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題名 散戶投資者行為偏誤之研究 － 以非信息事件為例
The Reactions of Individual Investors toward Non-Informative Events
作者 吳珍如
Wu, Chen Ju
貢獻者 林靖庭<br>陳威光
吳珍如
Wu, Chen Ju
關鍵詞 行為財務學
羊群效應
日期 2014
上傳時間 3-Feb-2015 10:19:05 (UTC+8)
摘要 　　由於有越來越多金融市場上的異常現象浮現，故本文目的在於探究效率學派對於金融市場之理性假設是否完美。本文利用最小交易量股票佔市場之比例來代表散戶投資者佔市場上之比例，並藉由檢視散戶投資者佔市場之比例與台股加權指數跨越千點事件之間的關係，來觀察台灣股市中散戶投資者的交易行為是否理性反應。由於「台股加權指數跨越千點事件」為一種不含實質信息但卻能吸引投資者注意力的事件，故若散戶投資者顯著對該類事件產生反應，則動搖效率市場假設的可能存在。而本文發現了三個現象：首先，平均而言，散戶投資者會對台股加權指數跨越千點事件產生顯著反應，而這顯示散戶投資者的交易行為存在不理性的現象。第二，散戶投資者彼此間的交易行為會不理性地相互影響且產生羊群效應，顯示其交易行為並非隨機無相關地分佈。最後，從當天短期角度或以一星期相對長期角度檢視，發現散戶投資者平均承受負報酬。
Due to the discovering of market anomalies, this paper is aimed to test the validity of the Efficient Market Hypothesis. I use the percentage of the smallest trade size in shares as the proxy for the percentage of appearance of individual investors. I examine the relationship between individual investors’ trading behaviors and the crossings of multiples of 1,000s of TAIEX index. The crossings of multiples of 1,000s of TAIEX index are non-informative events but can actually grab people’s attention and affect investors’ behaviors. Thus, if the behaviors of individual investors are significantly affected by the non-informative events, the possibility of the misassumption of the EMH exists. The results show that 1) individual investors react to the crossings of multiples of 1,000 of TAIEX index; 2) their trading strategies are irrational in similar ways, which causes the phenomenon of the herding effect; and 3) individual investors perform poorly from either short-term or long-term perspective.
參考文獻 Barber, B.M., Y. Lee, Y. Liu, and T. Odean, 2009, Just How Much Do Individual Investors Lose by Trading?, Review of Financial Studies, 22, 609-632.\r\n\r\nBarber, Brad M., and Terrance Odean, 2006, All That Glitters: The Effect of Attention on the Buying Behavior of Individual and Institutional Investors, forthcoming Review of Financial Studies. \r\n\r\nBikhchandani, S., Hirshleifer, D., and Welch, I., 1992, A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100, 992-1026. \r\n \r\nBlack, F., 1986, Noise, Journal of Finance, 41, 529-543.\r\n\r\nCampbell, J. Y., and Kyle, A. S., 1993, Smart Money, Noise Trading and Stock Price Behaviour, Review of Economic Studies, 60, 1-34.\r\n\r\nChang, E. C., Cheng, J. W. and Khorana, A., 2000, An Examination of Herd Behavior in Equity Markets: An International Perspective, Journal of Banking and Finance, 24, 1651-1679. \r\n\r\nDe Long, J. B., Shleifer, A., Summers, L., and Waldmann, R., 1990a, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, 703-38.\r\n\r\nDellaVigna, S., and Pollet, J., 2006, Investor Inattention and Friday Earnings Announcements, working paper, UC Berkeley and University of Illinois.\r\n\r\nDemirer, R., and Kutan, A., 2006, Does Herding Behavior Exist in Chinese Stock Markets?, Journal of International Financial Markets, institutions and money, 16, 123-142.\r\n\r\nFama, E., 1965, The Behavior of Stock Market Prices, Journal of Business, 38, 34-106.\r\n\r\nFama, E., 1965, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.\r\n\r\nFriedman, M., 1953, The Case for Flexible Exchange Rates, in Essays in Positive Economics.\r\n\r\nGrenadier, S. R., 1999, Information Revelation through Option Exercise, Review of Financial Studies, 12, 95-129.\r\n\r\nGriffin, John M., Jeffrey H. Harris, and Selim Topaloglu, 2003, The Dynamics of Institutional and Individual Trading, Journal of Finance, 58, 2285-2320\r\n\r\nGrinblatt, M., and Keloharju, M., 2001, What Makes Investors Trade?, Journal of Finance, 56, 589-616.\r\n\r\nHuang, L., and Liu, H., 2007, Rational Inattention and Portfolio Selection, Journal of Finance, 62, 1999-2040. \r\n\r\nJensen, M., 1978, Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics, 6, 95-101.\r\n\r\nKahneman, D., and Riepe, M., 1998, Aspects of Investor Psychology, Journal of Portfolio Management, 24, 52-65.\r\n\r\nKahneman, D., and Tversky, A., 1973, On the Psychology of Prediction, Psychological Review, 80, 237-51.\r\n\r\nKaniel, Ron, Gideon Saar, and Sheridan Titman, 2008, Individual Investor Trading and Stock Returns, Journal of Finance, 63, 273-310.\r\n\r\nKyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica, 47, 1315-36.\r\n\r\nLakonishok, J., Shleifer, A., Thaler, R., and Vishny, R., 1991, Window Dressing by Pension Fund Managers, American Economic Review Papers and Proceedings, 81, 227-31.\r\n\r\nLao P., Singh H., 2011, Herding Behavior in the Chinese and Indian Stock Markets, Journal of Asian Economics, 22(6), 495-528.\r\n\r\nLeibenstein, H., 1950, Bandwagon, Snob, and Veblen Effects in the Theory of Consumers` Demand, Quarterly Journal of Economics, 64, 183-207.\r\n\r\nLin, Ching Ting., 2008, Do Individual Investors React to Non-informative Events?, University of Delaware.\r\n\r\nLilian Ng and Fei Wu, 2005, The Trading Behavior of Institutions in Chinese Equity Markets, working paper, University of Wisconsin-Milwaukee and University of Massey, New Zealand.\r\n\r\nPeng, L., and Xiong, Wei., 2006, Investor Attention, Overconfidence and Category Learning, Journal of Financial Economics, 80, 563-602.\r\n\r\nScharfstein, S., and Stein, C., 1990, Herd Behavior and Investment, American Economic Review, 80(3), 465-79.\r\n\r\nSeasholes, M., S., and Wu, G., 2007, Predictable Behavior, Profits, and Attention, Journal of Empirical Finance, 14, 590-610.\r\n\r\nShiller, R., 1984, Stock Prices and Social Dynamics, Brookings Papers on Economic Activity, 2, 457-98.\r\n\r\nShleifer, A., 2000, Inefficient Markets- An Introduction to Behavioral Finance, Oxford University Press.\r\n\r\nYuan, Y., 2007, Attention and Trading, working paper, University of Pennsylvania.\r\n\r\nZhou, R.T., and Lai, R.N., 2009, Herding and Information Based Trading, Journal of Empirical Finance, 16, 388-393.
描述 碩士
國立政治大學
金融研究所
101352027
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352027
資料類型 thesis
dc.contributor.advisor 林靖庭<br>陳威光zh_TW
dc.contributor.author (Authors) 吳珍如zh_TW
dc.contributor.author (Authors) Wu, Chen Juen_US
dc.creator (作者) 吳珍如zh_TW
dc.creator (作者) Wu, Chen Juen_US
dc.date (日期) 2014en_US
dc.date.accessioned 3-Feb-2015 10:19:05 (UTC+8)-
dc.date.available 3-Feb-2015 10:19:05 (UTC+8)-
dc.date.issued (上傳時間) 3-Feb-2015 10:19:05 (UTC+8)-
dc.identifier (Other Identifiers) G0101352027en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=81867-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 101352027zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 　　由於有越來越多金融市場上的異常現象浮現，故本文目的在於探究效率學派對於金融市場之理性假設是否完美。本文利用最小交易量股票佔市場之比例來代表散戶投資者佔市場上之比例，並藉由檢視散戶投資者佔市場之比例與台股加權指數跨越千點事件之間的關係，來觀察台灣股市中散戶投資者的交易行為是否理性反應。由於「台股加權指數跨越千點事件」為一種不含實質信息但卻能吸引投資者注意力的事件，故若散戶投資者顯著對該類事件產生反應，則動搖效率市場假設的可能存在。而本文發現了三個現象：首先，平均而言，散戶投資者會對台股加權指數跨越千點事件產生顯著反應，而這顯示散戶投資者的交易行為存在不理性的現象。第二，散戶投資者彼此間的交易行為會不理性地相互影響且產生羊群效應，顯示其交易行為並非隨機無相關地分佈。最後，從當天短期角度或以一星期相對長期角度檢視，發現散戶投資者平均承受負報酬。zh_TW
dc.description.abstract (摘要) Due to the discovering of market anomalies, this paper is aimed to test the validity of the Efficient Market Hypothesis. I use the percentage of the smallest trade size in shares as the proxy for the percentage of appearance of individual investors. I examine the relationship between individual investors’ trading behaviors and the crossings of multiples of 1,000s of TAIEX index. The crossings of multiples of 1,000s of TAIEX index are non-informative events but can actually grab people’s attention and affect investors’ behaviors. Thus, if the behaviors of individual investors are significantly affected by the non-informative events, the possibility of the misassumption of the EMH exists. The results show that 1) individual investors react to the crossings of multiples of 1,000 of TAIEX index; 2) their trading strategies are irrational in similar ways, which causes the phenomenon of the herding effect; and 3) individual investors perform poorly from either short-term or long-term perspective.en_US
dc.description.tableofcontents TABLE OF CONTENTS\r\n\r\nABSTRACT....................................................III\r\nLIST OF TABLES................................................V\r\nLIST OF FIGURES...............................................V\r\n1. INTRODUCTION...............................................1\r\n2. LITERATURE REVIEW..........................................6\r\n 2.1 Introduction to Behavioral Finance....................6\r\n 2.2 Individual Investors Behaviors........................8\r\n 2.3 Attention-grabbing Events............................10\r\n 2.4 Herding Behavior.....................................13\r\n3. DATA DESCRIPTION..........................................16\r\n4. EMPIRICAL EVIDENCE........................................22\r\n 4.1 Autocorrelation of the past trade size...............22\r\n 4.2 Main regression model................................26\r\n 4.2.1 Methodology....................................26\r\n 4.2.2 Evidence.......................................28\r\n5. ROBUSTNESS TESTS..........................................37\r\n 5.1 Combine two regressions into one regression..........37\r\n 5.2 Percentage of trade size V.S. Average trading volume.42\r\n 5.3 Reduce the lag terms from ten to five days...........45\r\n6. CONCLUSION................................................48\r\n7. REFERENCE.................................................49zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352027en_US
dc.subject (關鍵詞) 行為財務學zh_TW
dc.subject (關鍵詞) 羊群效應zh_TW
dc.title (題名) 散戶投資者行為偏誤之研究 － 以非信息事件為例zh_TW
dc.title (題名) The Reactions of Individual Investors toward Non-Informative Eventsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Barber, B.M., Y. Lee, Y. Liu, and T. Odean, 2009, Just How Much Do Individual Investors Lose by Trading?, Review of Financial Studies, 22, 609-632.\r\n\r\nBarber, Brad M., and Terrance Odean, 2006, All That Glitters: The Effect of Attention on the Buying Behavior of Individual and Institutional Investors, forthcoming Review of Financial Studies. \r\n\r\nBikhchandani, S., Hirshleifer, D., and Welch, I., 1992, A Theory of Fads, Fashion, Custom and Cultural Change as Informational Cascades, Journal of Political Economy, 100, 992-1026. \r\n \r\nBlack, F., 1986, Noise, Journal of Finance, 41, 529-543.\r\n\r\nCampbell, J. Y., and Kyle, A. S., 1993, Smart Money, Noise Trading and Stock Price Behaviour, Review of Economic Studies, 60, 1-34.\r\n\r\nChang, E. C., Cheng, J. W. and Khorana, A., 2000, An Examination of Herd Behavior in Equity Markets: An International Perspective, Journal of Banking and Finance, 24, 1651-1679. \r\n\r\nDe Long, J. B., Shleifer, A., Summers, L., and Waldmann, R., 1990a, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, 703-38.\r\n\r\nDellaVigna, S., and Pollet, J., 2006, Investor Inattention and Friday Earnings Announcements, working paper, UC Berkeley and University of Illinois.\r\n\r\nDemirer, R., and Kutan, A., 2006, Does Herding Behavior Exist in Chinese Stock Markets?, Journal of International Financial Markets, institutions and money, 16, 123-142.\r\n\r\nFama, E., 1965, The Behavior of Stock Market Prices, Journal of Business, 38, 34-106.\r\n\r\nFama, E., 1965, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.\r\n\r\nFriedman, M., 1953, The Case for Flexible Exchange Rates, in Essays in Positive Economics.\r\n\r\nGrenadier, S. R., 1999, Information Revelation through Option Exercise, Review of Financial Studies, 12, 95-129.\r\n\r\nGriffin, John M., Jeffrey H. Harris, and Selim Topaloglu, 2003, The Dynamics of Institutional and Individual Trading, Journal of Finance, 58, 2285-2320\r\n\r\nGrinblatt, M., and Keloharju, M., 2001, What Makes Investors Trade?, Journal of Finance, 56, 589-616.\r\n\r\nHuang, L., and Liu, H., 2007, Rational Inattention and Portfolio Selection, Journal of Finance, 62, 1999-2040. \r\n\r\nJensen, M., 1978, Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics, 6, 95-101.\r\n\r\nKahneman, D., and Riepe, M., 1998, Aspects of Investor Psychology, Journal of Portfolio Management, 24, 52-65.\r\n\r\nKahneman, D., and Tversky, A., 1973, On the Psychology of Prediction, Psychological Review, 80, 237-51.\r\n\r\nKaniel, Ron, Gideon Saar, and Sheridan Titman, 2008, Individual Investor Trading and Stock Returns, Journal of Finance, 63, 273-310.\r\n\r\nKyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica, 47, 1315-36.\r\n\r\nLakonishok, J., Shleifer, A., Thaler, R., and Vishny, R., 1991, Window Dressing by Pension Fund Managers, American Economic Review Papers and Proceedings, 81, 227-31.\r\n\r\nLao P., Singh H., 2011, Herding Behavior in the Chinese and Indian Stock Markets, Journal of Asian Economics, 22(6), 495-528.\r\n\r\nLeibenstein, H., 1950, Bandwagon, Snob, and Veblen Effects in the Theory of Consumers` Demand, Quarterly Journal of Economics, 64, 183-207.\r\n\r\nLin, Ching Ting., 2008, Do Individual Investors React to Non-informative Events?, University of Delaware.\r\n\r\nLilian Ng and Fei Wu, 2005, The Trading Behavior of Institutions in Chinese Equity Markets, working paper, University of Wisconsin-Milwaukee and University of Massey, New Zealand.\r\n\r\nPeng, L., and Xiong, Wei., 2006, Investor Attention, Overconfidence and Category Learning, Journal of Financial Economics, 80, 563-602.\r\n\r\nScharfstein, S., and Stein, C., 1990, Herd Behavior and Investment, American Economic Review, 80(3), 465-79.\r\n\r\nSeasholes, M., S., and Wu, G., 2007, Predictable Behavior, Profits, and Attention, Journal of Empirical Finance, 14, 590-610.\r\n\r\nShiller, R., 1984, Stock Prices and Social Dynamics, Brookings Papers on Economic Activity, 2, 457-98.\r\n\r\nShleifer, A., 2000, Inefficient Markets- An Introduction to Behavioral Finance, Oxford University Press.\r\n\r\nYuan, Y., 2007, Attention and Trading, working paper, University of Pennsylvania.\r\n\r\nZhou, R.T., and Lai, R.N., 2009, Herding and Information Based Trading, Journal of Empirical Finance, 16, 388-393.zh_TW