| Summary: | 碩士 === 國立臺北科技大學 === 商業自動化與管理研究所 === 96 === The purpose of this study is to investigate the trading behavior of institutional investor and individual investor around stock information announcement. The trading volume before two types of announcements: with and without timing information. Timing information refers to the information which the timing of the announcement is publicly available. One example of the timing information is the earning announcement. For without timing information, it refers to the information which the announcement time is unscheduled and investors cannot perceive the announcement in advance. An example of unscheduled announcements is the stock recommendation.
We find results as follow. First, timing information announcement didn’t cause trading volume vibration. Second, individual investor tends to exhibit over confidence when they invest. Third, the market return is affected by stock recommendation, and the effect of investor behavior of institutional is more significant then individual. Fourth, the individual investor increases abnormal trading volume significantly when good recommendation announcement and exhibits oversold, increases lightly to neural recommendation and exhibits overbought, for bad recommendation, individual investor decreases volume significantly. This results show the Taiwan individual investor exhibits strong disposition effect. Fifth, the trading behavior has negative correlation between institutional and individual. Sixth, the institutional investor increases abnormal trading volume significantly for good recommendation announcement and exhibits overbought, decreases the volume significantly for bad recommendation and exhibits oversold. In neural recommendation, institutional investor exhibits oversold, but the behavior is different between institutional investor who release recommendation and doesn’t release. The institutional investor who releases recommendation hasn’t abnormal volume, but the other investor exhibits significant oversold.
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