Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size
碩士 === 國立政治大學 === 財務管理研究所 === 101 === The purpose of this study is to investigate herding and feedback trading by different trader types and the effect of their trade size on Taiwan Capitalization weighted stock index futures contracts on the Taiwan Futures Exchange. The empirical results demonstrat...
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ndltd-TW-101NCCU53050082015-10-13T22:29:54Z http://ndltd.ncl.edu.tw/handle/41689340973493152084 Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size 以台灣指數期貨市場為例-研究各類投資人從眾行為與回饋交易行為及交易量大小之資訊效果 Huang, Yen Ming 黃彥銘 碩士 國立政治大學 財務管理研究所 101 The purpose of this study is to investigate herding and feedback trading by different trader types and the effect of their trade size on Taiwan Capitalization weighted stock index futures contracts on the Taiwan Futures Exchange. The empirical results demonstrate that there are different trading patterns between large and small trade size for individual investors as well as institutional investors. For the entire period, individual investors are positive feedback traders, and institutional investors are negative feedback traders. We divide individual and institutional investors into large and small groups. We find that large investors’ trading behavior is independent and different from trading behavior of average investors who belong to their trader type. This may result from the fact that large investors are the informed. Compared to large investors, small investors are less-informed traders, and they engage in feedback trading to get information. As for herding, we observe that small institutional investors have the most significant herding behavior among all types of investors because of competition among them and reception of the similar information. We also find that investors react asymmetrically to periods of contraction and expansion. Small investors would intensify their herding and feedback trading during a period of expansion. Chou, Robin K. 周冠男 學位論文 ; thesis 44 en_US |
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碩士 === 國立政治大學 === 財務管理研究所 === 101 === The purpose of this study is to investigate herding and feedback trading by different trader types and the effect of their trade size on Taiwan Capitalization weighted stock index futures contracts on the Taiwan Futures Exchange. The empirical results demonstrate that there are different trading patterns between large and small trade size for individual investors as well as institutional investors. For the entire period, individual investors are positive feedback traders, and institutional investors are negative feedback traders. We divide individual and institutional investors into large and small groups. We find that large investors’ trading behavior is independent and different from trading behavior of average investors who belong to their trader type. This may result from the fact that large investors are the informed. Compared to large investors, small investors are less-informed traders, and they engage in feedback trading to get information. As for herding, we observe that small institutional investors have the most significant herding behavior among all types of investors because of competition among them and reception of the similar information. We also find that investors react asymmetrically to periods of contraction and expansion. Small investors would intensify their herding and feedback trading during a period of expansion.
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author2 |
Chou, Robin K. |
author_facet |
Chou, Robin K. Huang, Yen Ming 黃彥銘 |
author |
Huang, Yen Ming 黃彥銘 |
spellingShingle |
Huang, Yen Ming 黃彥銘 Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
author_sort |
Huang, Yen Ming |
title |
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
title_short |
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
title_full |
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
title_fullStr |
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
title_full_unstemmed |
Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size |
title_sort |
herding and feedback trading by different trader types and the effect of their trade size |
url |
http://ndltd.ncl.edu.tw/handle/41689340973493152084 |
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