The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors
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 infor...
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ndltd-TW-096TIT056820432019-07-25T04:46:33Z http://ndltd.ncl.edu.tw/handle/bbtckk The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors 股市資訊對散戶投資者與外國機構投資者交易行為的影響 Yueh-Feng Lu 呂岳峰 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. 趙莊敏 2008 學位論文 ; thesis 63 zh-TW |
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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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author2 |
趙莊敏 |
author_facet |
趙莊敏 Yueh-Feng Lu 呂岳峰 |
author |
Yueh-Feng Lu 呂岳峰 |
spellingShingle |
Yueh-Feng Lu 呂岳峰 The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
author_sort |
Yueh-Feng Lu |
title |
The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
title_short |
The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
title_full |
The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
title_fullStr |
The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
title_full_unstemmed |
The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors |
title_sort |
effect of market information on the trading behavior of individual investors and foreign institutional investors |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/bbtckk |
work_keys_str_mv |
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