投資人交易行為：交易成本、下單積極性、流動性提供以及投資者過度自信

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王韻怡(Yun-Yi Wang) 查詢紙本館藏

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財務金融學系

論文名稱

投資人交易行為：交易成本、下單積極性、流動性提供以及投資者過度自信
(Trading Behavior of Investors: Trading Cost, Order Aggressiveness, Liquidity Provision and InvestorOverconfidence)

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摘要(中)

本論文由三篇關於不同類型投資者交易行為之文章所構成。
第一篇文章以台灣期貨交易所三個期貨契約的獨特日內資料，檢驗機構投資者與個人投資者大額交易的價格、流動性以及資訊效果。本文的實證結果發現，對於整個樣本期間來說，買方驅動的大額交易較賣方驅動的大額交易有較大的持續性價格效果，流動性效果則為相反。然而，本文進一步發現在熊市時賣方驅動大額交易的持續性價格效果較買方驅動大額交易的持續性價格效果為大，牛市時
則呈現反轉的型態。本文提出新的實證證據顯示個別交易者亦呈現與機構交易者相同的大額買賣價格影響的不對稱型態。此新的實證結果一致於可用來解釋大額買賣交易價格、流動性以及資訊效果之間不對稱型態的目前經濟條件假說(current economic condition hypothesis)，拒絕機構投資者交易策略假說。
第二篇文章探討不同類型交易者的策略性拆單行為以及下單積極性，研究樣本為來自台灣期貨交易所的獨特資料。透過逐一檢視每個帳戶的交易以及委託資料，本文發現相較於國內機構投資者與個人投資者，外國機構投資者與期貨自營商更普遍存在委託單拆單行為，而且交易後呈現更持續的價格調整。外國機構投資者與期貨自營商似乎是較具資訊的投資者，藉由拆單可逐漸利用其資訊。尤
其，本文發現外國機構投資者與期貨自營商使用較少的市價單，取而代之使用較能利用其資訊優勢的積極限價單。
第三篇文章主要根據交易者的積極性來檢驗過度自信與處份效果假說。在Gervais and Odean (2001)的模型中，過度自信假說認為如果投資者具有過度自信，其於獲利之後將伴隨更積極的交易行為。然而，交易者的積極性卻普遍被忽略於之前的文獻。本文利用台灣期貨交易所的獨特資料，提出一個能捕捉投資者下單積極性的量化指標，其能提供過度自信與處份效果假說細部的區別與檢定意
涵，並用以檢定不同類型交易者的過度自信與處份效果假說。本文提供新的實證證據證明之前有較高淨買(賣)報酬的投資者將比低淨買(賣)報酬的投資者買(賣)的更積極，此結果一致於過度自信假說，即投資者於獲利之後將伴隨更積極的交易行為。本文亦發現之前有較高淨買(賣)報酬的投資者將比低淨買(賣)報酬的投
資者賣(買)的更積極，此結果與處份效果假說一致。最後，本文發現過度自信與處份效果均存在於機構投資者與個人投資者，雖然個人投資者較為明顯。

摘要(英)

This study contains three essays about trading behavior by different types of traders.
Essay 1 employs a unique data set to examine the total price, liquidity and information effects of large institutional trades versus individual trades on three
futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire sample period, most buyer-initiated large
trades have larger permanent price effects than seller-initiated large trades and vice versa for liquidity effects. However, we find that the permanent price effects of large sells are larger than the effects of large purchases in bearish markets, and the reverse
pattern is found for bullish markets. The most important finding is that wedemonstrate the asymmetric patterns between price impacts of large buys and sells
hold for individual traders as well as for institutional traders. This new empirical finding is consistent with the current economic condition hypothesis, which is used to
explain the asymmetry between large buys and sells, and reject the hypothesis based on institutional trading strategies.
Essay 2 investigates the strategic order-splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan
Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared to domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split their orders
and it appears that the price adjustments after their trades are permanent. Foreign institutional traders and futures proprietary firms seem to be better informed, with
their orders apparently being split so as to reveal their information on a gradual basis. Furthermore, we find that foreign institutional traders and futures proprietary firms
use fewer market orders, choosing instead to submit aggressive limit orders, possibly due to their desire to make the most of their information advantage.
Essay 3 evaluates the overconfidence and disposition effect hypotheses based on trader’s aggressiveness. Overconfidence hypothesis of Gervais and Odean (2001)
predicts that if investors are overconfident, they trade more aggressively subsequent to their gains. However, the level of traders’ aggressiveness is ignored in previous
literature. With a unique data set from Taiwan Futures Exchange, we propose a quantitative measure of order aggressiveness to capture traders’ aggressiveness and
provide finer distinction and testable implication for overconfidence and disposition effect hypotheses by types of traders. We provide new empirical results showing that
investors with high return of net buy (sell) position will buy (sell) aggressively than investors with low return. The finding is consistent with the overconfidence
hypothesis that traders trade more aggressively subsequent to their trading gains. We also find that investors with high return of net buy (sell) position will sell (buy) more
aggressively than investors with low return, consistent with what would be expected under the disposition effect hypothesis. Finally, the overconfident and disposition
effect behavior exists both in institutional and individual traders, although the effect is
stronger for individual traders.

關鍵字(中)

★ 處份效果
★ 過度自信
★ 委託單拆單
★ 下單積極性

關鍵字(英)

★ Disposition effect.
★ Order aggressiveness
★ Order splitting
★ Overconfidence

論文目次

目錄
中文提要.............................................. Ⅰ
英文提要·············································· Ⅱ
致謝·················································· Ⅳ
目錄··························· Ⅴ
圖目錄·························· Ⅶ
表目錄·························· Ⅷ
Essay 1: The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange
1Introduction...........................................2
2. Institutional Descriptions of TAIFEX and the data....6
3. Empirical Methodology ...............................7
4. Empirical Results ...................................9
4.1 The Total Price, Liquidity and Information Effects of Large Trades............................................9
4.2 The Determinant of Asymmetry between Price Impacts of Purchases and Sales ...................................13
4.3 Robustness Test....................................15
5. Summary and Conclusions ............................15
References.............................................18
Essay 2: Strategic Order Splitting, Order Choice and Aggressiveness:Evidence from the Taiwan Futures Exchange
1. Introduction........................................41
2. Market Description and Data ........................47
2.1 Trading Mechanism of the Taiwan Futures Exchange...47
2.2 Data ..............................................48
3. Empirical Results ..................................49
3.1 The Diagonal Effect ...............................49
3.2 Direct Evidence of Order Splitting ................52
3.3 Subsequent Returns.................................55
3.4 Choice of Order Types .............................57
3.5 Limit Order Aggressiveness.........................58
4. Conclusions.........................................60
References.............................................62
Essay 3: An Evaluation of the Overconfidence and Disposition Effect Hypotheses based on Trader’s Aggressiveness
1. Introduction.........................................81
2. Market Description and Data .........................85
2.1. Trading Mechanism of the Taiwan Futures Exchange...85
2.2. Data ..............................................85
3. Empirical Results ...................................86
3.1. Summary Statistics.................................86
3.2. Overconfidence Hypothesis .........................88
3.3. Disposition Effect Hypothesis .....................93
4. Conclusions..........................................97
References..............................................99

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指導教授

周冠男(Robin K. Chou)

審核日期

2009-6-4

推文