臺灣博碩士論文加值系統

個人的心理情緒、風險態度與投資決策之間的關聯，向為行為財務學關切的課題。Barber and Odean(2003)認為投資人於買進、賣出個股時均會受到「注意力(attention)」的影響，並且認為某一個股當天異常交易量特別高時、該股前一日之股票報酬率極高或極低以及該公司之訊息出現在當日報章雜誌上時，都會吸引投資人的注意力，進而誘使投資人去購買該公司的股票。因此不同的訊息提供亦會造成投資人認知調整與決策信念的差異。而過去的研究亦顯示，不同類型投資人的投資行為亦可能不同。
本研究擬採用一般迴歸模型進行橫斷面分析，以釐清各類型投資人是否受到股市特殊現象(例如，異常交易量的多寡、股價的大漲或大跌)或是新聞事件的吸引而產生不同的投資決策。隨後再利用向量自我迴歸模型，進行縱斷面分析，藉以探究各類型投資人面對不同訊息所產生之反應程度以及影響期間。
研究結果發現，投資人進行投資決策時，大均會考慮交易量與前一日股價報酬率，且無論是個別投資人或是三大法人，面對股市交易量及前一日股價報酬時，均會給予前一日股價報酬有較高的權重;然而在衝擊反應分析圖中可觀察出此種表現並不持久。也許是因為投資人強化資訊的重要性，忽略了該資訊的精確度。

The relationship between sentiment, risk attitude and investment decision has been a concerned issue in Behavioral Finance.Barber and Odean(2003) considered that market investors are affected by the attention of information, and the abnormal transation volume, return and news will influence the behaviors of the investors.As a result, the relationship between investors’ cognition adjustment and decision belief will be significant different due to different information provide. Findings of other studies also indicated that the investing confidence difference between institutional investor and individual investors is different.
The research investigates the abnormal presentation in order to analyze the influence of institutional and individual investors. Letter research examines the impact of market information on the investment behaviors of both institutional investors and individual investors in Taiwan security market by .vector autoregression model.
The result of study is found that investors while making the investment decision will consider trading volume and rate of returns of the stock price last day. And they will give higher weights in the rate of returns of the stock price last day. But this kind of behavior does not last in Impulse-responde analysis.Perhaps investors have strengthened the importance of information and resulted in neglecting the accuracy of this information .

第一章 緒論……… ………………………………………………………………… 1
第一節 研究背景與.動機 …………………………………………………… 1
第二節 研究目的………………………………………………………………4
第三節 研究架構………………………………………………………………4
第二章 文獻回顧………………………………………… ………… ………………6
第一節 投資行為偏誤…………………………………………………………6
第二節 個別與機構投資人之投資行為差異…… …………… ……………10
第三節 投資注意力與投資決策…………………… ……………………… 14
第三章 研究設計……………………………………………………………………20
第一節 變數定義、研究範圍及資料來源 …………………………………20
第二節 分析方法 ……………………………………………………………23
第三節 選樣標準…… ……………………………………………………… 29
第四章 實證結果與分析……………………………………………………………31
第一節 資料描述與統計分析………………………………………… …… 31
第二節 複迴歸 …… ………………………… …………………………… 33
第三節 單根檢定與因果檢定………………………………………… …… 37
第四節 向量自我回歸模型之實證結果………… …………………… ……42
第五章 結論與意見…………………………………………………………………57
第一節 研究結論………………………… …………………………… ……57
第二節 研究限制與建議……………………………………………… …… 60

參考文獻…………………………………………………………………………… 61

表 2-1 集中市場成交金額投資人類別比例表……………………………...……15
表 4-1 各變數之敘述統計表...……………………………………………………33
表 4-2 注意力對融資餘額之複迴歸分析...………………………………………34
表 4-3 注意力對三大法人買賣超之複迴歸分析..………………………………35
表 4-4 注意力對外資買賣超之複迴歸分析………………..……………………35
表 4-5 注意力對投信買賣超之複迴歸分析…………………………………..…36
表 4-6 注意力對自營商買賣超之複迴歸分析………………………………..…36
表 4-7 各變數之單根檢定結果表………………………...……….…………..… 38
表 4-8 融資餘額之Granger因果關係檢定結果 ……………………………….. 39
表 4-9 三大法人買賣超之Granger因果關係檢定結果…………………………39
表 4-10 外資買賣超之Granger因果關係檢定結果 ...…………………………..40
表 4-11 投信買賣超之Granger因果關係檢定結果……………………………..41
表 4-12 自營商買賣超之Granger因果關係檢定結果…………………………..41
表 4-13 融資餘額之預測誤差變異數分解………………………………………51
表 4-14 三大法人買賣超之預測誤差變異數分解….....…………………………52
表 4-15 外資買賣超之預測誤差變異數分解…..…..……………………………53
表 4-16 投信買賣超之預測誤差變異數分解……….....…………………………54
表 4-17 自營商買賣超之預測誤差變異數分解……….…………………………55

圖1-1研究架構 …………………………………………………………………...5
圖4-1注意力對融資餘額之衝擊反應分析………………………………………43
圖4-2 注意力對三大法人買賣超之衝擊反應分析………………………………45
圖4-3 注意力對外資買賣超之衝擊反應分析……………………………………46
圖4-4 注意力對投信買賣超之衝擊反應分析……………………………………47
圖4-5 注意力對自營商買賣超之衝擊反應分析…………………………………49

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