臺灣博碩士論文加值系統

根據台灣證券交易所(TWSE)證券統計資料年報顯示，2010年台灣股票市場中散戶投資人交易成交值比重約為68%，外國機構投資人約為18.5%。一般而言，外國機構投資人被視為具有專業分析能力的交易者，散戶投資人則為雜訊交易者。在本文中我們將藉由觀察各類型投資人的交易行為，探討台灣股票市場中不具有資訊內涵的散戶投資人是否會跟隨具有資訊的外國機構投資人的交易行為。
為了瞭解散戶投資人是否有跟隨外國機構投資人的情況，我們在本文中分別使用事件研究法與向量自我迴歸模型(VAR)模型加以分析各類型投資人的交易行為。我們發現，外國機構投資人為正向回饋的動能交易者，本國機構投資人及散戶投資人為反向操作者；然而當發生金融風暴時，外國機構投資人轉變為反向操作者，散戶投資人轉為正向回饋的動能交易者。透過向量迴歸模型，我們發現散戶投資人的交易行為並不會受到前期外國機構投資人交易行為的影響，顯示散戶投資人並未跟隨外國機構投資人的交易行為。

According to Taiwan Stock Exchange Corporation (TWSE), individual investors accounted for 68% trading volume and foreign institutional investors accounted for 18.5% in stock market in 2010. In general, we regard foreign institutional investors as traders with professional analysis abilities. However, we thought individual investors are noise trader. We would like to know whether the individual investors follow foreign institutional investors’ transactions and elaborate their transaction behavior.
In order to understand whether individual investors follow the foreign institutional investors, we used event study and VAR to analyze their transaction behavior. We observed that foreign institutional investors are momentum traders. On contrary, we noticed that domestic institute investors and individuals are contrarian traders. Nevertheless, during financial crisis, foreign institutional investors became contrarian traders and individual turned to momentum traders. Through VAR model, we found that individual did not follow foreign institutional investors.

第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 3
第二章 文獻回顧 5
第一節 台灣股票市場投資人行為 5
第二節 國外股票市場投資人行為 7
第三章 研究樣本與研究方法 9
第一節 研究樣本 9
第二節 投資人交易行為與市場報酬的關係 12
第三節 向量自我迴歸模型及衝擊反應函數 14
第四章 實證分析 16
第一節 投資人交易行為與市場報酬的關係 16
第二節 向量自我迴歸(VAR)模型分析 27
第三節 衝擊反應函數 33
第五章 結論與建議 35
參考文獻 37
附錄 39

中文部分
林盈課、林佳興及林丙輝，2005，”外資於危機事件期間之交易策略與投資績效”，財務金融學刊，13，61-98。
李志宏、周冠男、林秋發及謝育慈，2006，”亞洲金融暴前後外資交易行為與台灣股市互動關係之研究”，證券市場發展季刊，18，47-72

英文部分
Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2007, “Is the Aggregate Investor Reluctant to Realize Losses? Evidence from Taiwan,” European Financial Management, 13, 423-447
Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2009, “Just how much do individual investors lose by trading?” The Review of Financial Studies, 22, 609-632.
Barber, Brad M., 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, 21, 785-818
Chen, Yea-Mow, 2002, “Domestic investors’ herding behavior in reaction to foreign trading”, Working paper, San Francisco State University.
Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, 1999, "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, 54, 227-264.
Dahlquist, Magnus and Goran Robertsson, 2001, “Direct foreign ownership, institutional investors, and firm characteristics,” Journal of Financial Economics, 59, 413-440.
Griffin, John M., Jeffrey H. Harris, and Selim Topaloglu, 2003, ”The dynamics of institutional and individual trading,” Journal of Finance, 58, 2285-2320.
Grinblatt, Mark and Matti Keloharju, 2000, “The investment behavior and performance of various investor types: a study of Finland’s unique data set,” Journal of Financial Economics, 55, 43-67.
Kaniel, Ron, Gideon Saar, and Sheridan Titman, 2008, “Individual Investor Trading and Stock Returns,” Journal of Finance, 63, 273-310.
Lee, Yi-Tsun, Ji-Chai Lin, Yu-Jane Liu, 1999, “Trading Patterns of Big versus Small Players in An Emerging Market: An Empirical Analysis,” Journal of Banking and Finance, 23, 701-725.
Nofsinger, John R., and Richard W. Sias, 1999, “Herding and feedback trading by institutional and individual investors,” Journal of Finance, 54, 2263-2295.