法人投資人與散戶投資人訊息外溢效果之研究

• Main Authors: yu.chiwen, 游娸雯
• Other Authors: 莊文議
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/53296937997336740913

碩士 === 東海大學 === 企業管理學系碩士班 === 93 === Abstract An emerging body of empirical literature suggests that returns, volatility, and trading turnover are all important information variables. There are two types of information spillovers between the stocks with the higher levels of institutional ownership and those with the lower levels of institutional ownership: the information spillovers from the variables associated with the stocks with the higher levels of institutional ownership to those associated with the stocks with the lower levels of institutional ownership and the information spillovers from the variables associated with the stocks with the lower levels of institutional ownership to those associated with the stocks with the higher levels of institutional ownership. To date, there is little empirical research that studies the information spillovers between the different types of investors. As such, this paper aims to fill this void in the literature. We employ the bivariate VAR-EGARCH model to study the information spillovers between the variables associated with the portfolio of stocks with the highest level of institutional ownership and those associated with the portfolio of stocks with no institutional ownership by looking at the information variables of returns, volatility, and trading turnover for the period from1993 to 2002. Our empirical results reveal the obvious information spillover effects between the variables associated with the portfolio of stocks with the highest levels of institutional ownership and those associated with the portfolio of stocks with no institutional ownership. The following observations, among other things, are noted. First, there is a bi-directional information spillover effect between the returns and volatilities of the portfolio of stocks with the highest level of institutional ownership and those of the portfolio of stocks with no institutional ownership. Second, there exist information spillovers running from the trading turnover of the portfolio of stocks with no institutional ownership to that of the portfolio of stocks with the highest level of institutional ownership. Third, there exist information spillovers running from the trading turnover of the portfolio of stocks with the highest level of institutional ownership to the returns on the portfolio of stocks with no institutional ownership. Fourth, there is a bi-directional information spillover effect between the returns on the portfolio of stocks with the highest level of institutional ownership and the trading turnover of the portfolio of stocks with no institutional ownership. Fifth, there exist information spillovers running from the trading turnover of the portfolio of stocks with no institutional ownership to the volatilities of the portfolio of stocks with the highest level of institutional ownership. Overall, our empirical results provide the evidence that neither types of investors has informational advantages, which suggests that both trading strategies of institutional and individual investors contain valuable trading information.