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標題: Number Signals-Trading Behavior of Noise Traders
作者: 王仲毅
Wang, Chung-Yi
關鍵字: Individual investors;個別投資人;emotion;attention;情緒;注意力
出版社: 財務金融系所
引用: 1.龔怡霖, 2001, “行為財務學–文獻回顧與未來發展”, 國立中央大學財務管理研究所碩士論文 2.廖國翔, 2002, “注意力、情緒對投資決策之影響”, 國立政治大學財務管理研究所碩士論文 3.Burton G. Malkiel, 1996, “漫步華爾街”, 天下文化 4.André Kostolany, 2002, “一個投機者的告白”, 商智文化 5.盧育明, 2003, “行為財務學”, 商鼎文化 6.薛求知, 2005, “行為經濟學–理論與應用”, 智勝文化 7.Antweiler, Werner, and Murray Z. Frank, 2001, “Is All that Talk Just Noise: The Information Content of Internet Stock Message Boards.” working paper, University of British Columbia 8.Bhaskaran Swaminathan, 1996, “Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts.” Review of Financial Studies, 9, 845-887 9.Richard H. Thaler, 1999, “The End of Behavioral Finance.” Financial Analysts Journal, 52, 12-17 10.Brad M. Barber, and Terrance Odean, 2001, “All that Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors.” working paper, Graduate School of Management, University of California, Davis 11.Charles M. C. Lee, Andrei Shleifer, and Richard H. Thaler, 1991, “Investor Sentiment and the Close-End Fund Puzzle.” Journal of finance, 46, 75-109 12.David, Peter Lloyd, and Michael Canes, 1978, “Stock Price and the Publication of Second-Hand Information.” Journal of Business, 43-55 13.David M. Cutler, James M. Poterba, and Lawrance H. Summers, 1989, “What Moves Stock Prices?” Journal of Portfolio Management, Spring 1989, 4-12 14.Fischer Black, 1986, “Noise.” Journal of Finance, 41, 529-543 15.Hersh Shefrin, and Meir Statman, 1994, “Behavioral Capital Asset Pricing Theory.” Journal of finance and Quantitative Analysis, 29, 323-349 16.J. Bradford, De Long, Andrei Shleifer, Lawrance H. Summers, and Robert J. Waldmann, 1990a, “Noise Trader Risk in Financial Markets.” Journal of Political Economy, 98, 703-738 17.J. Bradford, De Long, Andrei Shleifer, Lawrance H. Summers, and Robert J. Waldmann, 1990b, “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance, 45, 379-395 18.Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, “Investor Psychology and Security Market Under- and Overreactions.” Journal of Finance, 53, 1839-1885 19.Kenneth L Fisher, and Meir Statman, 2000, “Investor Sentiment and Stock Returns.” Financial Analysts Journal, 56, 16-23 20.Martin E. Zweig, 1973, “An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums.” Journal of finance, 28, 67-78 21.Michael E. Solt and Meir Statman, 1988, “How Useful Is the Sentiment Index?” Financial Analysts Journal, 44, 45-55 22.Nai-Fu Chen, Raymond Kan, and Merton H. Miller, 1993, “Are the Discounts on Closed-End Funds a Sentiment Index?” Journal of finance, 48, 795-800
In Taiwan, individual investors are major traders of stock market. Emotions and preferences of individual investors affect not only their trading strategies, but also the aggregate stock prices. This research tries to find the preferences of individual investors in choosing investing targets, and examines if Taiwan Stock Index Futures which individual investors prefer to trade could be the indicator which forecasts the trend of Taiwan Stock Index. Finally, this research examines how successive trading behavior of foreign investors affects trading strategies of individual investors.
Empirical results show that: First, individual investors usually prefer small stocks and low-price stocks. When the prices of high-price stocks are high enough to attract the attention of individual investors, individual investors turn to prefer high-price stocks. Second, there is a weak relationship between the price of Taiwan Stock Index Futures used to be regarded as a leading indicator and real rate of return of Taiwan Stock Index in the future. It is possible that the change of price of Taiwan Stock Index Futures just reflects the rate of return of Taiwan Stock Index and the emotions of individual investors on that day. Third, the termination of successive trading behavior of foreign investors is regarded as a signal of trend-reversing by individual investors. This will affect the rate of return of stock index. The longer the successive trading days, the stronger the effect.

其他識別: U0005-2806200621084500
Appears in Collections:財務金融學系所

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