本研究探討文化特質、投資人行為偏誤與股市價格動能三者之間的關
係。文化特質會與行為偏誤產生交互作用，不同文化特質會加強或是減弱
投資人行為偏誤與股市價格動能之間的關係。本研究以異質代理人模型
(Heterogeneous Agent Model；HAM)的門檻作為一創新的動能衡量，此模
型為一自適應模型，其優勢在於能夠隨時間與市場狀態變化，透過該門檻
值可以知道投資人何時以及何種市場狀態下會在動能策略與逆勢策略之間
進行轉換。本研究的貢獻除了補充過去文獻較少提及之文化特質、行為偏
誤以及股票價格動能三者之間的關係外，也研究了過去文獻缺乏之文化特
質與行為偏誤之間的交互 作用，更發展了新的動能效果衡量指標。

This study explores the relations among cultural traits, investor’s behavioral
bias and stock market momentum. We propose that differences may affect
the relation between behavioral bias and momentum effect.In other words,
the interaction effect between cultural traits and the behavioral bias may
intensify or reduce the momentum effect. An innovative measure of
momentum is constructed using the threshold heterogeneous agent model.
Different from previous literature the new measure can be used to capture
the dynamic switch between momentum and contrarian strategies.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的與貢獻 3
第二章 文獻回顧 4
第一節 異質投資人模型 4
第二節 行為偏誤與動能 5
第三節 國家文化與動能策略 7
第三章 研究方法 9
第一節 研究期間與資料來源 9
第二節 門檻HAM之參數估計方法 9
第三節 變數定義 12
第四節 研究假說 15
第五節 實證模型 18
第四章 敘述統計 20
第一節 各國門檻HAM參數 20
第二節 不同文化特質下門檻值之差異 22
第三節 不同行為面變數下HAM門檻之差異 27
第五章 實證結果 29
第一節 各國行為面與動能之迴歸結果 29
第二節 全球迴歸結果 35
第三節 文化特質不同是否改變行為面變數對動能之影響方向 44
第六章 結論 48
第一節 行為面變數與HAM門檻值的關係 48
第二節 文化對行為面變數與HAM門檻值的關係之影響 48
第三節 投資策略之建議 49
參考文獻 50
附錄 54

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