台灣機構投資人過度自信行為實證研究

An Empirical Study on the Overconfidence of Institutional Investors in Taiwan

蔡永順(Yung-Shun Tsai) ； 劉文智(Wen-Zhi Liu)

《台灣管理學刊》 11卷2期 (2011/08) Pp. 91-126

https://doi.org/10.6295/TAMJ.2011.1102.01

摘要

本文以台灣股票市場為例，檢驗機構投資人的投資行為是否存在過度自信。我們以2001年1月至2010年9月期間，機構投資人報酬與交易量的資料，檢驗過度自信行為。首先，我們發現外資有顯著過度自信行為，自營商與投信則無明顯過度自信行為。其次，外資的投資行為在多頭期間有過度自信現象，空頭期間則無明顯過度自信現象。另外，機構投資人在金融危機事件之後的過度自信行為較事件之前不顯著。再者，我們檢驗機構投資人報酬與交易量之間交叉的因果關係，發現在空頭時期與危機之後的交叉因果關係較為明顯。綜合上述結果可知，機構投資人的過度自信行為並不一致，可能受市場景氣好壞與金融衝擊影響，而且投資行為可能存在交互影響。

關鍵字

機構投資人 ； 過度自信 ； 市場景氣 ； 金融衝擊

並列摘要

This paper examines the overconfidence of institutional investors in Taiwan's stock market. We use the return and volume data of institutional investors during 2001/01-2010/09 to examine the overconfident behavior. First, we find that the overconfident behaviors of foreign investors are significant, but the overconfident behaviors of dealers and mutual fund investors are not significant. Second, we found that the foreign investors tend to be overconfident only in bull market when examining the overconfident behavior of institutional investors in bull and bear markets. Third, we examine the overconfident behavior of institutional investors before and after financial crisis. The result shows that the overconfidence of institutional investors does not exist after the financial shock. Fourth, we test the causality of return and volume across the institutional investors. The causality relationships are found to be more significant in bear market and after crisis. Based on the above findings, we may conclude that not all institutional investors are rational and their behaviors of investment could be affected by market business cycle and financial shock. The cross effect also exists among institutional investors' behaviors.

並列關鍵字

institutional investor ； overconfidence ； business cycle ； financial shock

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