獲利表現對下單積極度之影響：以台灣股票市場為例

The Effect of Profitability on Order Aggressiveness: Evidence from Taiwan Stock Market

符丞甫(FU Cheng-Fu)

指導教授 ： 蔡蒔銓

國立臺灣師範大學/管理學院/管理研究所/碩士(2021年)

https://doi.org/10.6345/NTNU202200041

摘要

過往的研究多為研究不同類型投資人下單積極度與獲利表現之間的關聯性，或是獲利表現對投資人下單行為的影響，對於投資人的獲利表現如何影響下單積極度較無著墨。故本研究基於以上研究，以2008年1月1日至2015年12月31日，台灣上市公司普通股為樣本，並將投資人分成自然人、國內法人與外資，探討獲利表現對不同投資人的下單積極度影響。
實證結果顯示，整體而言，自然人的下單積極度會隨著獲利增加而上升，且提升程度會比法人更高，推論是因為自然人比法人有更明顯的行為偏誤。本研究亦檢視投資人於低市值且高風險個股的獲利對其下單行為之影響，發現自然人下單積極度會隨著獲利上升而增加，外資與國內法人則會隨著獲利上升而降低。此外，本研究檢視投資人在盈餘公告後獲利表現對下單行為的影響，發現盈餘公告後自然人會出現逆勢交易行為，獲利下降時買單積極度上升，賣單積極度則會下降，國內法人的獲利增加時，下單積極度會上升，外資獲利上升時，下單積極度則下降，且比自然人下降更多。

關鍵字

獲利表現 ； 下單積極度

並列摘要

Most of the previous studies have examined the correlation between the order aggressiveness and profit of different types of investors, or the effect of investors’ performance on their order aggressiveness, but relatively little attention has been paid to how investors' trading performance affects order aggressiveness. Therefore, based on previous studies, this study uses a sample of common stocks of listed companies in Taiwan between January 1, 2008 and December 31, 2015, and divides the investors into individual investors, domestic institutions and foreign institutions to investigate the extent to which profitability affects the order aggressiveness by different investors.
The empirical results show that overall, the order aggressiveness of individual investors increases with profitability, and to a greater extent than that of institutions, which is inferred to be due to the more pronounced behavioral bias of individual investors than institutions.
This study also examined how the profits earned by investors from stocks that have low market value and high risks affect the investors’ behavior. The study determines that when placing orders, the aggressiveness of individual investors increases as profits increase, whereas the aggressiveness of foreign institutions and domestic institutions decreases as profits increase.
In addition, this study reveals that after earnings announcements, individual investors pursue contrarian approach. In other words, as profit decreases, the buy order aggressiveness increases and the sell order aggressiveness decreases. With domestic institutions, order aggressiveness increases when profit increases, whereas with foreign institutions, order aggressiveness decreases when profit increases, and the decrease is greater than that of individual investors.

並列關鍵字

Profitability ； Order Aggressiveness

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