景氣循環與不同類投資人的交易行為─台灣期貨市場實證研究

Business Cycle and Order Imbalance by Investor Type: Evidence from the Taiwan Futures Exchange

廖文如(Wen-Ju Liao)

指導教授 ： 高櫻芬

國立暨南國際大學/管理學院/國際企業學系/博士(2012年)

https://doi.org/10.6837/NCNU.2012.00185

摘要

本論文利用台灣期貨交易所提供之高頻交易資料，分析市場報酬與機構投資人和個別投資人交易流量之間的動態關係，並檢定此動態關係是否隨著市場狀況而有所變動。本論文發現各類交易人的交易流量與市場報酬皆有顯著的正向同期相關，市場交易活動及投資人的交易型態則會隨著市場狀態而改變。本論文的實證結果更指出，機構投資人為市場中的贏家，而個別投資人為市場中的輸家；而且，機構投資人除了擁有極佳的市場時間能力 (market-timing ability) 之外，他們在牛市 (bullish market) 時的投資績效表現較在熊市 (bearish market) 時為佳。另外，個別投資人的投資行為與過度自信理論之預測一致，個別投資人不但無法獲得投資收益，他們的投資績效在大量買入時表現得更差，尤其是在牛市期間。

關鍵字

台灣期貨市場 ； 機構投資人 ； 個別投資人 ； 期貨自營商 ； 買賣單不均衡

並列摘要

This dissertation uses high-frequency transaction data obtained from the Taiwan Futures Exchange (TAIFEX) to analyze the dynamics between returns and trading flows by institutional and individual investors and to test whether the dynamic relationship changes with different market conditions. The results show that returns and trading flows by investor type are positively related contemporaneously. Because market trading activities and trading patterns of investors change under different business conditions, the relationship between investors’ trading and returns can vary across different market phases. The results also indicate that institutional investors are winners and individual investors are losers. Institutional investors not only have favorable market timing ability, but also perform better in bull markets. Contrarily, consistent with overconfidence theory, individual investors have unfavorable market timing ability during their intense buying especially in bull market.

並列關鍵字

Taiwan futures market ； Institutional investors ； Individual investors ； Futures proprietary firms ； Buy-sell imbalance

參考文獻

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