本文以台灣為例,檢驗機構投資人對股市的投資是否有過度自信行為。我們運用機構投資人2006年1月至2010年3月期間報酬與交易量的資料檢驗過度自信行為。結果發現:自營商有顯著過度自信行為,外資與投信則無明顯過度自信行為。其次,我們檢驗機構投資人報酬與交易量之間交叉的因果關係,發現有部分相關。因此,機構投資人之間的投資行為似乎存在交互影響關係,但此不能推論過度自信行為存在相關性。另外,我們檢驗機構投資人在雷曼兄弟事件前後的過度自信行為,發現事件前後的過度自信行為有顯著差異。因此,機構投資人的過度自信行為可能受金融衝擊事件影響。綜合上述結果可知,機構投資人的投資行為並非完全理性,容易受金融衝擊影響,而且機構投資人之間的投資行為可能存在交互影響。
This paper examines the overconfident behaviors of institution investors in Taiwan. We use the return and volume data of institution investors during 2006/01-2010/03 and to examine the overconfident behavior. First, we find that the overconfident behavior of dealers are statistically significant, but the overconfidence behavioral of foreign and mutual fund investors are not statistically significant. Second, we test the causality of return and volume among the institution investors, the result show that there are some causality among the institution investors, but this can not imply overconfident behavior. Third, the overconfidence behavioral of institution investors could be changed after the shock of Lehman Brothers' crisis. The above results, we know that not all institution investors are rational, their behavior of investment could be affected by financial shock, and their behavior of investment maybe exist cross effect.