The Dynamic Analysis of Investors' Trading in the Taiwan Stock Market

台灣股市投資人交易動態效果之分析

蕭朝興(Chao-Shin Chiao) ； 王子湄(Zi-Mei Wang) ； 黃常和(Chang-Ho Huang)

《交大管理學報》 29卷1期 (2009/06) Pp. 41-78

https://doi.org/10.6401/CMR.200906.0041

摘要

本文檢測三大法人、個別投資人對於臺灣50交易行為與股票報酬的每日與日內關係，發現三大法人（個別投資人）每日淨買賣超與當日股票報酬之間具有強烈的正（負）相闕，同時也有追逐動能（反向交易）的傾向。進一步利用逐筆委託資料來探討這正相關的可能原因，發現法人沒有預測日內短期報酬能力，雖然法人會正向追隨過去日內報酬變化，但相較之下，法人交易產生的價格壓力才是主要因素；同時，當個別投資人與法人同步且大搞買賣超時，才能對股價產生較大的衝擊。

關鍵字

法人 ； 個別投資人 ； 可市價化限價單 ； 委託不均衡比率

並列摘要

This paper examines the daily and intraday relationship between stock return and the trading of institutional and individual investors on the TSEC 50 securities. First, the contemporaneous relation between stock return and the trade imbalance by institutions (individuals) at the daily level is strongly positive (negative) and institutions (individuals) tend to be trend-chasing (contrarian). Second, applying intraday order data, this paper finds that the observed positive contemporaneous relation is largely driven by the price pressure from institutional trading. Third, no consistent evidence supports that institutional order imbalance predicts future stock returns. Finally, the stock prices will move more when the trading direction of individuals is consistent with that of institutions.

並列關鍵字

Institutional investor ； Individual investor ； Marketable limit order ； Order imbalance

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