臺灣博碩士論文加值系統

本研究之目的在探討台灣股票市場上外資、個別投資人、投信及基金、自營商等四類投資人的交易行為是否可被在行為財務學的相關文獻中定義的各種不同價格基礎的交易策略所解釋及他們的交易策略是否參考樣本公司的基本面來作決策，並以投資人對過去六個月之內的對數報酬所產生的行為為觀察重點。
實證顯示研究期間內，外資、個別投資人、投信及基金及自營商皆為採行動能交易策略(即當過去的價格上漲時就買，下跌時就賣)，且不因樣本公司的年成交量、年底市值及產業別而有不同，惟外資對電子股及大型股、成交量大的股票較有採取實行動能策略的傾向，個別投資人、投信及基金、自營商則對傳統產業股較傾向實行動能策略。當評估投資人考量未預期盈餘與過去盈餘的相對同方向下，外資、個別投資人、投信及基金的交易行為不能明顯看出受未預期盈餘的影響，惟自營商則是當發現公司有未預期盈餘時，將會加碼買進。且當考量未來四年盈餘之算術平均成長率時，自營商更顯著地依上述方向來操作。

This study is to evaluate if the trade behaviors of various type of investors in Taiwan can be explained by the various price-based trading strategies defined in the recent literature in behavior finance and evaluate if certain investor type is implementing the Sophisticated Technical Trading Strategy that also takes into account the relative price momentum to earnings.
Our study focuses on trading behavior generated by returns up to six months in the past. The results show that foreign traders, mutual funds, domestic security firms, and individual investors all tended to be momentum traders irrespective of firm size, industry, and trade volume. Foreign traders seem to show more significant momentum trading in the electronic stocks and stocks with larger capitalization and trade volume. On the other hand, mutual funds, domestic security firms, and individual investors seem to indicate more significant momentum trading in the traditional industry stocks.
As regards the Sophisticated Technical Trading in which investors consider the relative consistency of earning surprise and past price return, our results show that only domestic security firms is implementing the Sophisticated Technical Trading Strategy.

目 錄


謝辭
摘要
圖目錄 iii
表目錄 v
第一章 緒論 1
1.1 研究動機與背景 1
1.2 研究目的 5
第二章 文獻探討 8
2.1 過度反應與遲延反應 8
2.2 檢驗投資人遲延反應或過度反應的模型 11
2.3 價格基礎的交易策略 15
第三章 研究方法 20
3.1 資料來源與選樣標準 20
3.2 實驗設計與實證模式 21
3.2.1 動能交易與與逆向操作策略交易 23
3.2.2 技術-基本分析組合交易 28
第四章 實證結果與分析 32
4.1 ordered probit模型實證 32
4.2 Grinblatt et al. (2000)模型的實證 35
4.3 平均交易量結果分析 35
4.4 技術-基本分析組合交易實證結果 38
第五章 結論與建議 40
5.1 研究結論 40
5.2 研究貢獻 42
5.3 研究限制 42
5.4 研究建議 43
參考文獻 69
作者自述

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