研究生: |
姚俊淇 Yao, Chun-Chi |
---|---|
論文名稱: |
AI機器人會像人類一樣從眾嗎?以AI Powered Equity ETF與機構投資人相較為例 Will AI Robots, Like Human Beings, Follow the Crowd? AI Powered Equity ETF versus Institutional Investors |
指導教授: |
賴慧文
Lai, Whuei-Wen |
口試委員: |
賴慧文
Lai, Whuei-wen 蕭中強 Hsiao, Chung-Chiang 盧秋玲 Lu, Chiu-Ling |
口試日期: | 2023/05/23 |
學位類別: |
碩士 Master |
系所名稱: |
高階經理人企業管理碩士在職專班(EMBA) Executive Master of Business Administration |
論文出版年: | 2023 |
畢業學年度: | 111 |
語文別: | 中文 |
論文頁數: | 29 |
中文關鍵詞: | AI機器人 、人類基金經理人 、LSV模型 、從眾行為 、投資績效 |
英文關鍵詞: | AI Robots; Human Mutual Fund Managers, LSV Model, Herding Behavior, Investment Performance |
研究方法: | 主題分析 |
DOI URL: | http://doi.org/10.6345/NTNU202300494 |
論文種類: | 學術論文 |
相關次數: | 點閱:153 下載:22 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
近年來,隨著AI (Artificial Intelligence, AI)技術的飛速發展,人們的觀念被顛覆,對此技術也開始引起空前的關注。同時,隨著金融科技的蓬勃發展,經濟發展也獲得了新的動力,並孕育了投資AI機器人的誕生,為人們提供了全新的投資理財選擇。本研究使用 Lakonishok, Shleifer, and Vishny(1992) 提出的LSV模型作為從眾行為指標,以AI Powered Equity ETF為例,探討AI機器人相較於人類基金經理人,在各種市場景氣下的從眾行為及投資表現。實證結果發現,AI機器人具有從眾行為,而在景氣好壞下均有一致的從眾行為(機構投資人的從眾行為反而存在很大的分散性),且AI機器人的從眾行為具有資訊性。
In recent years, with the rapid development of Artificial Intelligence (AI) technology, investment ideas have been subverted, and this technology has also begun to attract unprecedented attention. At the same time, vigorous development of financial technology gives birth to the investment AI robots, providing investors with new investment and financial management options. This study uses the LSV model proposed by Lakonishok, Shleifer, and Vishny (1992) as a herd behavior indicator. Taking AI Powered Equity ETF as a case, the current explores the herding behavior and investment performance of AI robots compared with human fund managers under various market conditions. The empirical results found that AI robots have herding behavior, and they have consistent herd behavior in good and bad times, compared to the wide dispersion of institutional investors' herding behavior. This study find that the herding behavior of AI robots is informative.
1. 王釗東. (2017). 以大數據探究財經新聞對台灣股票市場表現之影響 (Publication Number 2017年) 國立臺灣大學]. AiritiLibrary.
2. 徐中琦, & 林皇瑞. (2008). 法人機構從眾行爲之研究-台灣股市外資與自營商之比較 [Herding Behavior in Taiwan Stock Market-A Comparison of Foreign Institutional Investors and Domestic Security Dealers]. 商管科技季刊, 9(2), 251-276. https://doi.org/10.30083/cmq.200806.0005
3. 陳振遠, 高蘭芬, & 劉永仁. (2005). 基金經理人群集行為與股價關聯性之探討 [The Relationship between Fund Managers' Herding Behavior and Stock Returns]. 管理科學與統計決策, 2(1), 51-66. https://doi.org/10.6704/jmssd.2005.2.1.51
4. 葉智丞, & 李春安. (2019). 投資人情緒、從眾與非從眾行為關聯性之研究 [The Relationship Among Investor Sentiment, Herding and Non-herding]. 證券市場發展季刊(行為財務學特別專刊), 111-152. https://doi.org/10.6529/rsfm.201905/sp.0003
5. 羅進水. (2019). 基金經理人從眾行為與股價崩盤風險 [Fund manager herding and stock price crash]. 商管科技季刊, 20(4), 371-401.
6. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The Impact of Institutional Trading on Stock Prices. Journal of Financial Economics, 32(1), 23-43.
7. Scharfstein, D., & Stein, J. (1990). Herd behavior and investment. American Economic Review, 80(3), 465-479.