臺灣博碩士論文加值系統

本文以台灣50指數成份股為樣本，探討投資人情緒對波動度之衝擊。本文以市場週轉率、三大法人買賣超比、散戶買賣比率做為市場情緒指標，檢定投資者的情緒因子是否能解釋市場波動度。本研究並將情緒指標分為預期及非預期部分，以釐清影響股市波動性的真正因素。除此，本研究檢驗不對稱波動度效應的衝擊以及機構投資人情緒指標和波動度的關係是否因報酬上升或下降而有不同。本研究並進一步探討投資人的從眾行為及回饋策略是否會因不同投資人結構而異。
實證發現在機構法人中，只有外資屬於資訊交易者，外資不管上漲日或下跌日買入股票均有穩定市場的作用，但賣單則否。外資非預期交易對波動度的衝擊較預期交易來得顯著。相反地，投信與自營商則不具穩定股市的效果：投信賣單對波動度的正向衝擊主要來自於預期交易；而自營商非預期買單及賣單均會導致波動度提高，顯示自營商可能是雜訊交易者。至於散戶，其預期買單會對波動度產生負向衝擊，散戶在上漲日買入股票，或在下跌日賣出股票則具有顯著降低市場波動度的作用。整體而言，本研究發現機構投資人在下跌日賣出股票將提升市場波動度，顯示機構投資人可能會因流動性因素及非資訊考量而賣出股票。
除此，本研究發現台灣證券市場存在波動度不對稱效果。在納入未預期報酬的衝擊後，投資情緒指標與波動度的關係並未有所不同。機構投資人在台灣證券市場具有從眾行為，而散戶不具有從眾行為。機構投資人只有投信具有正向回饋交易，外資及自營商則具反向回饋交易。此外，不論是機構投資人還是散戶皆具有串流效應。最後，本文根據上述研究發現提出實證意涵, 並對學術界及實務界提出建議，並作為未來研究的參考。

This paper examines the impact of investor sentiment on stock price volatility by using the sample of the Taiwan 50 Index constituents. Different measures are used as proxies of market sentiment, including investors’ buys, sells and buy-sell imbalances. Furthermore, this paper investigates whether unexpected institutional buys play a more important role in stabilizing stock prices and examines whether price volatiliy realtes to investors’ buys and sells differently on high and low return days.

The empirical result shows that among three-type institutional investors, only foreign investors are informed in the retail investor dominated emerging Taiwan stock market. In addition, foreign investors’ buy orders convey more information than do their sell orders. Conversely, other institutional investors are driven more by liquidity need and noninfomrational consideration. Most noticeably of all, retail investors’ trading tends to be negatively associated with stock price volatility, indicating that retail investors may be informed.

This study also demonstrated that the Taiwan stock market exists the volatility asymmetry effect and that institutional investors herd in their contemporaneous but do not systematically engage in positive-feedback trading. On the other hand, retail investors do not show herding behavior and do not engage in positive feedback trading and/or negative feedback trading. We also find all investors have cascading effects. This paper provides further insight in empirical studies.

中文摘要 II
Abstract III
目 次 IV
表 次 VI
圖 次 VII
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 研究架構 4
第二章 台灣證券市場之介紹 6
第一節 台灣證券市場現況 6
第二節 台灣股市投資人類別的交易比重 8
第三節　機構投資人之介紹 9
一、外國機構投資人 9
二、本國機構投資人 12
第四節　台灣50指數成份股介紹 13
第三章 文獻探討 16
第一節　波動度衡量 16
第二節 市場情緒指標 18
第三節 波動度與交易量的關係 19
第四節 波動度與投資人持股的關係 20
一、理論模型 20
二、波動度與機構投資人持股關係的實證 22
三、波動度與散戶投資人持股關係的實證 26
第五節 當期波動度與報酬反向與不對稱關係的實證 29
第四章 研究設計 31
第一節 研究來源 31
第二節 變數操作性定義 32
一、報酬率 32
二、波動度 32
三、機構投資人情緒指標 32
四、散戶投資人情緒指標 33
五、週轉率 34
第三節 單根檢定 35
第四節 模型設定與選取 36
一、SUR加權之GLS估計與最小平方法估計式之選取 36
二、固定效果模型與最小平方法估計式之選取 36
三、隨機效果模型與最小平方法估計式之選取 37
四、Hausman檢定 37
第五節 研究問題與假設 39
一、當期波動度與投資人情緒指標之關聯 39
二、當期波動度與預期/非預期投資人情緒指標之關聯 40
三、當期波動度與報酬之關聯 40
四、波動度與投資人情緒指標與股市多空之關聯 40
五、波動度、從眾效應、回饋交易與串流效應之關聯性 41
第六節 研究方法與模型定義 42
一、檢驗當期波動度與投資人情緒指標之關聯 42
二、檢驗當期波動度與預期/非預期投資人情緒指標之關聯 43
三、檢驗當期波動度與報酬之關聯 44
四、檢驗波動度與投資人情緒指標與股市多空之關聯 45
五、檢驗投資人從眾效應、回饋交易與串流效應 48
第五章 實證分析與結果 50
第一節 敍述統計及單根檢定 50
第二節 相關分析 53
第三節 當期波動度與投資人情緒指標關聯之實證結果 55
第四節 當期波動度與預期/非預期投資人情緒指標之關聯實證結果 58
第五節 當期波動度與報酬關聯之實證結果 60
第六節 波動度與投資人情緒指標與股市多空關聯之實證結果 63
第七節 從眾效應、回饋交易與串流效應之實證結果 67
第六章 研究結論與建議 73
第一節 研究結論 73
第二節 實證意涵 75
第三節 研究貢獻 75
第四節 研究限制 76
參考文獻 77

中文部份：

王牲，1995，「報酬衝擊對條件波動所造成之不對稱效果－台灣股票市場之實證分析」，證券市場發展季刊，第7卷第1期，125-160。
王升建，2009，「外資券商在台灣投資行為研究」，世新大學管理學院財務金融研究所碩士論文。
王甡，1995，「證券融資與融券量變動對股市波動之影響分析」，證券金融，57 -
84。
方喜信，1994，「股市當日沖銷對股價影響之研究」，國立中興大學（台北）企業管理研究所碩士論文。
林晏竹，1996，「台灣散戶投資人情緒對股票報酬的影響」，國立政治大學財務管理研究所碩士論文。
林立綱，2004，「以外資買賣資訊為投資依據之績效評估」，中山大學財務管理學系研究所碩士論文。
李岳桓，2000，「融資融券餘額、成交量對股價報酬率影響之研究」，國立台北大學企業管理研究所碩士論文。
周賓凰、張宇志、林美珍，2007，「投資人情緒與股票報酬互動關係」，證券市場發展季刊，第19卷第2期，153-190。
江佳翰，2009，「台灣股市外資法人高價股從眾行為之研究」，國立雲林科技大學財務金融系碩士論文。
許秋瑾，1999，「信用交易資券相抵實施對股市之影響」，國立中央大學企業管理研究所碩士論文。
許銘傑，2002，「市場情緒與基本面對短期股價影響之比較」，政治大學國際貿易研究所碩士論文。
許溪南、郭玟秀、鄭乃誠，2005，「投資人情緒與股價報酬波動之互動關係：台灣股市之實證」，台灣金融財務季刊，第6卷第3期，107-121。
陳俊男 (2005)，「信用交易指標、投資策略與股價超額報酬之關係」，行政院國家科學委員會專題研究計畫之成果報告。
畢祖明，1995，「證券交易當日沖銷之評估與實證研究」，國立中山大學財務管理所碩士論文。
張瑞真、陳益璋，2007，「融券放空政策對台灣50指數波動性影響-GARCH模型應用」，遠東學報第24卷第4期，315-329。
劉玉珍、王錦瑩、林晏竹，2007，「散戶情緒與股票報酬:台灣股市實證研究」，行為財務學暨新興市場理論與實務研討會。
游智賢、姚瑜忠，2000，「台灣共同基金操作策略之研究」，財務金融學刊，第8卷第2期，49-76。
游智賢、陳獻儀、楊淑玲，2006，「交易強度、機構持股與機構投資人之交易行為」，財務金融學刊，第14卷第2期， 41-72。
黃興檸，1998，「融資融券餘變動對股價報酬影響之研究－以電子類股為例」，國立中興大學企業管理研究所碩士論文。
雷勇洲，1997，「機構投資者:交易策略與市場衝擊」，國立中正大學財務金融研究所碩士論文。
鄭高輯、林泉源（2010），「投資人情緒對投機型股票報酬之關係」，商略學報，第2卷，第1期，021-035。
楊永富，2008，「台灣證券市場從眾行為實證檢視：整體股票市場和產業觀點」，
長榮大學經營管理研究所碩士論文。
楊維永，2001，「機構投資人投資行為互動關係之探討」，中山大學財務管理學系研究所碩士論文。
謝青良，1995，「信用交易資券相抵實施對證券市場流動性、波動性、成交量及尾盤價格之影響」，國立中正大學財務金融研究所碩士論文。
蘇鵲翎，2000，「散戶與法人投資行為對股票報酬率與週轉率影響之探討－以台
灣上市電子股為例」，台灣大學財務金融研究所碩士論文。
蕭朝興、陳馨蕙、黃俊凱 (2009)，「台灣機構投資人動態調整持股偏好之探討」，台灣科技大學管理新思維學術研討會。

英文部份：

Abraham, A.and D.L. Ikenberry (1994),“The individual investor and the
weekend effect,” Journal of Financial and Quantitative Analysis 29, 263—277.
Alizadeh, S., M.W. Brandt and F.X. Diebold (2002), “ Range-Based Estimation of
Stochastic Volatility Models: Exchange Rate Dynamics are More Interesting
Than You Think, ” Journal of Finance 57, 1047-1091.
Andersen, T. G.and T. Bollerslev (1998), “Answering the skeptics:yes,standard volatility models do provide accurate forecasts,” International Economic Review 39,885-905.
Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens (2001), “The
Distribution of Realized Stock Return Volatility,” Journal of Financial
Economics 61, 43-76.
Avramov, D., T. and A. G. Chordia (2006), “The impact of trades on daily volatility,”Review of Financial Studies 20, 1241–1277.
Badrinath, S.G., J. R. Kale and T. Noe (1995), “Of Shepherds, Sheep,
and The Cross-Autocorrelations in Equity Returns,” The Review of
Financial Studies 8, 401-430.
Badrinath, S.G., and S. Wahal (2002), “Momentum Trading by Institutions,” Journal of Finance 57, 2449-2478.
Baker, M. and J. Wurgler (2000),“The equity share in new issues and
aggregate stock returns,” Journal of Finance 55, 2219-2257.
Baker, Malcolm and Jeremy C. Stein, (2002), “Market liquidity as a sentiment indicator,” Working paper, Harvard Business School, Harvard Economics Department and NBER.
Barber,B.M.,Y.T.Lee, Y.J.Liu and T.Odean (2004),“Do individual day traders make money,” Working Paper, National Chengchi University.
Barber,B.M.,T.Ordean and N.Zhu (2006),“Do noise traders move market?,” Unpublished Working Paper, University of California.
Barberis, N., A. Shleifer, and R. Vishny (1998), “A Model of Investor Sentiment,” Journal of Finance 49, 307-43.
Beber, A., M. W. Brandt and K. A. Kavajecz (2009) “Flight-to-quality or flight-to-liquidity? Evidence from the Euro-area bond market,” Review of Financial 　　Studies 22,926–957.
Bekaert, G. and G. Wu (2000), “Asymmetric volatility and risk in equity markets,” Review of Financial Studies 13, 1-42.
Bessembinder, H. amd P. Seguin (1992), “Futures trading activity and stock price volatility,” Journal of Finance 47, 2015–2034.
Bikhchandani, S., D. Hirshleifer and I. Welch (1992), “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades,” Journal of Political Economy 100, 992-1026.
Bikhchandani, S. and S. Sharma (2001), “Herd Behavior in Financial Markets, Staff Papers,“ International Monetary Fund 47, 279-310.
Black, F. and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, 637-659.
Black, F. (1976), “Studies in Stock Price Volatility Changes, ” Proceedings of the American Statistical Association Business and Economics Studies Section, 177-181.
Bohl, M.T. and J. Brzeszczynski (2006), “Do institutional investors destabilize stock prices? Evidence from an emerging market,” Journal of International Financial Markets, Institutions & Money 16, 370–383.
Bollerslev (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics 31, 307-327.
Borensztein, E. and R. G. Gelos (2003), “A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds, Staff Papers,” International Monetary Fund, 50, 43-63.
Brandt, M.W. and C.S. Jones (2002), “ Volatility Forecasting with Ranged-Based
EGARCH Models, ” Working paper, University of Pennsylvania, USA.
Brailsford, T. J. (1995),“Market Closures and Time-varying Volatility in the Australian Equity Market,”Journal of Empirical Finance 2, 165-172.
Brunetti, C. and P.M. Lildholdt (2002), “ Return-Based and Range-Based
(Co)Variance Estimation - With an Application to Foreign Exchange Markets,”
Working Paper, University of Pennsylvania.
Bushee, B. (2001), “Do Institutional Investors Prefer Near-Term Earnings over Long-Rule Value?” Contemporary Accounting Research 18, 207-246.
Busse, J. (1999),“Volatility timing in mutual funds: evidence from daily returns,” Review of Financial Studies 12, 1009–1041.
Cai, F. and L. Zheng (2004), “Institutional trading and stock returns,” Finance Research Letters 1, 178–189.
Campbell, J. Y., S. J. Grossman and J. Wang (1994), “Trading volume and serial
correlation in stock returns,” Quarterly Journal of Economics 108, 905-939.
Chang E. C., J. W. Cheng and A. Khorana (2000), “An examination of herd behavior in
equity markets: An international perspective,” Journal of Banking & Finance 24,
1651-1679.
Chan, K.C., L. T. W. Cheng and P. P. Lung (2003),“Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HIS options,” Pacific-Basin Finance Journal 11, 527-553.
Chan, K. and W. Fong (2000), “Trade size, order imbalance, and the volatility–volume relation,” Journal of Financial Economics 57, 247–273.
Chan, L. K. C. and J. Lakonishok (1995), “The Behavior of Stock Prices Around
Institutional Trades,” Journal of Finance 50, 1147-1174.
Chiao, C. and K. I. Lin (2004), “The Informative Content of the Net Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market,” Review of Pacific Basin Financial Markets and Policies 7, 259-288.
Choe, H., R. Kho and R. M. Stulz (1999), “Do Foreign Investors Destabilize Stock Markets?The Korea Experience in 1997,” Journal of Financial Economics 54, 227-264.
Choe, H., B. Kho and R. M. Stulz (2001), “Do domerstic investors have more valuable information about individual stocks than foreign investors?” Working paper,National Bureau of Economic Research,Inc.
Chopra, N., C. M. C. Lee, A. Shleifer and R. H. Thaler (1993), “Yes
discounts on closed-end funds are a sentiment index,” Journal of Finance 48,801-808.
Chordia, T. and B. Swaminathan (2000), “Trading Volume and Cross Autocorrelations in stock return,” Journal of Finance 55, 913-935.
Chou, H.C. and D. Wang (2007), “ Forecasting Volatility on the U.K. Stock
Market: A Test of the Conditional Autoregressive Range Model, ” International
Research Journal of Finance & Economics l, 7-13.
Chou, R.Y. (2005), “ Forecasting Financial Volatilities with Extreme Values: The
Conditional Autoregressive Range (CARR) Model, ” Journal of Money, Credit,
and Banking 37,561-582.
Chordia, T., R. Roll and A. Subrahmanyam (2002), “Order imbalance, liquidity, and
market returns,” Journal of Financial Economics 65, 111-130.
Chordia, T. and A. Subrahmanyam (2004), “Order imbalance and individual stock
returns: theory and evidence,” Journal of Financial Economics 72, 485-518.
Christie, A. (1982), “The Stochastic Behavior of Common Stock Variance：
Value, Leverage and Interest Rate Effects,” Journal of Financial Economics 10, 407-432.
Cooper, M. (1999), “Filter rules based on price and volume in individual security
overreaction,” The Review of Financial Studies 12, 901-935.
Cooper, M., R. C. Gutierrez Jr., and A. Hameed (2004), “Market states and momentum,”
Journal of Finance 59, 1345–1365.
Coval, J., Stafford, E. (2007), “Asset fire sales (and purchases) in equity markets,”
Journal of Financial Economics 86, 479–512.
Culter, D., Poterba, J., Summers, L. (1990),“Speculative dynamics and the role of
feedback traders,” American Economic Review 80, 63-68.
Daniel, K. D., D. Hirshleifer, and A. Subrahmanyam (1998), “Investor Psychology and Security Market Under- and Over-Reactions,” Journal of Finance 53, 1839-1886
Dahlquist, M.and G. Robertson (2001), “Direct foreign ownership,institutional investors,and firm characteristics,” Journal of Financial Economics 59,413-440.
Davidson, W. N., J. K. Kim, E. Ors, A. Szakmary (2001),“Using implied volatility on options to measure the relation between assert returns and variability,” Journal of Banking and Finance 25, 1245-1269
DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann (1990),“Noise trader
risk in financial markets,” Journal of Political Economy 98, 703-738.
DeLong, J. B., A. Shleifer, L.H. Summers, and R.J. Waldmann (1990), “Positive
Feedback Investment Strategies and Destabilizing Rational Speculation,”
Journal of Finance 45, 379-395
DeLong, J. Bradford and A. Shleifer (1991), “The stock market bubble of 1929:
Evidence from closed-end funds,” Journal of Economic History 52, 675-700.
Edelen, R., and J. Warner (2001), “Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns,” Journal of Financial Economics 59, 195-220.
Elton, Edwin J., M. J. Gruber and J. A. Busse (1998), “Do investors care about sentiment,” Journal of Business 71, 477-500.
Engle (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of theVariance of the United Kingdom Inflation,” Journal of Business and Economics Statistics 9,27-39.
Fleming, J., B. Ostdiek , R. E.Whaley (1995), “Predicting stock market volatility:a new measure,” Journal of Futures Markets 15, 265-302.
Friedman, M. (1953),“The case for flexible exchange rate,” In: Friedman, M.(Ed.), Essays in Positive Economics. University of Chicago Press, Chicago, IL.
French, K., and R. Roll (1986),“Stock-return variances:the arrival of information and the reaction of traders,”Journal of Financial Economics 17, 5-26.
French, K.R., G. W. Schwert, R. F. Stambaugh (1987), “Expected stock returns and volatility,” Journal of Financial Economics 19, 3-29.
Gervais, S., R. Kaniel and D. H. Mingelgrin (2001), “The high-volume return premium,” Journal of Finance 56, 877-919.
Gompers, P. A., and A. Metrick (2001), “Institutional Investors and Equity Prices,” Quarterly Journal of Economics 116,229-259.
Gopinath S., and C. Krishnamurti (2001),“Number of transactions and
volatility: An empirical study using high-frequency data from Nasdaq
stocks,” Journal of Financial Research 24,205-218.
Griffin, J., J. Harris, and S. Topaloglu (2003), “The dynamics of institutional and individual trading” Journal of Finance 58, 2285–2320.
Grinblatt, M. and M. Keloharju (2001), “What makes investors trade?” Journal of Finance 56,589-616.
Hamao, Y. and J. Mei (2001), “Living with the “Enemy”: An Analysis of Foreign Investment in the Japanese Equity Market,” Journal of International Money and Finance 20, 715-735.
Hameed, A. and Y. Kusnadi (2002), “Momentum Strategies: Evidence from Pacific Basin Stock Markets,” Journal of Financial Research 25, 383-397.
Harvey, C. and R. Whaley (1992), “Market Volatility prediction and the efficiency of the S&P100 index option market,” Journal of Financial Economics 31,43-74.
Hellwig, M. (1980), “On the aggregation of information in competitive markets,” Journal of Economic Theory 22, 477-498.
Heston, S. L. (1993), “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Option,” Review of Financial Studies 6, 327-343
Hirshleifer, D., A. Subrahmanyam and S. Titman (1994), “Security analysis and trading patterns when some investors receive information before others,” Journal of Finance 49, 1665–1698.
Hirshleifer, D. and T. Shumway (2003), “Good day sunshine: Stock returns
and The weather,” Journal of Finance 58, 1009-1032.
Hodrick, L., and P. Moulton (2007),“Liquidity: considerations of a portfolio manager,” Working paper.
Hong, H. and J. C. Stein (1999), “A Unified Theory of Underreaction, Momentum Trading,and Overreaction in Asset Markets,” Journal of Financ, 54, 2143-2184.
Huang, B. N. (2000), “Impact of Domestic Investment Companies, Registered Trading Firms and Foreign Institutional Investors on the Taiwan Stock Exchange after the Financial Market Liberalization,” working paper, National Chung Cheng University.
Hughen, J. C. and C. G. McDonald (2005), “Who are the noise traders?”The Journal of Financial Research 28, 281-298.
Jones﹐C. M., G. Kaul and M. L. Lipson (1994), “Transactions,volume and volatility,”Review of Financial Studies ,7, 631-51.
Jones, S. L. and D. B. Winters (1999), “Delayed Reaction in Stocks with the Characteristics of Past Winners:Implications for Momentum, Value, and Institutional Following,” Quarterly Journal of Business and Economics 38, 21-39.
Kahneman, D. and A. Tversky (1979), “Prospect theory：An analysis of decision under risk,” Econometrica 47, 263-291.
Kamstra, Mark J., L. A. Kramer and M. D. Levi (2000), “Losing sleep at the market:The daylight saving anomaly,” American Economic Review 90, 1005-1011.
Kang, J. K. and R. M. Stulz (1997), “Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan,” Journal of Financial Economics 46, 2-28.
Kaniel, R., G. Saar and S. Titman (2004), “Individual investor sentiment and stock returns,” Journal of Banking & Finance 26, 2277-2299.
Kaniel, R., G. Saar and S.Titman (2008),“Individual investor trading and stock returns,” Journal of Finance 63, 273-310.
Karolyi, A. (2002), “Did the Asian financial crisis scare foreign investors out of Japan?” Pacific Basin Finance Journal 10, 411-442
Kaul, A. and B. Phillips (2008), “Economic conditions, flight to quality and mutual fund flows,” Working paper, University of Alberta.
Keim, D., and A. Madhavan (1996), “The upstairs market for large-block transactions: analysis and measurement of price effects,” Review of Financial Studies 9, 1-36.
Kim, J., A. Kartsaklas, M. Karanasos (2005),“The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997,”Asia-Pacific Finan. Markets 12, 245-271.
Kraus, A., and H. Stoll (1972), “Price impacts of block trading on the New York Stock Exchange,” Journal of Finance 27, 569-588.
Koutmos, G., U. Lee and P. Theodossiou (1994), “Time-varying Betas and Volatility Persistene in International Stock Markets, ” Journal of Economics and Business 46, 101-112.
Koutmos, G. (1998), “Asymmetries in the Condiional Mean and the Conditional Variance：Evidence from Nine Stock Markets,” Journal of Economics and Business 50, 277-290.
Kumar, A. and C. M. C. Lee (2006),“Retail investor sentiment and return comovements,”Journal of Finance,61,2451-2486.
Lakonishok, J. and E. Maberly (1990), “The Weekend effect: Trading patterns of
individual and institutional investors,” Journal of Finance 45, 231-243.
Lakonishok, J., A. Shleifer and R. Vishny (1992), “The impact of institutional trading on stock prices,”Journal of Financial Economics 32, 23–43.
Lee, S.B. and T. Y. Yoo (1991), “Margin regulation and stock market response further evidence from the U.S.and some pacific-basin countries,”Journal of Financial Economics 1,79-99
Lee, C. M. C. and B. Swaminathan (2000), “Price momentum and trading volume,” Journal of Finance 55, 2017-2069.
Levin, A., C. F. Lin, and C. S. Chu (2002),“Unit Root Tests in Panel Data:Asymptotic and Finite-sample Properties,” Journal of Econometrics 108 ,1-24.
Lipson, M. and A. Puckett (2007), “Institutional trading during extreme market movements,” Working paper, University of Georgia.
Li, W. and S. S. Wang (2010),“Daily institutional trades and stock price volatility in a retail investor dominated emerging market,”Journal of Financial Markets 13,448-474.
Longstaff, F. A. (2004), “The flight-to-liquidity premium in U.S. treasury bond prices,” Journal of Business 77,511–526.
Neal, R. and S. M. Wheatley (1998), “Do measures of investor sentiment
predict returns,” Journal of Financial and Quantitative Analysis 33, 523-547.
Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns：A New Approach, ” Econometrica 59, 347-370.
Nofsinger, J. R. and R.W. Sias (1999),“Herding and Feedback Trading by Institutional and Individual Investors,” Journal of Finance 54, 2263-2295.
O’Hara, M. (1995), “Market Microstructure Theory,”Cambridge, MA: basil Blackwell.
Schwert, W. G. (1990),“Stock Volatiliy and the Crash of ’87,” The Review of Financial Studies 3, 77-102.
Parkinson, M. (1980), “The extreme value method for estimating the variance of the rate of return,” Journal of Business 53, 61–65.
Pirinsky, C. and Q.Wang (2004), “Institutional investors and the comovement of equity prices,” Working Paper,Texas A&M University.
Poon, S. H. and C.W. J. Granger (2003), “Forecasting volatility in financial markets: A review” Journal of Economic Literature 41, 478-539.
Saar, G. (2001), “Price impact asymmetry of block traders: an institutional trading explanation,” Review of Financial Studies 14, 1153–1181.
Saunders, E. M. J. (1993), “Stock prices and Wall Street weather,”The American
Economic Review 83, 1337-1345.
Scholes, M. (1972), “The market for securities: substitution versus price pressure and the effects of information on share price,” Journal of Business 45, 179–211.
Sellin, P. (1996), “Inviting Excess Volatility? Opening Up a Small Stock Market to
International Investors,” Scandinavian Journal of Economics 98, 603-612
Shleifer, A. (1986),“Do Demand Curves for Stocks Slope Down,” Journal of
Finance 41,579-590.
Shleifer, A. and R. W. Vishny (1997),“The limits of arbitrage,”Journal of Finance 52, 35-55.
Simon, D.P. (1997), “Implied volatility asymmetries in treasury bond futures options,” Journal of Futures Markets 17(8), 873-885.
Simon D. and R. Wiggins (2001), “S&P Futures and Contrary Sentiment
Indicators,” Journal of Futures Market 21,447-462.
Tauchen, G. and M. Pitts (1983), “The price variability–volume relation on speculative markets,” Econometrica 51, 485–506.
Titman, S., K. C. J. Wei and T. Yamada (2004), “Stock holding preference and
performance by different types of investors,” Working Paper.
Vayanos, D. (2004), “Flight to quality, flight to liquidity, and the pricing of risk,” NBER Working Paper, No 10327.
Walther, B. (1997), “Investor Sophistication and Market Earnings Expectations,” Journal of Accounting Research 35, 157-179.
Wang, J. (1993),“A model of intertemporal asset prices under asymmetric information,”Review of Economic Studies 60, 249-282.
Wang, J. (1994),“A model of competitive stock trading volume,”Journal of Political Economy 102, 127-168.
Wang, J. (2007), “Foreign equity trading and emerging market volatility: evidence from Indonesia and Thailand,” Journal of Development Economics 84,798–811.
Wermers, R. (1999),“Mutual fund herding and the impact on stock prices,” Journal of Finance 54, 581-622.
Whaley, R. E. (2000), “The Investor Fear Gauge,” Journal of Portfolio Management
26, 12-17.
Wiggins, J. B. (1987), “Option Values under Stochastic Volatility: Theory and Empirical Estimates,” Journal of Financial Economics 19, 351-372.
Yan, X. and Z. Zhang (2009),“Institutional investors and equity returns: are short-term institutions better informed?” Review of Financial Studies 22, 893–924.