| dc.contributor.advisor | 周行一 | zh_TW |
| dc.contributor.author (作者) | 徐子晴 | zh_TW |
| dc.creator (作者) | 徐子晴 | zh_TW |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-九月-2011 16:47:50 (UTC+8) | - |
| dc.date.available | 29-九月-2011 16:47:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-九月-2011 16:47:50 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0098357026 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50829 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 98357026 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 根據台灣證券交易所(TWSE)證券統計資料年報顯示，2010年台灣股票市場中散戶投資人交易成交值比重約為68%，外國機構投資人約為18.5%。一般而言，外國機構投資人被視為具有專業分析能力的交易者，散戶投資人則為雜訊交易者。在本文中我們將藉由觀察各類型投資人的交易行為，探討台灣股票市場中不具有資訊內涵的散戶投資人是否會跟隨具有資訊的外國機構投資人的交易行為。為了瞭解散戶投資人是否有跟隨外國機構投資人的情況，我們在本文中分別使用事件研究法與向量自我迴歸模型(VAR)模型加以分析各類型投資人的交易行為。我們發現，外國機構投資人為正向回饋的動能交易者，本國機構投資人及散戶投資人為反向操作者；然而當發生金融風暴時，外國機構投資人轉變為反向操作者，散戶投資人轉為正向回饋的動能交易者。透過向量迴歸模型，我們發現散戶投資人的交易行為並不會受到前期外國機構投資人交易行為的影響，顯示散戶投資人並未跟隨外國機構投資人的交易行為。 | zh_TW |
| dc.description.abstract (摘要) | According to Taiwan Stock Exchange Corporation (TWSE), individual investors accounted for 68% trading volume and foreign institutional investors accounted for 18.5% in stock market in 2010. In general, we regard foreign institutional investors as traders with professional analysis abilities. However, we thought individual investors are noise trader. We would like to know whether the individual investors follow foreign institutional investors’ transactions and elaborate their transaction behavior.In order to understand whether individual investors follow the foreign institutional investors, we used event study and VAR to analyze their transaction behavior. We observed that foreign institutional investors are momentum traders. On contrary, we noticed that domestic institute investors and individuals are contrarian traders. Nevertheless, during financial crisis, foreign institutional investors became contrarian traders and individual turned to momentum traders. Through VAR model, we found that individual did not follow foreign institutional investors. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機 1第二節 研究架構 3第二章 文獻回顧 5第一節 台灣股票市場投資人行為 5第二節 國外股票市場投資人行為 7第三章 研究樣本與研究方法 9第一節 研究樣本 9第二節 投資人交易行為與市場報酬的關係 12第三節 向量自我迴歸模型及衝擊反應函數 14第四章 實證分析 16第一節 投資人交易行為與市場報酬的關係 16第二節 向量自我迴歸(VAR)模型分析 27第三節 衝擊反應函數 33第五章 結論與建議 35參考文獻 37附錄 39 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0098357026 | en_US |
| dc.subject (關鍵詞) | 散戶投資人 | zh_TW |
| dc.subject (關鍵詞) | 外國機構投資人 | zh_TW |
| dc.subject (關鍵詞) | 交易行為 | zh_TW |
| dc.title (題名) | 散戶投資人是否會跟隨外國機構投資人之交易行為 | zh_TW |
| dc.title (題名) | Do individual investors follow the trading behavior of foreign institutional investors | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 中文部分 | zh_TW |
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| dc.relation.reference (參考文獻) | 英文部分 | zh_TW |
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