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題名 極端報酬下的交易行為: 三大法人與融資戶
Trading behavior with extreme return: institutional and individual investors作者 劉君勇
Liu, Chun Yung貢獻者 李志宏
劉君勇
Liu, Chun Yung關鍵詞 關注效果
處置效果
漲跌停限制
極端報酬
融資戶
Attention Effect
Disposition Effect
Price Limit
Extreme Return
Margin Trader日期 2011 上傳時間 30-十月-2012 10:41:57 (UTC+8) 摘要 國內外之研究發現，投資人進行股票交易決策時，存在”關注效果”、”處分效果”、等因素造成投資人產生不理性的投資決策；同時亦有學者指出，台灣市場投資人，不論法人或個體投資人皆存在處分效果，甚至此效果會導致投資造成損失，但鮮少有文章提到面對股價大幅變化時，處分效果是消失還是依然存在。本文主要為探討:極端報酬下，三大法人與融資戶之交易行為差異，是否存在處分效果?又有那些事件會帶來關注效果?本研究使用2001/12/01~2012/3/01之股市交易資料，並透過實證分析發現:(1)極端報酬下，三大法人存在處分效果，融資戶則否(2)股價上漲時，只有外資關注是否有盈餘宣告，而股價下跌時，全體投資人皆會關心盈餘宣告(3)股票觸及漲停價與跌停價，是否造成關注效果，因投資人類型而異(4)儘管三大法人受關注處分效果影響，其交易績效依然優於融資戶。
Many studies found that “Attention Effect” and “Disposition Effect” will affect investors when they are trading, even make them loss money. In Taiwan stock market, researchers indicate that even institutional investor also affect by disposition effect. But, there is no discussion of when investors trading with extreme return, do they still have the same behavior? This article is going to study how extreme return affect “attention effect” and “disposition effect”. We grab the trading data form 2001/12/01~2012/3/01, by analyzing we find that (1) Only institutional investors affect by “disposition effect”(2) Only foreign investors will pay attention to earning announcement when trading with great appreciation, but all of investors will follow the stock whether it has announce its earning when trading with great depreciation.(3) Whether stock price hit price limit will cause “Attention effect” is depends on which type the investor is.(4) though institutional investors will affect by disposition effect, they still can make access return.參考文獻 中文部分1. 白芳苹，2002，”基金投資人之錯置效果-台灣地區實證研究”，國立台灣大學財務金融所碩士論文2. 吳佩真，2004，”關注效果對台灣個人投資人買進賣出行為之影響”， 國立台灣大學財務金融所碩士論文3. 林秋雲2002，"股票投資人錯置效果之研究”，輔仁大學應用統計學研究所碩士論文4. 許祐瑞，2002，”台灣股市散戶與三大法人處分效果之研究”，國立高雄第一科技大學金融營運所碩士論文5. 潘鴻倫，2009，”台灣股票市場投資人處分效果之研究”，義守大學管理學院管理碩士班論文6. 張松霖，2003，”漲跌幅限制、基本面價值與股票市場效率性”，朝陽科技大學財務金融學系碩士論文英文部分1. Brad M. Barber and Terrance Odean, 2008, “All that Glitters: the Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies, V21, 786-817.2. Barber, B.M. and T. Odean , 2000, “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773-806.3. Brad M. Barber and Terrance Odean, 2001, Boys will be Boys: Gender, Overconfidence, and Stock Investment. The Quarterly Journal of Economics 2001, P.261-2924. Brad M. Barber and Terrance Odean, 1997, ” Trading is Hazardous to your wealth: The Common Stock Investment Performance of Individual Investors”, Journal of Finance, 1997, 57-81.5. Brad M. Barber and Terrance Odean, and Ning Zhu. ,2006 ,”Do Noise Traders move Markers?” Unpublished Working Paper ,University of California.6. Barber, B. M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean.,2009,"Just How Much Do Individual Investors Lose by Trading?" Review of Financial Studies 22: 609-632.7. Fama, E. F., 1998, “Market Efficiency, Long-term Returns and Behavioral Finance”, The Journal of Financial Economics, Vol.47, 283-306.8. Greenwald, Bruce C., and Jeremy C. Stein, 1991, “Transactional risk, market crashes, and the role of circuit breakers”, Journal of Business 64, 443-462. 9. Kahneman, D., and A. Tversky, 1979,”Prospexct theory: An analysis of decision under rick,” Econometrica, 47,263-291.10. Kim, K.A., and Rhee, S.G., 1997. Price limit performance: Evidence from the Tokyo Stock Exchange. Journal of Finance 52, 885 - 901. 11. Kim, Y. H., and J. J. Yang. 2004. Cooling-Off and Magnet Effects of Price Limits. The 12th Conference on the Theories and Practices of Securities and Financial Markets. National Sun Yat-Sen University, Kaohsiung, Taiwan.12. Chang, K. H. and M. J. Kim, 2001 Jumps and time-varying correlations in daily foreign exchange rates, Journal of International Money and Finance, 20, 611-637.13. Lehmann, Bruce N.,1898, “Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits,” Journal of Financial Service Research, Vol.3 205-209. 14. Shu, P. G.、Y. H. Yeh、S. B. Chiu、H. C. Chen, 2005 ,” Are Taiwanese Individual Investors Reluctant to Realize Their Losses? “Pacific-Basin Finance Journal 15. Shu, P.G., S.B. Chiu, H.C. Chen, and Y.H. Yeh, May 2004, Does Trading Improve Individual Investor Performance?, Review of Quantitative Finance and Accounting ( FLI), Vol.22, No.3, pp.199-21816. Shefrin, H. and Statman, M., 1985,”The Disposition to Sell Winners Too Early and Ride Losers Too Long：Theory and Evidence”, The Journal of Finance. Vol.40, 777-790.17. Subrahmanyam, A. 1994. "Circuit Breakers and Market Volatility: A Theoretical Perspective." Journal of Finance 49: 237-254. 描述 碩士
國立政治大學
財務管理研究所
99357035
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993570351 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.author (作者) 劉君勇 zh_TW dc.contributor.author (作者) Liu, Chun Yung en_US dc.creator (作者) 劉君勇 zh_TW dc.creator (作者) Liu, Chun Yung en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-十月-2012 10:41:57 (UTC+8) - dc.date.available 30-十月-2012 10:41:57 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 10:41:57 (UTC+8) - dc.identifier (其他 識別碼) G0993570351 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54308 - 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) 99357035 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 國內外之研究發現，投資人進行股票交易決策時，存在”關注效果”、”處分效果”、等因素造成投資人產生不理性的投資決策；同時亦有學者指出，台灣市場投資人，不論法人或個體投資人皆存在處分效果，甚至此效果會導致投資造成損失，但鮮少有文章提到面對股價大幅變化時，處分效果是消失還是依然存在。本文主要為探討:極端報酬下，三大法人與融資戶之交易行為差異，是否存在處分效果?又有那些事件會帶來關注效果?本研究使用2001/12/01~2012/3/01之股市交易資料，並透過實證分析發現:(1)極端報酬下，三大法人存在處分效果，融資戶則否(2)股價上漲時，只有外資關注是否有盈餘宣告，而股價下跌時，全體投資人皆會關心盈餘宣告(3)股票觸及漲停價與跌停價，是否造成關注效果，因投資人類型而異(4)儘管三大法人受關注處分效果影響，其交易績效依然優於融資戶。 zh_TW dc.description.abstract (摘要) Many studies found that “Attention Effect” and “Disposition Effect” will affect investors when they are trading, even make them loss money. In Taiwan stock market, researchers indicate that even institutional investor also affect by disposition effect. But, there is no discussion of when investors trading with extreme return, do they still have the same behavior? This article is going to study how extreme return affect “attention effect” and “disposition effect”. We grab the trading data form 2001/12/01~2012/3/01, by analyzing we find that (1) Only institutional investors affect by “disposition effect”(2) Only foreign investors will pay attention to earning announcement when trading with great appreciation, but all of investors will follow the stock whether it has announce its earning when trading with great depreciation.(3) Whether stock price hit price limit will cause “Attention effect” is depends on which type the investor is.(4) though institutional investors will affect by disposition effect, they still can make access return. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 3第三節 研究流程 5第二章 文獻探討 6第一節 傳統財務學與行為財務學 6第二節 交易行為相關文獻 8第三章 研究方法 12第一節 資料來源 12第二節 研究模型設計 14第三節 研究假說建立 26第四章 實證分析 29第一節 交易行為分析 29第二節 交易績效分析 39第五章 結論與建議 46第一節 研究結論 46第二節 研究建議 51 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993570351 en_US dc.subject (關鍵詞) 關注效果 zh_TW dc.subject (關鍵詞) 處置效果 zh_TW dc.subject (關鍵詞) 漲跌停限制 zh_TW dc.subject (關鍵詞) 極端報酬 zh_TW dc.subject (關鍵詞) 融資戶 zh_TW dc.subject (關鍵詞) Attention Effect en_US dc.subject (關鍵詞) Disposition Effect en_US dc.subject (關鍵詞) Price Limit en_US dc.subject (關鍵詞) Extreme Return en_US dc.subject (關鍵詞) Margin Trader en_US dc.title (題名) 極端報酬下的交易行為: 三大法人與融資戶 zh_TW dc.title (題名) Trading behavior with extreme return: institutional and individual investors en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 中文部分1. 白芳苹，2002，”基金投資人之錯置效果-台灣地區實證研究”，國立台灣大學財務金融所碩士論文2. 吳佩真，2004，”關注效果對台灣個人投資人買進賣出行為之影響”， 國立台灣大學財務金融所碩士論文3. 林秋雲2002，"股票投資人錯置效果之研究”，輔仁大學應用統計學研究所碩士論文4. 許祐瑞，2002，”台灣股市散戶與三大法人處分效果之研究”，國立高雄第一科技大學金融營運所碩士論文5. 潘鴻倫，2009，”台灣股票市場投資人處分效果之研究”，義守大學管理學院管理碩士班論文6. 張松霖，2003，”漲跌幅限制、基本面價值與股票市場效率性”，朝陽科技大學財務金融學系碩士論文英文部分1. Brad M. Barber and Terrance Odean, 2008, “All that Glitters: the Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors”, The Review of Financial Studies, V21, 786-817.2. Barber, B.M. and T. Odean , 2000, “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, 55, 773-806.3. Brad M. Barber and Terrance Odean, 2001, Boys will be Boys: Gender, Overconfidence, and Stock Investment. The Quarterly Journal of Economics 2001, P.261-2924. Brad M. Barber and Terrance Odean, 1997, ” Trading is Hazardous to your wealth: The Common Stock Investment Performance of Individual Investors”, Journal of Finance, 1997, 57-81.5. Brad M. Barber and Terrance Odean, and Ning Zhu. ,2006 ,”Do Noise Traders move Markers?” Unpublished Working Paper ,University of California.6. Barber, B. M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean.,2009,"Just How Much Do Individual Investors Lose by Trading?" Review of Financial Studies 22: 609-632.7. Fama, E. F., 1998, “Market Efficiency, Long-term Returns and Behavioral Finance”, The Journal of Financial Economics, Vol.47, 283-306.8. Greenwald, Bruce C., and Jeremy C. Stein, 1991, “Transactional risk, market crashes, and the role of circuit breakers”, Journal of Business 64, 443-462. 9. Kahneman, D., and A. Tversky, 1979,”Prospexct theory: An analysis of decision under rick,” Econometrica, 47,263-291.10. Kim, K.A., and Rhee, S.G., 1997. Price limit performance: Evidence from the Tokyo Stock Exchange. Journal of Finance 52, 885 - 901. 11. Kim, Y. H., and J. J. Yang. 2004. Cooling-Off and Magnet Effects of Price Limits. The 12th Conference on the Theories and Practices of Securities and Financial Markets. National Sun Yat-Sen University, Kaohsiung, Taiwan.12. Chang, K. H. and M. J. Kim, 2001 Jumps and time-varying correlations in daily foreign exchange rates, Journal of International Money and Finance, 20, 611-637.13. Lehmann, Bruce N.,1898, “Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits,” Journal of Financial Service Research, Vol.3 205-209. 14. Shu, P. G.、Y. H. Yeh、S. B. Chiu、H. C. Chen, 2005 ,” Are Taiwanese Individual Investors Reluctant to Realize Their Losses? “Pacific-Basin Finance Journal 15. Shu, P.G., S.B. Chiu, H.C. Chen, and Y.H. Yeh, May 2004, Does Trading Improve Individual Investor Performance?, Review of Quantitative Finance and Accounting ( FLI), Vol.22, No.3, pp.199-21816. Shefrin, H. and Statman, M., 1985,”The Disposition to Sell Winners Too Early and Ride Losers Too Long：Theory and Evidence”, The Journal of Finance. Vol.40, 777-790.17. Subrahmanyam, A. 1994. "Circuit Breakers and Market Volatility: A Theoretical Perspective." Journal of Finance 49: 237-254. zh_TW
