本研究的目的在於探討台灣股票市場中機構投資人的從眾行為，並進一步分析影響從眾行為的因素以及造成法人從眾的主要原因。本研究利用1999年初到2004年底長達6年的日資料，以Sias（2004）的從眾模型指標來衡量從眾行為，並且將機構投資人區分為外資、投信基金、自營商等三大法人，以比較從眾行為在不同類型機構投資人之間的差異。
本研究的實證結果顯示就整體來看，台灣股市中的法人確實存在從眾行為，而在將外資、投信基金、以及自營商區分開來後，以投信基金從眾的程度最為突出，外資的從眾行為也相當明顯，至於自營商則不存在顯著的從眾行為。在市場環境對從眾行為的影響方面，多頭期間與空頭期間的從眾行為沒有顯著差異，SARS與2004總統大選風波等突發重大事件的衝擊也非常有限，顯示法人的從眾行為應非衝動或本能等不理性因素所造成。
本研究還發現雖然台灣股市中的法人為動能交易者，但從眾行為幾乎不受到動能交易的影響。此外，法人需求與股價報酬呈現正相關，法人從眾的股票並不會出現報酬逆轉的現象。在比較不同規模的公司間從眾行為的差異後，顯示從眾行為的強度與規模呈現負相關，由此推論法人從眾主要是因互相猜測彼此交易的訊息所導致。

This research takes the approach of Sias（2004） to evaluate institutional herding in Taiwan stock market, using daily data from the beginning of 1999 to the end of 2004. We further examine the factors that affect herding, and try to find the main cause that results in institutional herding. Since in our data institutional investors in Taiwan are categorized as Foreign Investors, Investment Trusts , and Security Dealers, according to their sources of funds, our research may evaluate the differences among institutional investor classes in their herding behavior.
The result of this research reveals that as a whole institutional investors herd in Taiwan, among them Investment Trusts herd most, the herding of Foreign Investors is also obvious, but there is no evidence of Security Dealers’ herding. The difference between herding in bull market and herding in bear market is not significant, and the crises such as SARS or the turbulence after the 2004 Presidential Election also show little impact, suggesting that institutional herding is not driven by market stress or impulse.
Although institutional investors in Taiwan are momentum traders, little of their herding results from momentum trading. Besides, we find no evidence of return reversals, to the contrary, institutional demand is found to be positively related to returns over several days which follow the trading. Moreover, institutional investors in Taiwan are more likely to herd in smaller capitalization securities. The results are most consistent with the hypothesis that institutional herding primarily results from institutions inferring information from each other’s trades.

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