我們首先放寬投資理論中有關市場參與者只有理性投資人之基本假設,並將市場參與者區分為內部人士(內線交易者)、技術操作者(動能交易者)、理性投資人及非理性投資人等四類,接著藉由這四類投資人的互動行為提出我們的市場參與者行為模型假說,然後以此模型重新解釋市場中的動能、週轉率及動能生命週期等現象。 在實證的部分,我們驗證兩個從模型中推理出的論點,推論一是台股會有無(或弱)動能效果、強週轉率效果現象,推論二是非理性投資人的存在是導致價格過度反應的原因,為了驗證以上兩個論點我們以套利交易模型的方式分別驗證台股有無動能效果、週轉率效果及融資使用率效果現象,最後結果顯示台股無動能效果,但有很強的週轉率效果及融資使用率效果現象,因此實證結果支持我們的推論。
In this article, we change the basic assumption that there are only rational investors in stock market. We divide the types of investors into four groups: inside traders, rational investors, technical traders, and irrational investors. The interactions among these four types of investors constitute our behaviors of market participators model. Then, we use the behaviors of market participators model to redefine and explain momentum effects, turnover effects, and momentum life cycle phenomena. In the part of empirical study, we examine two inferences derived from our behaviors of market participators model. The first inference is that there would be weak momentum effects but strong turnover effects in Taiwan stock market. The second one is that the existence of irrational investors causes overreaction to stock price. To test the above two inferences, we use momentum, turnover, and margin-trading trading strategies respectively. The final empirical results show that there are weak momentum effects, but strong turnover and margin-trading effects in Taiwan stock market. Thus, the empirical results are consistent with the inferences derived from our model.