Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23394
標題: Does Positive-feedback trading by institutional investors contribute to momentum effect in Taiwan
機構投資人正回饋交易與動能效果於台灣股市之實證研究
作者: 黃翌彰
Huang, Yi-Chang
關鍵字: institutional investor;機構投資人;stock market;positive-feedback trading;holding period;股票市場;正向回饋交易;持有期
出版社: 財務金融系所
引用: 參考文獻 中文部份 許勝吉,1999,「台灣股市追漲殺跌策略與反向策略之實證分析比較」,未出版碩士論文,輔仁大學管理研究所 游奕琪,2000,「台灣股市產業與價格動能策略關聯性之實證研究」,未出版碩士論文,政治大學財務管理研究所 謝政能,1990,「台灣股票市場過度反應之研究」,未出版碩士論文,中山大學財務管理研究所 謝朝顯,1994,「追漲殺跌投資策略之實證研究-台灣股市效率性之再檢定」,未出版碩士論文,台灣大學財務金融研究所 英文部份 Brunnermeier, Markus K., and Stefan Nagel, 2004, Hedge funds and the technology bubble, Journal of Finance 59, 2013-2040. Chakravarty, Sugato, 2001, Stealth-trading: Which traders'' trades move stock prices? Journal of Financial Economics 61, 289-307. Chan, Louis K.C, Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1713. Chan, Louis K.C, and Josef Lakonishok, 1995, The behavior of stock prices around institutional trades, Journal of Finance 50, 1147-1174. Choe, Hyuk, Bong-Chan Kho, and Rene M. Stulz, 1999, Do foreign investors destabilize stock market? The Korean experience in 1997, Journal of Financial Economics 54 227-264. Close, N., 1975, Price Reaction to Large Transactions in the Canadian Equity Markets, Financial Analysts Journal 31, 50-57. Cohen, Randolph, Paul A. Gompers, and Tuomo Vuolteenaho, 2002, Who underreacts to cash-flow news? Evidence from trading between individuals and institutions, Journal of Financial Economics 66, 409-462. Daniel, Kent, and Sheridan Titman, 1999, Market efficiency in an irrational world, Fi- nancial Analysts Journal 55, 28-40. DeLong, Bradford J., Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, Journal of Finance 45, 379-395. Fama, Eugene F., and James Macbeth, 1973, Risk return and equilibrium:empirical test,Journal of Political Economy,81,607-636. Fama, Eugene F., and Kenneth R.French, 1992, The cross-section of expected stock returns,Journal of Finance 47,427-465. Fama, Eugene F., and Kenneth R.French, 1995, Size and book-to-market factors in earnings and returns,Journal of Finance 50,131-155. Harris, Lawrence, and Eitan Gruel, 1986, Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures, Journal of Finance, 41, 815-830. Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad news travels slowly: Size, Analyst coverage and the profitability of momentum strategies, Journal of Finance 55,265-295. Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, 2143-2184. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91. Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720. Kraus, A. and Stoll, H.R., 1972, Price Impacts of Block Trading on the New York Stock Exchange, Journal of Finance 27, 569-588. Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1992, The impact of institutional trading on stock prices, Journal of Financial Economics 32, 23-43. Nofsinger, John R., and Richard W. Sias, 1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54, 2263-2295. Reilly, F.K. and D.J. Wright, 1984, Block Trading and Aggregate Stock Price Volatility, Financial Analysts Journal, Mar.-Apr, pp. 54-60. Scholes, M.S., 1972, The Market for Securities: Substitution versus Price-Pressure and the Effects of Information and Share Price, Journal of Business 45, 179-211. Shleifer, A., 1986, Do Demand Curves for Stocks Slope Down, Journal of Finance 41, 579-590. Tao Shu, 2006, Does Positive-Feedback Trading By Institutions Contribute to Stock Return Momentum, Working Paper, University of Texas at Austin. Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-622.
摘要: 
近年來,在台灣股市中,由於三大法人的成交比重逐年上升,代表機構投資人對於股票市場的影響與日俱增,而在市場上我們亦觀察到機構投資人的交易行為及買賣動向皆左右著市場行情的波動,因此關於機構投資人交易行為對於股票市場的影響就顯得相當重要。而關於機構投資人的交易行為,在學術上有所謂的「正回饋交易行為」,簡單地說即為機構投資人的動能交易行為,而本文即為探討機構投資人正回饋交易行為對於股票報酬動能效果的影響。
本研究以台灣的三大法人作為研究對象,並以上市公司作為研究樣本,而研究期間為2001年至2006年,探討在不同正回饋交易行為程度下,實行動能投資策略的差異。並觀察其持有期後股價的表現,探討是否有反轉的現象,以檢驗其交易行為是否造成股價反應過度或反應不足。研究結果我們發現有機構投資人進行交易的股票,不論其為正回饋交易或是反向回饋交易,其所促使的動能效果皆比無機構投資人進行交易的股票來的好;而在機構投資人進行正回饋交易的股票其持有期六個月的動能效果又比在機構投資人進行反向回饋交易的股票來得好。除此之外,我們亦發現當機構投資人正回饋交易行為的動能越大時,其所造成的動能效果也就越強。
除此之外,我們認為機構投資人的交易行為能逐漸地幫助股價反應基本價值,以致於其能在持有期較前期就逐步反應,而較無機構投資人進行交易的股票其股價則反應較慢,因而認為機構投資人的交易行為在中長期中為一促使市場效率性的行為。
URI: http://hdl.handle.net/11455/23394
其他識別: U0005-2606200723372600
Appears in Collections:財務金融學系所

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