以往文獻指出市場上充斥著無法由效率市場假說加以合理解釋的「異常現象」,因此80年代出現一個新理論-「雜訊交易理論」(Noise Trader Approach),De Long et al., (1990)認為市場上普遍存在之雜訊因素是影響股價的重要原因之一。在雜訊交易理論中,雜訊投資人的認知偏誤(Mispection)以及其佔市場參與者的人口比例,乃是決定市場價格能否真實地反應基本價值的最重要因素;而長久以來台灣股市的過度波動型態與欠缺效率性便備受詬病,而我國股市最顯明的特色即在於小額投資人(散戶)佔股市投資人結構中的絕大比例,以及反映在其身上形形色色的反理性投資行為,兩相比較,可以發現國內股市的特性均相當符合該理論的假設,於是進一步分析雜訊交易行為在台灣500大企業的特性與影響程度,乃本研究之目的。 本研究針對雜訊交易模式(Noise Trade Model)與資本資產訂價模式(CAPM)來探討雜訊交易在台灣500大企業的特性及影響程度,本文首先觀察到雜訊交易在台灣500大企業有顯著的影響性;亦發現股價水準、信用交易比例與股票報酬存在著顯著的負向關係;而成交量週轉率存在著顯著的正向關係。並且發現相對於資本資產訂價模式,雜訊交易模式並未具有更好的解釋能力。
There is considerable evidence that stock prices can diverge significantly from fundamental value. It implies that many investors do not follow fundamental values to buy and hold the market portfolios. They often pick stocks through their own research or sentiment. Therefore, De Long et al., (1990) proposed “Noise Trader Approach”, which pointed out noise factors – investors’ sentiment can affect stock prices. In noise trader approach, a mispection of noise trader and proportion of population in market participants are the most important factors to determine if it truly reacts upon fundamental value. Therefore, then Taiwanese Stock’s over-fluctuation status and the lack of efficiency have been denounced for a long time. The most obvious character of our stock market is that small investors occupy a large proportion of the stock market structure of our country and it shows its various unreasonably actions. It’s able to discover that our internal stock market suits this theory. Thus, taking one step ahead analyzing the extent of the characteristics and effects of noise trading in Taiwan’s largest 500 firms is the purpose of this study. The study is aimed at using Noise Trade Model and Capital Assets Pricing Model to discuss the characteristics and effects of noise trading in Taiwan’s largest 500 firms. This paper initially observed the obvious influence of noise trading in Taiwan largest 500 firms that found the levels of stock prices and credit are also significantly negatively associated with return. The turnover is significantly positively associated with the return. It discovered that Noise Trade Model doesn’t have much better R-squared than Capital Assets Pricing Model.