股市資訊對散戶投資者與外國機構投資者交易行為的影響

The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors

呂岳峰(Yueh-Feng Lu)

指導教授 ： 趙莊敏

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2008年)

https://doi.org/10.6841/NTUT.2008.00230

摘要

股市裡流通的資訊十分多元，可以區分為時間性以及不具時間性。時間性的資訊通常指可以公開在市面上，在發佈時間也可以被預知的資訊，例如公司定期發佈的營收資訊。而不具時間性的資訊，其發佈時間往往無法預知，市場上的投資人也不易在事先預測其中的內容，例如券商發佈的個股評等。本研究採用事件研究法來探討當資訊發佈時市場投資者的交易行為。
本研究發現如下：1.在具有時間性的資訊發佈時，投資者的交易量並未顯著改變。2.散戶投資人會產生「過度自信」的交易現象。3.外資評等會對股市報酬率產生影響，且外資交易行為比散戶更影響股市報酬率。4.散戶投資人在好消息公佈時，異常買量與賣量均顯著增加，並傾向賣超；在中立消息公佈後，異常買量與賣量些微增加，並呈現買超的趨勢；在壞消息公佈後，異常買量與賣量均顯著減少。以上的現象代表台灣的散戶投資人存在強烈的「處分效果」。5.外資與散戶之間的交易行為呈現負相關性。6.外資之間的交易行為具有正向相關性，在好消息發佈時異常買進與賣出均增加，呈現買超傾向；壞消息則異常賣出量增加，呈現賣超傾向；在中立消息前，總體外資呈現顯著的賣超，而發佈券商交易量並沒有異常，代表在中立消息發佈前，外資券商之間對於股票仍有不同的看法。

關鍵字

交易行為 ； 事件研究法 ； 股市資訊

並列摘要

The purpose of this study is to investigate the trading behavior of institutional investor and individual investor around stock information announcement. The trading volume before two types of announcements: with and without timing information. Timing information refers to the information which the timing of the announcement is publicly available. One example of the timing information is the earning announcement. For without timing information, it refers to the information which the announcement time is unscheduled and investors cannot perceive the announcement in advance. An example of unscheduled announcements is the stock recommendation.
We find results as follow. First, timing information announcement didn’t cause trading volume vibration. Second, individual investor tends to exhibit over confidence when they invest. Third, the market return is affected by stock recommendation, and the effect of investor behavior of institutional is more significant then individual. Fourth, the individual investor increases abnormal trading volume significantly when good recommendation announcement and exhibits oversold, increases lightly to neural recommendation and exhibits overbought, for bad recommendation, individual investor decreases volume significantly. This results show the Taiwan individual investor exhibits strong disposition effect. Fifth, the trading behavior has negative correlation between institutional and individual. Sixth, the institutional investor increases abnormal trading volume significantly for good recommendation announcement and exhibits overbought, decreases the volume significantly for bad recommendation and exhibits oversold. In neural recommendation, institutional investor exhibits oversold, but the behavior is different between institutional investor who release recommendation and doesn’t release. The institutional investor who releases recommendation hasn’t abnormal volume, but the other investor exhibits significant oversold.

並列關鍵字

Trading behavior ； Event study ； Market information

參考文獻

[1] 沈中華與李建然，事件研究法，台北：華泰文化事業股份有限公司，2000

[1] 吳幸姬、李顯儀，「台灣股票市場中訊息得的反應與傳遞效果之研究」，輔仁管理評論，第十二卷，第三期，2005，第71-94頁

[2] 吳幸姬、李顯儀，「訊息發佈對市場的反應強度之研究」，中華管理學報，第六卷，第四期，2005，第73-92頁

[3] 徐靜如，「企業購併宣告對股東財富影響之研究」，中華技術學院學報，27期，2003，第103-116頁

[4] 陳達新、陳維寧、劉貞芸，「報紙推薦資訊之實證研究-以經濟日報每週精選潛力股專欄為例」，真理財經學報，第十四期，2006，第41-70 頁