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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/58713


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/58713


    Title: 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
    Herding and Feedback Trading by Different Trader Types and the Effect of Their Trade Size
    Authors: 黃彥銘
    Huang, Yen Ming
    Contributors: 周冠男
    Chou, Robin K.
    黃彥銘
    Huang, Yen Ming
    Keywords: 從眾行為
    回饋交易行為
    交易者型態
    交易量大小
    景氣循環
    herding
    feedback trading
    trader types
    trade size
    business cycle
    Date: 2012
    Issue Date: 2013-07-01 17:44:02 (UTC+8)
    Abstract: 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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    Description: 碩士
    國立政治大學
    財務管理研究所
    100357010
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0100357010
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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