交易強度、機構持股與機構投資人之交易行為

Trading Intensity, Institutional Ownership and Institutional Investors' Trading Behavior

楊淑玲(Shu-Ling Yang) ； 陳獻儀(Hsien-Yi Chen) ； 游智賢(Chih-Hsien Yu)

《財務金融學刊》 14卷2期 (2006/06) Pp. 41-72

https://doi.org/10.6545/JFS.2006.14(2).2

摘要

本文旨在探討機構投資人之交易強度與個股之機構持股，對其交易行為與策略之影響。實證結果發現當機構投資人在進行買入投資決策時，會較傾向呈現出動能之交易行為，然而在賣出持股時，則較傾向反向交易之行為，因而呈現出其在買與賣之交易行為之動能效果上的不對稱結果。且此不對稱的現象在基金經理人之交易行為上更為顯著。其次，個股之機構持股的比率高低，亦是影響動能交易行為的重要因素之一，亦即，在機構投資人之買入（賣出）行為上，對於機構持股比率愈高之個股，其所呈現出的動能（反向）交易策略之現象會愈顯著，且即使在控制了公司規模以及共同基金類型等因素之後，該不對稱之現象仍然顯著，顯示該現象並非因公司之規模或是特定之機構投資類型所導致。

關鍵字

機構投資人 ； 交易強度 ； 動能交易 ； 反向交易

並列摘要

This paper explores the effects of institutional investors' trading intensity and stockfs institutional ownership on the institutional trading behavior. Specifically, this paper attempts to examine whether institutional investors' momentum behavior will be affected by their trading intensity and the institutional ownership of their stockholdings. Empirical results show that institutional investors tend to exhibit momentum trading behavior when they are buying stocks. However, they tend to be feedback traders while they are selling stocks. This, thus, results in an asymmetric momentum (feedback) trading behavior. This phenomenon is more pronounced for the mutual fund managers. Furthermore, we also find that stock's institutional ownership also plays an important role affecting institutional investors' momentum trading behavior. In specific, institutional investors tend to exhibit more significant momentum (feedback) trading behavior on stocks with higher (lower) institutional ownership. This asymmetric trading behavior still exists after controlling factors such as firm size and mutual funds' types. This, in turn, indicates that the above finding regarding institutional investors' asymmetric trading behavior does not result from either firm size or particular institutional investor type.

並列關鍵字

institutional investors ； trading intensity ； momentum trading ； feedback trading

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