger Causaliy VAR Granger Causaliy VAR 83

96 Granger Causaliy VAR (Impulse Response Analysis) 11 (Variance Decomposiion) 12 Granger Causaliy VAR E-Views Granger Causaliy 13 VAR Granger Causaliy VAR 3-14 (Granger Causaliy ) k k X 2 γ j j j= 1 j= 1 X X 1 HID = α β j HID j 1 HID k k X 2 γ j j j= 1 j= 1 X X 1 HID = α β j HID j 2 HID = H( ) or S( ) or Z( ) X 1 ε ε = H( ) or S( ) or Z( ) X 2 X 1 X Granger Causaliy Y = α k k β jy j γ j X j ε j= 1 j= 1 H0 X Y F γ j 0 84

97 3-15 (VAR ) k k k Z ϕ j HID j j= 1 j= 1 j= 1 H H S HID = α β j HID j γ j HID j k k k Z ϕ j HID j j= 1 j= 1 j= 1 S H S HID = α β j HID j γ j HID j k k k Z ϕ j HID j j= 1 j= 1 j= 1 Z H S HID = α β j HID j γ j HID j ε ε ε COT 3-16 D L D U 5% D CTD COT T OI D COT Macro 1992/9/30 D 1997/7 1998/9 ( HI ) ( AHFB ) 3-16 ( ) HI α α α α α α D ε L U CTD T = 0 1D 2D 3D 4D 5 Macro AHFB α α α α α α D ε L U CTD T = 0 1D 2D 3D 4D 5 Macro VAR 85

98 ( HI HID ) ( HID ) ( HI ) HID HI VAR VAR 86

99 VAR (Idenificaion Condiions) (over-idenified) (jus-idenified) (under-idenified) 3-17 pr en pr en en N N ( n n ) N 1 pr pr en N n n 1 N pr en N pr n en n (oal number of predeermined variables in he sysem) (oal number of endogenous variables in he sysem) (oal number of predeermined variables in he equaion) (oal number of endogenous variables in he equaion) 3-19 S&P500 COT 87

100 ( ) 3-18 (VAR ) = = = = = = k 1 j k 1 j j j j j k 1 j k 1 j j j j j Sd HI Sd Sd HI HI ε γ β α ε γ β α 3-19 ( ) Macro T S H D D TR TR I I HI Sd HI ε γ γ γ γ γ γ γ β α = Macro T U L S H D D D D RSI TR TR Vol I I Sd HI Sd ε γ γ γ γ γ γ γ γ γ γ γ β α = ( ) 3-20 (VAR ) = = = = = = k 1 j k 1 j j j j j k 1 j k 1 j j j j j Dep HI Dep Dep HI HI ε γ β α ε γ β α 3-21 ( ) Macro T S H D D TR TR I I HI Dep HI ε γ γ γ γ γ γ γ β α = T CTD U L S H f f D D D D TR TR Vol R I Dep HI Dep ε γ γ γ γ γ γ γ γ γ γ β α =

101 89 ( ) 3-22 (VAR ) = = = = = = k 1 j k 1 j f j j j j f k 1 j k 1 j f j j j j R HID R R HID HID ε γ β α ε γ β α 3-23 ( ) Macro 7 T 6 S 5 H f 1 D D TR TR I I HID R HID ε γ γ γ γ γ γ γ β α = Macro CTD U L f f f D D D D LSR Vol I R HID R ε γ γ γ γ γ γ γ γ β α =

102 3-6 ( ) S&P500 OI 90

103 COT ( OI ) Granger Causaliy VAR 91

104 COT OI COT OI OI OI 4-1 OI OI OI OI 0.008% 0.01% 0.02%~0.04% 10:1 4-1 COT OI ( ) OI ( : 1988/1~2003/12) OI OI OI ( OI ) 222, ,643 16,394 31,320 79,977 61,912 (70.14%) (67.42%) (4.79%) (10.52%) (24.43%) (21.42%) 167, ,507 12,332 27,718 55,140 57,596 (70.34%) (67.15%) (4.73%) (9.72%) (24.26%) (22.41%) 109, ,663 11,884 18,827 45,383 24,073 (3.47%) (8.40%) (1.46%) (4.56%) (2.89%) (5.45%) 67,123 53,611 1,303 3,139 21,753 23,902 (60.07%) (46.53%) (0.94%) (1.08%) (16.21%) (8.14%) 519, ,896 55, , , ,403 (79.42%) (87.62%) (9.08%) (23.63%) (33.40%) (35.65%)

105 OI OI OI ( OI ) (0.0084%) (0.0079%) (0.0123%) (0.0121%) (0.0084%) (0.0068%) (0.0131%) (0.0108%) (0.0040%) (0.0038%) (0.0060%) (0.0055%) (0.0022%) (0.0028%) (0.0032%) (0.0044%) (0.0244%) (0.0289%) (0.0323%) (0.0407%) OI OI OI 60%~80% 15%~34% 0%~10% OI %~70% 60%~90% %~35% 10% 1995/6 10%~20% 10% OI OI OI 93

106 4-1 OI 4-2 OI COT COT OI COT OI 94

107 4-2 COT OI OI S&P COT ( ) ( 1988/1~2003/12) OI OI 95

108 OI 4-3 OI ( : 1988/1~1989/12) OI OI ( : 1990/1~2003/12) OI OI OI ~

109 OI OI 4-5 VAR Granger Causaliy OI OI OI 4-5 OI OI OI OI OI OI OI

110 COT OI OI COT OI OI OI 2000 OI Granger Causaliy VAR 98

111 OI 1988/1~1989/ R R R 2 R /1~2000/12 OI R 2 R

112 4-6 OI ( ) ( 1988/1~1989/12) Coefficien ( -saisics ) OI OI OI (2.52)** (-0.88) (3.79)*** OI (5.36)*** OI (1.94)* OI (5.41)*** (2.73)*** (-2.27)** (4.97)*** (-1.88)* (2.12)** (-2.07)** (3.72)*** (-2.69)*** (-1.78)* (2.26)** (-2.30)** 100

113 (1.74)* (-2.34)** (2.56)** (2.08)** (-3.95)*** (3.05)*** (1.84)* (-2.64)** (5.32)*** OI (2.52)** (-3.18)*** (3.30)*** (-2.35)** (-1.93)* (1.73)* (1.72)* (2.56)** R Adj-R * 10% ** 5% *** 1% 101

114 1990/1~2003/12 HI (Herding Index) 4-7 T 95% 4-7 ( T ) T %CI % herding (>1.645) (>1.645) (>1.645)

115 4-4 OI OI Hwang and Salmon(2004) OI HI OI HID (Herding Index wih Direcion) HID 103

116 4-5 AHFB (Adjused Herding Index by Following Block Traders) OI OI

117 Gilber(2000) 1993~1995 Gilber Gilber 1993/9 ~1994/6 1994/6~1995 Gilber ( T ) T % herding (>1.645) (<1.645) (<1.645) 95% ani-herding (>-1.645) (>-1.645) (<-1.645)

118 T 4-9 ( ) Coefficien ( -saisics ) (-20.58)*** (7.93)*** (-20.58***) (0.47) (7.93)*** (0.47) R Adj-R

119 Granger Causaliy VAR Granger Causaliy F VAR 4-11 VAR Granger Causaliy VAR 107

120 4-10 (Granger Causaliy ) (H0) F P-Value (*) H H (***) H (***) H (***) H (***) H (VAR ) Coefficien ( -saisics ) (14.02)*** (1.35) (-1.92)* (5.55)*** (-1.51) (1.97)** (-2.68)*** (10.94)*** (4.22)*** (1.47) (8.49)*** (-2.10)** (-1.26) (-0.63) (9.47)*** (2.99)*** (2.41)** (11.65)*** (3.31)*** (2.77)*** (4.59)*** R Adj-R

121 LSV OI (R ~0.83 R ~0.79 ) T LSV T Gilber(2000) Gilber 109

122 Granger Causaliy VAR VAR 110

123 4-12 Panel A 111

124 S&P500 COT S&P /1 1994/1 1992/9/

125 Panel A 4-12 Panel B 113

126 S&P500 ( 4-12) ( 4-14) Panel B 114

127 ( ) Wang(2003) (COT ) ( ) Jarrow(1994) 115

128 4-12 ( ) Panel A Coefficien ( -saisics ) (8.81)*** (6.93)*** (9.88)*** (-0.03) (1.76)** (3.69)*** (-0.52) (0.35) (-0.86) (0.07) (1.02) (0.28) (-7.75)*** (0.31) (5.52)*** (-4.53)*** (2.28)** (-3.58)*** R Adj-R

129 Panel B Coefficien ( -saisics ) (-0.06) (-0.44) (-5.28)*** (-1.58) (2.38)** (-1.51) (2.02)** (0.11) (-0.98) (-0.59) (1.34) (2.44)** (0.37) (2.32)** (-1.05) (-6.89)*** (3.07)*** (-4.24)*** R Adj-R ( ) 1990/1~1992/9 1992/10~2003/

130 4-14 ( ) ( 1990/1/15~1994/1/4) Panel A Coefficien ( -saisics ) (8.13)*** (5.78)*** (1.01) (-1.43) (1.12) (1.83)* (-5.72)*** (4.22)*** (0.67) R Adj-R Panel B Coefficien ( -saisics ) (-0.60) (-2.30)** (-4.93)*** (0.59) (3.34)*** (-3.82)*** (1.40) (2.02)** (4.35)*** R Adj-R

131 VAR VAR

132 4-15 (VAR ) Coefficien ( -saisics ) (13.89)*** (-0.93) (12.32)*** (0.38) (9.71)*** (2.00)** (6.34)*** (-0.67) (8.92)*** (0.95) (11.38)*** (1.97)** (-0.74) (10.71)*** (1.72)* (10.77)*** (2.57)** (9.79)*** (0.23) (8.07)*** (-0.89) (8.07)*** (-1.52) (7.24)*** (5.21)*** (6.02)*** (4.69)*** (4.07)*** (6.25)*** (1.54) R Adj-R

133 4-16 ( ) Coefficien ( -saisics ) (-1.97)** (-4.73)*** (-2.58)*** (-4.47)*** (1.18) (-4.87) (-2.97)*** (-1.02) (3.62)*** (-2.90)*** (-0.64) (4.26)*** R Adj-R

134 4-17 (VAR ) Coefficien ( -saisics ) (13.96)*** (0.55) (12.30)*** (-1.55) (10.06)*** (-3.90)*** (6.25)*** (0.85) (8.94)*** (-0.02) (11.36)*** (-0.13) (-0.62) (5.81)*** (-0.78) (5.89)*** (-2.04)** (5.20)*** (1.61) (2.44)** (-0.35) (2.46)** (0.53) (1.68)* (1.34) (13.39)*** (2.72)*** (13.51)*** (3.37)*** (13.90)*** R Adj-R

135 4-18 ( ) Coefficien ( -saisics ) (-2.78)*** (8.18)*** (-1.49) (8.25)*** (1.28) (8.35)*** (1.42) (-0.34) (-1.87)* (3.05)*** (-0.14) (-2.43)** R Adj-R T OI 4-20 T 123

136 S&P (VAR ) Coefficien ( -saisics ) (16.44)*** (-0.18) (14.82)*** (7.86)*** (9.76)*** (-1.52) (8.25)*** (0.89) (11.31)*** (-6.76)*** (10.83)*** (-0.64) (-1.12) (-3.69)*** (-3.11)*** (-1.34) (-2.19)** (-4.14)*** (-7.16)*** (-1.21) (9.57)*** (-0.62) (-6.95)*** (-1.55) (2.65)*** (1.40) (-0.56) (2.24)** (8.25)*** (3.19)*** R Adj-R

137 4-20 ( ) Coefficien ( -saisics ) (-0.61) (-1.45) (8.91)*** (-1.14) (-0.70) (0.62) (-0.99) (2.19)** (-1.31) (1.07) (-3.06)*** (-4.69)*** R AdjR VAR OI 125

138 S&P

139 (Nofsinger and Sias, 1999) (Coe and Sander, 1997) LSV CSSD CSAD Sae Space S&P500 CFTC (COT) (OI) 127

140 OI LSV S&P500 T OI ( ) ( ) ( ) 128

141 VAR OI Gilber(2000) 129

142 Gilber 130

143 131

144 S&P500 (KOFEX) OI 16 (OSE) 132

145 133

146

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149 Jarrow, R.A., 1994, Derivaive Securiy Markes, Marke Manipulaion, and Opion Pricing Theory The Journal of Financial and Quaniaive Analysis, Vol. 29, No. 2, Jones, Seven L., Darrell Lee, and Edward Weis, 1999, Herding and feedback rading by differen ypes of insiuions and he effecs on sock prices, Working paper, Universiy of Indiana. Karolyi, A. G., 1996, Sock Marke Volailiy Around Expiraion Days in Japan Journal of Derivaives, Winer 1996, Vol.4, Kim, Kenneh A. and John R. Nofsinger, 2005, Insiuional herding, business groups, and economic regimes: Evidence from Japan, Journal of Business, vol. 78, no. 1. Lakonishok, J., A. Shleifer, and R. W. Vishny, 1992, The impac of insiuional rading on sock prices, Journal of Financial Economics 32, Li, Xi, 2002, Performance, Herding, and Career Concerns of Individual Financial Analyss, SSRN absrac_id= Lobao, Julio, and Ana Paula Serra, 2003, Herding behavior: Evidence from Poruguese muual funds, Working paper, Insiuo de Esudos e Fiscais. Nofsinger, John R., and Richard W. Sias, 1999, Herding and Feedback Trading by Insiuional and Individual Invesors, The Journal of Finance, Vol. 54, No. 6, Oehler, Andreas, 1998, Do muual fund specializing in German socks herd?, Finanzmarkund Porfolio Managemen 4, Oehler, Andreas, and George Goeh-Chi Chao, 2000, Insiuional Herding in Bond Markes, Working paper, Bamberg Universiy. Pagano, M. and A. Roell, 1996, Transparency and Liquidiy: A Comparison of Aucion and Dealer Markes wih Informed Trading, Journal of Finance, Vol. 51, No. 2, Samuelson, P. A., 1965, Proof ha Properly Anicipaed Prices Flucuae Randomly, Indusrial Managemen Review, Vol.6, Sias, Richard W., 2004, Insiuional Herding, The Review of Financial Sudies, Vol. 17, No. 1, pp

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151 6-1 OI ( ) ( 1999/1~2000/12) Coefficien ( -saisics ) OI OI OI (4.00)*** (-0.33) (2.26)** OI (14.69)*** OI (19.51)*** OI (14.44)*** (3.27)*** (-1.63) (0.55) (-0.62) (0.35) (-0.07) (0.44) (-0.37) (-1.18) (1.74)* 139

152 (-0.19) (-1.04) (0.67) (3.20)*** (-1.06) (-2.50)** (-1.36) (3.09)*** (-1.76)* (1.13) OI (5.36)*** (-3.06)*** (1.88)* (-0.74) (-0.52) (2.32)** (0.75) (0.22) R Adj-R

153 ADF VAR T T 5% 6-2 T P-Value (HI H ) (***) 651 (HI S ) (***) 651 (HI Z ) (***) 651 (HID H ) (***) 651 (HID S ) (***) 651 (HID Z ) (***) 651 (Sd) (***) 651 (Dep) (***) 651 (R f ) (***) 651 1% % %

154 6-3 ( ) Coefficien ( -saisics ) (-1.97)** (-4.73)*** (-2.58)*** (-4.47)*** (1.18) (-4.87) (-2.97)*** (-1.02) (3.62)*** (-2.90)*** (-0.64) (4.26)*** (10.68)*** (11.77)*** (8.19)*** (18.89)*** (16.98)*** (9.69)*** (2.32)** (5.07)*** (2.79)*** (4.63)*** (-3.36)*** (5.62)*** (2.46)** (2.64)*** (6.28)*** (2.03)** (1.84)* (0.78) (3.40)*** (3.57)*** (3.51)*** (-0.28) (4.44)*** (1.05) (5.04)*** (-1.55) (5.25)*** (3.38)*** (4.31)*** (-0.51) (3.48)*** (1.58) (2.06)** 142

155 (-3.75)*** (-3.84)*** (-1.47) (9.81)*** (10.12)*** (8.98)*** (8.35)*** (8.74)*** (8.89)*** (-0.96) (4.60)*** (0.83) (5.45)*** (0.89) (4.13)*** (0.36) (3.19)*** (4.16)*** (3.33)*** (-0.33) (3.20)*** R Adj-R

156 6-4 ( ) Coefficien ( -saisics ) (-2.78)*** (8.18)*** (-1.49) (8.25)*** (1.28) (8.35)*** (1.42) (-0.34) (-1.87)* (3.05)*** (-0.14) (-2.43)** (2.87)*** (3.01)*** (2.56)** (17.64)*** (17.10)*** (9.94)*** (1.65)* (2.74)*** (-1.84)* (2.13)** (6.28)*** (2.63)*** S&P (2.72)*** (4.01)*** (2.97)*** (-3.46)*** (-3.36)*** (-3.81)*** (-2.60)*** (-2.68)*** (-2.04)** (0.35) (-2.97)*** (0.67) (-2.56)** (-1.21) (-3.08)*** 144

157 (3.27)*** (-2.30)** (-0.82) (-1.70)* (2.36)** (-0.09) (-4.65)*** (-4.60)*** (-4.64)*** (-2.75)*** (-2.87)*** (-2.66)*** (2.44)** (2.45)** (2.44)** (-2.25)** (2.21)** (0.62) (2.16)** (2.58)*** (2.49)** (-0.23) (4.11)*** (0.70) R Adj-R

158 6-5 ( ) Coefficien ( -saisics ) (-0.61) (-1.45) (8.91)*** (-1.14) (-0.70) (0.62) (-0.99) (2.19)** (-1.31) (1.07) (-3.06)*** (-4.69)*** (-2.28)** (-2.30)** (-2.63)*** (20.74)*** (14.34)*** (12.41)*** (1.10) (-0.08) (-1.78)* (1.67)* (-12.28)*** (2.59)*** S&P (2.06)** (1.95)* (0.59) (-1.82)* (-1.86)* (-1.43) (-1.32) (10.86)*** (-0.01) (2.41)** (-5.24)*** (2.99)*** 146

159 OI (-2.33)** (-2.28)** (-2.20)** (-16.35)*** (-16.01)*** (-15.84)*** (16.25)*** (16.32)*** (16.34)*** (1.89)* (1.68)* (1.77)* (-2.13)** (0.59) (2.54)** (-0.48) (1.49) (-1.37) (0.92) (0.85) (1.22) R AdjR