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題名 以台灣指數期貨市場為例-研究各類投資人從眾行為與回饋交易行為及交易量大小之資訊效果
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size作者 黃彥銘
Huang, Yen Ming貢獻者 周冠男
Chou, Robin K.
黃彥銘
Huang, Yen Ming關鍵詞 從眾行為
回饋交易行為
交易者型態
交易量大小
景氣循環
herding
feedback trading
trader types
trade size
business cycle日期 2012 上傳時間 1-Jul-2013 17:44:02 (UTC+8) 摘要 The purpose of this study is to investigate herding and feedback trading by different trader types and the effect of their trade size on Taiwan Capitalization weighted stock index futures contracts on the Taiwan Futures Exchange. The empirical results demonstrate that there are different trading patterns between large and small trade size for individual investors as well as institutional investors. For the entire period, individual investors are positive feedback traders, and institutional investors are negative feedback traders. We divide individual and institutional investors into large and small groups. We find that large investors’ trading behavior is independent and different from trading behavior of average investors who belong to their trader type. This may result from the fact that large investors are the informed. Compared to large investors, small investors are less-informed traders, and they engage in feedback trading to get information. As for herding, we observe that small institutional investors have the most significant herding behavior among all types of investors because of competition among them and reception of the similar information. We also find that investors react asymmetrically to periods of contraction and expansion. Small investors would intensify their herding and feedback trading during a period of expansion. 參考文獻 Asch, S. 1956. Studies of independence and conformity: A minority of one against a unanimous majority. Psychological Monographs 70 (9).Bange, M.M., 2000. Do the portfolios of small investors reflect positive feedback trading? Journal of Financial and Quantitative Analysis 35, 239–255.Barber, B.M., Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Finance Studies 21 (2), 785-818.Barclay, M.J., Warner, J.B., 1993. Stealth trading and volatility: Which trades move prices? 1111Journal of Financial Economics 34, 281-305.Bikhchandani, S., Hirshleifer, D., Welch, I., 1992. A theory of Fads, Fashion, Custom, and 1111Cultural Change as Informational Cascades. Journal of Political Economy 100, 992-1026.Bowe M., Domuta D., 2004. Investor herding during financial crisis: A clinical study of the 1111Jakarta Stock Exchange. Pacific-Basin Finance Journal 12, 387– 418.Chau, F., Deesomsak, R., Lau, M.C.K., 2011. Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis 20, 292–305.Choe, H., Kho, B.C., Stulz, R.M., 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54, 227–264.Chou, R.K., Wang, G.H.K., Wang, Y.Y., Bjursell, J., 2011. The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan Futures Exchange. Pacific-Basin Finance Journal 19, 41–70.Coughenour, J., Shastri, K., 1999. Symposium on market microstructure: A Review of Empirical Research. Financial Review 34, 1-28.De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379–395.Easley, D., O`Hara, M., 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19, 69-90.Fama, E.F., 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance 25, 383-417.Froot, K.A., Scharfstein, D.S., Stein, J.C., 1992. Herd on the street: Inefficiencies in a market with short-term speculation. Journal of Finance 47, 1461-1484. Griffin, J., Harris, J.H., Topaloglu, S., 2003. The Dynamics of Institutional and Individual Trading. Journal of Finance 58, 2285-2320.Kaniel, R., Saar, G., Titman, S., 2008. Individual Investor Trading and Stock Returns. Journal of Finance 63, 273-310.Keynes, J.M., 1936. The General Theory of Employment, Interest, and Money. (Macmillan, London, U.K.).Kim, W., Wei, S.J., 2002. Foreign portfolio investors before and during a crisis. Journal of International Economics 56, 77–96.Krugman, P., 1997. Seven habits of highly defective investors. Fortune, December 27Kurov, A., 2008. Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets. Financial Review 43, 107-127.Lakonishok, J., Shleifer, A., Vishny, R., 1992. The impact of institutional trading on stock prices. Journal of Financial Economics 32, 23–43.Lakonishok, J., Shleifer, A., Vishny, R., 1994. Contrarian Investment, Extrapolation, and Risk. Journal of Financial Economics 49, 1541-1578. Lee, Y.T., Lin, J.C., Liu, Y.J., 1999. Trading patterns of big versus small players in an emerging market: An empirical analysis. Journal of Banking & Finance 23, 701-725.Li, W., Rhee, G., Wang, S.S., 2009. Differences in Herding: Individual vs. Institutional Investors in China. Working Paper, School of Accounting and Finance, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China.Nofsinger, J.R., Sias R.W., 1999. Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54, 2263-2295.Odean,T., 1998. Are investors reluctant to realize their loses? Journal of Finance 53, 1775-1798.Scharfstein, D.S., Stein, J.C., 1990. Herd behavior and investment. American Economic Review 80, 465–479.Shefrin, H., Statman, M., 1985. The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 40, 777-790.Shiller, R.J., 1988. Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash. NBER Macroeconomics 3, 287-297.Shleifer, A., Summers, L.H., 1990. The Noise Trader Approach to Finance. Journal of Economic Perspectives 4, 19-33.Sias, R.W., 2004. Institutional Herding. Review of Financial Studies 17, 165-206.Slam, C.A., Schuppli, M., 2010. Positive feedback trading in stock index futures: International evidence. International Review of Financial Analysis 19, 313–322. 描述 碩士
國立政治大學
財務管理研究所
100357010
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357010 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K. en_US dc.contributor.author (Authors) 黃彥銘 zh_TW dc.contributor.author (Authors) Huang, Yen Ming en_US dc.creator (作者) 黃彥銘 zh_TW dc.creator (作者) Huang, Yen Ming en_US dc.date (日期) 2012 en_US dc.date.accessioned 1-Jul-2013 17:44:02 (UTC+8) - dc.date.available 1-Jul-2013 17:44:02 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2013 17:44:02 (UTC+8) - dc.identifier (Other Identifiers) G0100357010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58713 - 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) 100357010 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) The purpose of this study is to investigate herding and feedback trading by different trader types and the effect of their trade size on Taiwan Capitalization weighted stock index futures contracts on the Taiwan Futures Exchange. The empirical results demonstrate that there are different trading patterns between large and small trade size for individual investors as well as institutional investors. For the entire period, individual investors are positive feedback traders, and institutional investors are negative feedback traders. We divide individual and institutional investors into large and small groups. We find that large investors’ trading behavior is independent and different from trading behavior of average investors who belong to their trader type. This may result from the fact that large investors are the informed. Compared to large investors, small investors are less-informed traders, and they engage in feedback trading to get information. As for herding, we observe that small institutional investors have the most significant herding behavior among all types of investors because of competition among them and reception of the similar information. We also find that investors react asymmetrically to periods of contraction and expansion. Small investors would intensify their herding and feedback trading during a period of expansion. en_US dc.description.tableofcontents 1. Introduction 12. Literature Review and Hypotheses 42.1 Herding and Feedback Trading 42.2 Herding and Feedback Trading by Individual Investors 72.3 Herding and Feedback Trading by Institutional Investors 92.4 Herding and Feedback Trading in different periods 122.5 Hypothesis 143. Data and Methodology 143.1 Data Description 153.2 Methodology 174. Empirical Results 214.1 Herding and feedback trading by individual investors and the effect of trade sizes 214.2 Herding and feedback trading by institutional investors and the effect of trade sizes 234.3 Herding and feedback trading in different periods 254.4 Herding and feedback trading by different institutional investors 275. Conclusions 29References 43 zh_TW dc.format.extent 793930 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357010 en_US dc.subject (關鍵詞) 從眾行為 zh_TW dc.subject (關鍵詞) 回饋交易行為 zh_TW dc.subject (關鍵詞) 交易者型態 zh_TW dc.subject (關鍵詞) 交易量大小 zh_TW dc.subject (關鍵詞) 景氣循環 zh_TW dc.subject (關鍵詞) herding en_US dc.subject (關鍵詞) feedback trading en_US dc.subject (關鍵詞) trader types en_US dc.subject (關鍵詞) trade size en_US dc.subject (關鍵詞) business cycle en_US dc.title (題名) 以台灣指數期貨市場為例-研究各類投資人從眾行為與回饋交易行為及交易量大小之資訊效果 zh_TW dc.title (題名) Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Asch, S. 1956. Studies of independence and conformity: A minority of one against a unanimous majority. Psychological Monographs 70 (9).Bange, M.M., 2000. Do the portfolios of small investors reflect positive feedback trading? Journal of Financial and Quantitative Analysis 35, 239–255.Barber, B.M., Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Finance Studies 21 (2), 785-818.Barclay, M.J., Warner, J.B., 1993. Stealth trading and volatility: Which trades move prices? 1111Journal of Financial Economics 34, 281-305.Bikhchandani, S., Hirshleifer, D., Welch, I., 1992. A theory of Fads, Fashion, Custom, and 1111Cultural Change as Informational Cascades. Journal of Political Economy 100, 992-1026.Bowe M., Domuta D., 2004. Investor herding during financial crisis: A clinical study of the 1111Jakarta Stock Exchange. Pacific-Basin Finance Journal 12, 387– 418.Chau, F., Deesomsak, R., Lau, M.C.K., 2011. Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis 20, 292–305.Choe, H., Kho, B.C., Stulz, R.M., 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54, 227–264.Chou, R.K., Wang, G.H.K., Wang, Y.Y., Bjursell, J., 2011. The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan Futures Exchange. Pacific-Basin Finance Journal 19, 41–70.Coughenour, J., Shastri, K., 1999. Symposium on market microstructure: A Review of Empirical Research. Financial Review 34, 1-28.De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379–395.Easley, D., O`Hara, M., 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19, 69-90.Fama, E.F., 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance 25, 383-417.Froot, K.A., Scharfstein, D.S., Stein, J.C., 1992. Herd on the street: Inefficiencies in a market with short-term speculation. Journal of Finance 47, 1461-1484. Griffin, J., Harris, J.H., Topaloglu, S., 2003. The Dynamics of Institutional and Individual Trading. Journal of Finance 58, 2285-2320.Kaniel, R., Saar, G., Titman, S., 2008. Individual Investor Trading and Stock Returns. Journal of Finance 63, 273-310.Keynes, J.M., 1936. The General Theory of Employment, Interest, and Money. (Macmillan, London, U.K.).Kim, W., Wei, S.J., 2002. Foreign portfolio investors before and during a crisis. Journal of International Economics 56, 77–96.Krugman, P., 1997. Seven habits of highly defective investors. Fortune, December 27Kurov, A., 2008. Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets. Financial Review 43, 107-127.Lakonishok, J., Shleifer, A., Vishny, R., 1992. The impact of institutional trading on stock prices. Journal of Financial Economics 32, 23–43.Lakonishok, J., Shleifer, A., Vishny, R., 1994. Contrarian Investment, Extrapolation, and Risk. Journal of Financial Economics 49, 1541-1578. Lee, Y.T., Lin, J.C., Liu, Y.J., 1999. Trading patterns of big versus small players in an emerging market: An empirical analysis. Journal of Banking & Finance 23, 701-725.Li, W., Rhee, G., Wang, S.S., 2009. Differences in Herding: Individual vs. Institutional Investors in China. Working Paper, School of Accounting and Finance, The Hong Kong Polytechnic University, Kowloon, Hong Kong, China.Nofsinger, J.R., Sias R.W., 1999. Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54, 2263-2295.Odean,T., 1998. Are investors reluctant to realize their loses? Journal of Finance 53, 1775-1798.Scharfstein, D.S., Stein, J.C., 1990. Herd behavior and investment. American Economic Review 80, 465–479.Shefrin, H., Statman, M., 1985. The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 40, 777-790.Shiller, R.J., 1988. Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash. NBER Macroeconomics 3, 287-297.Shleifer, A., Summers, L.H., 1990. The Noise Trader Approach to Finance. Journal of Economic Perspectives 4, 19-33.Sias, R.W., 2004. Institutional Herding. Review of Financial Studies 17, 165-206.Slam, C.A., Schuppli, M., 2010. Positive feedback trading in stock index futures: International evidence. International Review of Financial Analysis 19, 313–322. zh_TW
