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1
Reancharoen, Tipprapa. "Trading strategy and behavior of various investor types between spot and futures market : evidence from Thailand." Thesis, Middlesex University, 2016. http://eprints.mdx.ac.uk/18772/.
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In rational, efficient market, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these two markets may reflect information faster. The thesis analyzes the lead-lag relationship between the spot market and futures market, SET50 index and its futures contract, for the Thailand market. Various econometric tools like unit root tests and the Error-Correction Model (ECM) were employed in the study. The Augmented Dickey Fuller tests employed in the study proved that both the selected markets were stationary series after first difference and the Granger Causality test proved unidirectional relationships between these markets. On the daily observations basis, the results show that there is a price discovery for the futures index. In other words, the lagged of changes in spot price has a leading effect to the changes in the futures price. Alternatively, the TDEX is used instead of the SET50 index to see any changes in the lead-lag relationship. The result proves that there is a leading effect between TDEX and SET50 index futures. The ECM, which utilizes the traditional linear model, is considered to be the best forecasting model. The trading strategy based on this model can outperform the market even after allowing for transaction costs. Moreover, this thesis studies the trading patterns of each investor type, which are foreign investors, institutional investors, and individual investors by using detailed records of trading activity, trading volume, and trading value by employing a unique data set of daily aggregated purchases and sales on the Stock Exchange of Thailand (SET) and the Thailand’s derivative market. The results show that the buying and selling investment flows of these three investor groups are ranked as follows; the majority trader in the Stock Exchange of Thailand (SET) is the individual investor, followed by the foreign investor, and the institutional investor. The corresponding ranking in the Thailand’s Derivative Market is the individual investor, then the institutional investor, and the foreign investor is the minority trader. The results provide empirical evidence that foreign investors were net buyers whereas institutional investors and individual investors were net sellers of equities in both the spot and the futures market of Thailand. For the feedback-trading pattern, the results show that in both the spot and the futures market; foreign investors are positive feedback or momentum traders. While, individual investors tend to be contrarian investors, or negative feedback traders. Institutional investors’ trading pattern in both spot and futures market is rather mixed results. Furthermore, the results show that foreign investors’ herding is positively correlated with institutional traders in spot market, while negatively correlated with institutional investors in futures market. Foreign investors’ herding is negatively correlated with individual investors in both spot and futures market. Institutional investors’ trade flow is positively correlated with individual investor in futures market whereas it is negatively correlated with individual investors in spot market. In addition, this thesis studies trading performance of various investor types, which are foreign investors, institutional investors, and individual investors on the Stock Exchange of Thailand (SET) and Thailand’s derivative market. The results reveal that different investor types can have different performance. Foreign investors who are more likely to have information advantage over other type make minor overall net trading gains in the futures market, their gains arise from the good market timing but likely to incur large losses in the spot market from negative price spreads between sell and buy prices. Individual investors in the spot market experience positive return, they have success in performance from price spread whereas they experience poor market timing return. Moreover, the results exhibit that individuals make losses on their trade in the futures market. Specifically, the results show that institutional investors make overall net trading gains from positive price spreads between sell and buy prices in both spot and futures market. The different performance might be due to mixed effect of the trading gains and losses arise from trades between investor types that have different backgrounds.
2
OH, Natalie Yoon-na Banking & Finance Australian School of Business UNSW. "Essays on the dynamic relationship between different types of investment flow and prices." Awarded by:University of New South Wales. Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22041.
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This thesis presents three related essays on the dynamic relationship between different types of investment flow and prices in the equity market. These studies attempt to provide greater insight into the evolution of prices by investigating not ???what moves prices??? but ???who moves prices??? by utilising a unique database from the Korean Stock Exchange. The first essay investigates the trading behaviour and performance of online equity investors in comparison to other investors on the Korean stock market. Whilst the usage of online resources for trading is becoming more and more prevalent in financial markets, the literature on the role of online investors and their impact on prices is limited. The main finding arising from this essay supports the claim that online investors are noise traders at an aggregate level. Whereas foreigners show distinct trading patterns as a group in terms of consensus on the direction of market movements, online investors do not show such distinct trading patterns. The essay concludes that online investors do not trade on clear information signals and introduce noise into the market. Direct performance and market timing ability measures further show that online investors are the worst performers and market timers whereas foreign investors consistently show outstanding performance and market timing ability. Domestic mutual funds in Korea have not been extensively researched. The second essay analyses mutual fund activity and relations between stock market returns and mutual fund flows in Korea. Although regulatory authorities have been cautious about introducing competing funds, contractual-type mutual funds have not been cannibalized by the US-style corporate mutual funds that started trading in 1998. Negative feedback trading activity is observed between stock market returns and mutual fund flows, measured as net trading volumes using stock purchases and sales volume. It is predominantly returns that drive flows, although stock purchases contain information about returns, partially supporting the price pressure hypothesis. After controlling for declining markets, the results suggest Korean equity fund managers tend to swing indiscriminately between increasing purchases and increasing sales in times of rising market volatility, possibly viewing volatility as an opportunity to profit and defying the mean-variance framework that predicts investors should retract from the market as volatility increases. Mutual funds respond indifferently to wide dispersions in investor beliefs. The third essay focuses on the conflicting issue of home bias by looking at the impact on domestic prices of foreign trades relative to locals using high frequency data from the Korean Stock Exchange (KSE). This essay extends the work of Choe, Kho and Stulz (2004) (CKS) in three ways. First, it analyses the post-Asian financial crisis period, whereas CKS (2004) analyse the crisis (1996-98) period. Second, this essay adopts a modified version of the CKS method to better capture the aggregate behaviour of each investor-type by utilising the participation ratio in comparison to the CKS method. Third, this essay does not limit investigation to intra-day analysis but extends to daily analysis up to 50 days to observe the effect of intensive trading activity in a longer horizon than the CKS study. In contrast to the CKS findings, this paper finds that foreigners have a short-lived private information advantage over locals and trades by foreigners have a larger impact on prices using intra-day data. However, assuming investors buy-hold for up to 50 days, the local individuals provide a greater impact and more profitable returns than foreigners. Superior performance is documented for buys rather than sells.
3
Morrison, John Harris III. "An analysis of investor types in real estate capital markets : their behavior and performance from 2000 to 2006." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37442.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2006.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (p. 58-59).
This thesis explores the timing and returns of eight types of real estate investors between 2000 and 2006. The investor types considered are 1) private local, 2) private national, 3) institutional, 4) public REIT (Real Estate Investment Trust), 5) foreign, 6) user/other, 7) syndicator and 8) condo converter. Observing over 41,000 transactions and using the repeat sale method to calculate investor capital appreciation returns, this thesis finds that private local investors are the largest investor type-both in absolute number and transaction volume-suggesting that real estate is still a very local business. In addition, this thesis observes that REIT, foreign and private investors each exhibited leading behavior over other investors, especially institutions, in capital flows: they each tended to start trends in buying and selling at various times from 2000 to 2006. Moreover, it finds that REIT, foreign and private investors took turns in earning the highest cumulative capital appreciation returns from 2000 to 2006, and that private local investors tended to lead all other investors, especially institutional, in return trends. These findings are significant as they increase the understanding of investor behavior and performance in capital markets and may ultimately help increase market information and efficiency.
by John Harris Morrison, III.
S.M.
4
Yi, Bingsheng. "Two Essays on Security Offerings: Information Production, Investor Perception and The Types of External Financing, and A Unified Analysis on Financing Choices and Offering Costs." [Tampa, Fla.] : University of South Florida, 2005. http://purl.fcla.edu/fcla/etd/SFE0001173.
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Vasey, Kyle Austin. "Do Accounting Quality Characteristics Attract Different Types of Institutional Investors?" Thesis, The University of Arizona, 2014. http://hdl.handle.net/10150/322079.
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Ozlanski, Michael Edward. "Effects of Principles vs. Rules Based Accounting Standards and Increased Audit Reporting on Investors' Perceptions of Management's Reporting Credibility." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/50564.
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The purpose of this study is to investigate how the effects of principles vs. rules based accounting standards and a potential change in the audit reporting model will affect investors' perceptions of management's reporting credibility. The Securities and Exchange Commission is currently considering the adoption of International Financial Reporting Standards, which is considered to be a set of principles based accounting standards. Whereas, U.S. Generally Accepted Accounting Principles are considered rules based. Additionally, the Public Company Accounting Oversight Board is considering a possible change to the existing audit reporting model. The audit reporting change currently under consideration would require the use of additional emphasis of matter paragraphs within the audit report to discuss areas of higher risk in the financial statements. A sample of 196 nonprofessional investors completed an on-line 2 X 2 between subjects experiment that manipulated accounting standard type and level of auditor reporting. Participants assessed direct and indirect measures of reporting credibility, obtained the experimental manipulations, and provided revised credibility assessments. Changes in credibility served as the dependent variable. The results suggest that expanded auditor reporting resulted in lower perceptions of management\'s reporting credibility. Additionally, the effects of expanded auditor reporting appear stronger under rules based accounting standards. No main effects, however, of accounting standard type were observed. These results contribute to the existing literature on accounting standard type, the information content of audit reports, and reporting credibility.Ph. D.
7
Nye, Katrina R. "Retirement Savings and Types of Investment Assets Among Near-Retirees Aged 51-64: How do Women Invest Differently Than Men?" DigitalCommons@USU, 2008. https://digitalcommons.usu.edu/etd/6.
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The purpose of this study was to examine the financial portfolios of near-retiree women and compare their assets to near-retiree men. This study also investigated how economic and demographic factors were associated with the probability of holding aggressive assets and the level of savings. Socioeconomic variables were used to create a profile of the investment behaviors and to examine the level of savings among near-retiree women and men. Specific variables key to the study included household income, age, marital status, education, race, and self-reported health of near-retiree women and men.
The descriptive statistics indicated that overall, average levels of all asset categories for the female group were much lower than they were for the male group among near-retirees. According to the findings of this study, women tended to invest in safer assets such as CDs, savings bonds, and T-bills rather than in more aggressive assets such as stocks, business assets, and real estate assets.
The results from both the logistic regression and Ordinary least squares regression analyses indicated that gender had no statistically significant impact on the investment and savings behavior among near-retirees aged 51 - 64. However, household income, age, marital status, education, race, and the self-reported health status of near-retirees were all significant determinants of the investment and saving behavior among near-retirees aged 51 - 64. For example, near-retirees, with higher income, older, married, higher education, Whites, and in good health, were more likely to own aggressive assets and reported higher level of savings as compared to other near-retirees.
This study also explored socioeconomic factors associated with the level of savings among near-retiree women aged 51 - 64. The findings of this study indicated that household income, age, education, and race were significant determinants of the level of savings among near-retiree women aged 51 - 64. The results of the OLS regression analysis showed that women with lower income, younger, less education, and non-Whites reported lower levels of savings than did other women. Implications of the findings, limitations of the current study, and suggestions for future study were presented in the final section. (88 pages)
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Sener, Tournus Pinar. "Family involvement in firm and its implications for firm performance : dividend behavior and foreign holdings." Thesis, Paris 1, 2015. http://www.theses.fr/2015PA010069.
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Cette thèse, en portant une attention particulière sur les entreprises familiales turques et par l'utilisation d'une approche fondée sur la théorie de l'agence, a pour objectif de mettre en lumière les implications du capital familial sur la performance, la distribution de dividendes et les avoirs étrangers. Elle étudie premièrement en s'appuyant sur une méta-analyse, la relation entre l'impact net du capital familial sur la performance de l'entreprise et l'effet de modérateurs sur cette relation. Ensuite, elle examine si, en Turquie, le capital familial comble ou profite des lacunes institutionnelles et étudie comment les entreprises familiales diminuent les préoccupations relatives à l'expropriation des actionnaires minoritaires. Enfin, elle explore comment dans le cas turc, les investisseurs étrangers perçoivent le capital familial et les pratiques de gouvernance appliquées par les entreprises familiales pour éliminer les préoccupations de ces investisseurs concernant l'expropriation de leurs droits. Les principaux résultats de cette thèse démontrent que l'impact du capital familial sur la performance des entreprises est positif mais faible. Le niveau de développement des institutions formelles du pays dans lequel les entreprises familiales opèrent, modère la relation entre le capital familial et la performance des entreprises. En Turquie, un niveau modéré de détention du capital par la famille est bénéfique car la performance comptable atteint un pic à ce niveau de détention et les investisseurs valorisent un tel niveau de détention du capital par la famille. En outre, lorsque les familles détiennent un niveau substantiel de droits de vote et participent activement au management de l'entreprise, le versement de dividendes se réduit et la gouvernance familiale profite des lacunes institutionnelles pour exproprier les autres actionnaires de leurs droits. Enfin, en Turquie, le recours effectif par les entreprises familiales à des pratiques de gouvernance diminue les inquiétudes des investisseurs étrangers concernant l'opportunisme de la familleUsing insights mainly from agency theory, this dissertation intends to shed light on performance, dividend payout and foreign holdings' implications of family involvement in firm with an emphasis on Turkish family firms. The dissertation first investigates the net effect of family involvement on firm performance and the effect of moderators on that relationship by conducting a meta-analysis. It then shifts the focus on Turkey to examine whether family governance fills or abuses institutional gaps and look into how family firms alleviate concerns of expropriation of minority shareholders. Finally, it investigates how foreign investors perceive family involvement in firm and firm-level governance practices of family firms to mitigate investors' expropriation concerns in Turkey. The main findings of this dissertation show that the impact of family participation on firm performance is positive but modest. The development level of formal institutions in countries in which family firms operate moderates the relationship between family involvement and firm performance. In Turkey, moderate levels of family involvement in ownership are beneficial since accounting profitability reaches a peak at these levels and foreign investors value these levels of family participation in firm. On the other hand, when families have substantial voting rights and actively participate in management, dividend payouts reduce and family governance abuses institutional voids by expropriating other shareholders. Additionally, the effective use of firm-level governance practices by family firms mitigates foreign investors' concerns about family opportunism in Turkey
9
Lee, Samuel. "Information and control in financial markets." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2009. http://www2.hhs.se/efi/summary/799.htm.
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Chang, Yu-han, and 張玉函. "INVESTOR TYPES AND INFORMATION." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/aghmme.
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碩士大同大學
事業經營學系(所)
102
Insider investors allegedly sold shares of Top Pot before news was released in 2013, which avoiding losses of 60 million. Because of this event, I have some questions about the individual investors. For the individual investors, whether Top Pot Bakery's insider investors utilize the private information to prevent losses? Do insider individual investors gain from the private information trading? The purpose of this study is to investigate the transactions of individual investors around earnings announcement, and compare the results with the trading behavior of foreign investor, investment trust and corporation. This study analyzes the relationships among rate of return, earnings surprises and net trading of types of investors, and try to find the evidence that whether the individual investors gain from private information trading. We do not find significant evidence that foreign investor, investment trust and corporation are informed traders. But we find two opposite trading phenomena for individual investors. One is the individual investors are informed traders that they have right trading direction before the event and therefore forecast the future market direction. In other word, it means that following the individual investor's trading is profitable. Another evidence shows the individual investors are non-informed traders. They buy stocks following good news and sell stocks following bad news. The trading behavior let individual become a loser. For the evidence I find, I guess there are two different types of individual investors, one is informed large traders and the other is non-informed small traders. For future study, more rich database is needed.
11
Liao, Hsin-Yen, and 廖信彥. "Order Imbalances, Investor Types and Stock Returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/45553382616762822796.
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碩士國立暨南國際大學
財務金融學系
97
This study uses the order and the trade intraday data from Taiwan Stock Exchange (TSE), dividing all the investors into five categories as follows: foreign investors, mutual funds, dealers, other institutions and individuals. As the procedure suggested by Lee and Ready (1991), we compute the order imbalances sorted by investor categories, and investigate the relationship between order imbalances and individual stock return. Furthermore, we examine if the order imbalances of each kind of investor would be the indicator of the future stock return. Results show that, order imbalances of each kind of investor are positively related to the contemporaneous return. Individual order imbalances have more explanatory power in stock return than institutional order imbalances. Institutional order imbalances are more concerned with stock return for large firms, while individual order imbalances are more related with small firms. Moreover, the turnover rate is an important factor related with the stock return. As the turnover rate increases, the positive relation between order imbalances and stock return becomes closer. After controlling the lag return, the correlation between individual order imbalances and the future return is significantly negative and decreases with firm size. That is, for small firms, the relationship between individual order imbalances and the future return is more closely. We also find that stocks with higher turnover rates have more forecasting power by the order imbalances of each kind of investor.
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Su, Li-Hsin, and 蘇麗心. "Short Covering Strategies and Return Predictability of Investor Types." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/87404826230102125946.
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碩士國立中正大學
財務金融研究所
103
Using the component stocks of the Taiwan 50 Index and Taiwan Mid-Cap 100 Index from 2012 to 2014, we examine the relation between short-covering activities and stock return. We find that a past stock return does not affect the behavior of closing a short position by individual investors, and that institutional investors do not cover their short positions at the best stock price (relative minima). Moreover, individual investors predict wrong future returns, whereas institutional investors have the ability to predict future returns. Our results are consistent with those in previous studies in which institutional investors are claimed to be smart and informed.
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Li, Yi-Juan, and 李易蓁. "The Investment Sentiment of Various Investor Types in the Stock Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/9na85e.
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碩士國立虎尾科技大學
財務金融系碩士班
105
Eugene Fama (1970) proposed efficient market hypothesis, but as the study of the occurrence of historical events and many scholars found that many economic phenomena do not support the efficient market hypothesis, that the market there are many various investor types, however, In view of this, the main purpose of this study was to investigate the relationship between different types of investor sentiment and the stock market. In this study, an indirect investor sentiment indicators into all investors, large investors, medium and small investors sentiment and the Volatility Index(VIX) and Taiwan Consumer Confidence Index(CCI). This paper uses EGARCH and Quantile Regression. Quantile regression is used to explore different types of investor sentiment variable relations in different stock returns. EGARCH is used to investigate the different types of investor sentiment indicators and stock return whether volatility and asymmetric effect. The results are as follows: Quantile regression show in the high return sentiment indicators Turnover Rate and Net Buy / Net Sale showing a higher estimation coefficient, in low return sentiment indicators, Put / Call Ratio and Net Buy / Net Sale of TAIEX Index Futures showing a higher estimation coefficient, in another hand, EGARCH model results show all investors sentiment and small investors sentiment the impact of the volatility of a longer duration, all investors sentiment and small investors sentiment have the Asymmetric effect.
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Chen, Jun-Xian, and 陳俊憲. "A Study of the Mutual Fund Performance of Bayesian Investor Types." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/12661222224040578211.
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碩士國立中興大學
統計學研究所
102
In this thesis, we use European mutual funds monthly return data by Taiwan Economic Journal. The dataset spans a period from September 1999 to August 2013 and contains a total of 524 mutual funds. The data in this study is separated into two parts, which are before the financial crisis and after the financial crisis.We measure mutual funds performance under different Bayesian investor types by conditioning managerial skill on macroeconomic variables. Empirical results show that all five Bayesian investors investigated outperform the MSCI Europe Index. Investors who believe in active managerial skills tend to have larger abnormal returns. In addition, our results point out that Bayesian approach present non-significant with different prior period. Key words: Mutual fund, Managerial skill, Bayesian approach, Macroeconomic variables
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Wu, Yan-ching, and 吳燕青. "The Trading Behavior of Various Investor Types in the Taiwan Futures Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/22674840075324373464.
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碩士國立高雄第一科技大學
風險管理與保險研究所
100
This study aims at conducting a detailed analysis on the trading patterns and interdependencies among retail investors, professional futures traders, and foreign institutions in the context of Taiwan''s futures market by using the most active futures contracts, namely, TX futures contracts. We will first examine whose trades are more informative, and then analyze the liquidity provision among various types of investors, and finally the trading performance of various types of investors. The results suggest that retail investors have better information and long-term performance than professional futures traders and foreign institutions. Moreover, our empirical results also find that, the retail investors are the major liquidity providers and they have superior short-term performance.
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Chiao-Ying, Lai, and 賴橋瑩. "Investor Types, Financial Crisis and Price Efficiency: Evidence from China’s Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/61792565721239327991.
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碩士國立臺北大學
金融與合作經營學系
101
This research aims to explore whether investors types, pool of investors, and financial crisis would affect the market price efficiency. Based on the theory of Jagadeesh and Titman(1993), this research used the profits of momentum strategy as market price efficiency indicators. The results of this research found that there are four: 1. A-share market has a significant reversal phenomenon, B-share market has no significant momentum or reversal phenomenon. 2. B-share market price efficient than A-share market. 3. Pool of investors does not affect the market price efficiency. 4.The period of non-financial crisis’s price efficient than the period of financial crisis in A-share market and the B-share market
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Hsieh, Wen-Xin, and 謝文欣. "Long-term performance of the private equity placements- a study on investor types." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/22182457793671611837.
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碩士淡江大學
財務金融學系碩士班
98
Private placement system has been implemented since February 2002 in Taiwan to cater for the financial need of enterprises. Previous studies indicate that the long-term performance of investment varies with different investors. The study, therefore, examines whether abnormal returns exist and how the investor types influence the long-term performance by analyzing 198 sets of data from private equity companies. Results show that one year later after private equity, abnormal returns significantly exist not only in all samples but also in active private placement cases. These findings are consistent with certification hypothesis and monitoring theory.
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Yang, Shi-Wei, and 楊世瑋. "Grouping Investor Types and Predicting Price Trends from Volume-Based Broker Network Topologies." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/zeds59.
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碩士國立中山大學
財務管理學系研究所
106
In this study we construct volume-based broker information network and explore the relationship between network topologies and market quality; furthermore, the study uses machine learning to classify investor types and predict short-term price movements in the market. This study is the first use order volume to construct the information network and effectively grouping investors by network topology and machine learning. This study uses social network analysis methods to extract network topologies parameters such as centrality and modularity from the network. Centrality and modularity provides useful information regarding the information asymmetry and herding propensity of the network. As network topologies directly reflect the dynamics of information transmission structure among nodes (investors), they may be a quicker or better estimate of information risk. Admati and Pfledierer (1998) first posit that there are three types of investors, informed traders, discretionary and non-discretionary liquidity trader. Delong et al. (1990a, 1990b) point out the effect of noise traders and informed traders on market volatility. The proportion of different investors can affect security price risk and even pricing. Therefore, how to classify investors effectively is a major issue in financial market research. This study attempts to use machine learning to help us classify investor type and predict stock price trends while incorporating network topologies into the algorithm. In addition, previous network study usually constructs the network in a time-based manner, for example, a daily network. In this study, the network is constructed based on volume. As each network has an equal volume or thickness of information content, the network parameters are more stable, and provide better measure of the flow of information in the market.
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Lin, Shi-Cheng, and 林錫呈. "Analysis of Herding Behavior for Different Types of Investor in the Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/60143666583232793142.
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碩士淡江大學
財務金融學系碩士班
98
In this study, we investigate the herding behavior of different types of investors, including proprietary dealers, investment trust, QFII and individuals, in the Taiwan stock market. Examining the relationship between Characteristics of stocks and herding behavior and influence of investor’s trading strategies on stock future price. We use intraday tick by tick order data and trade data to calculate the two measures of daily herding, introducing by Lakonishok et al. (1992) and Wermers (1999). It is apparent that proprietary dealers and QFII herd more heavily in large stocks, but investment trust and individuals herd more heavily in small stocks. We find that herding behavior of individuals is in accordance with information cascading hypothesis. Finally, we find that short heavily by QFII and individuals would destabilize future stock price, but total trading behavior speed information compounded into fundamental price.
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Chi, Lin-Chien, and 錡琳茜. "The Magnet Effect of Investor Types and U-Shaped or L-Shaped Intraday Trading Patterns：Evidence from the Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/67404634137160532897.
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碩士銘傳大學
財務金融學系碩士班
102
This paper investigates the magnet effects of Taiwan stock Market using intraday data with various types of investors from the Taiwan Stock Exchange (TWSE). Specifically, this study explores the magnet effect under different trading periods with a trading day. The results show that the magnet effects in Taiwan stock market are obvious, and the magnitude of magnet effects is caused by individuals. In addition, trading strategies of investors at the opening and closing trading sessions are different those of other trading session. More specifically, the magnet effects at opening and closing are more significant than the middle session of the trading day. The results of this study provide valuable information about the market structure and trading behavior of various types of investors for investors and policy makers.
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Lu, Chao-hsien, and 呂昭顯. "Essays on Exchange-Traded Funds (ETFs): The Impacts of Trading Mechanisms on Performance of ETFs, and The Investment Behavior and Performance of ETFs among Various Investor Types." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/00525990537406585205.
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博士國立中正大學
企業管理所
96
This dissertation consists of two essays concerning exchange-traded funds. The first essay examines the tracking performance, the persistence of the premium/ discount, and determinants of ETF volume of the Taiwan Top50 Tracker Fund (TTT), which is the first ETF in Taiwan and is the ETF which experiences the changes of the trading mechanisms, over the period from the inception to September 2005. I find that: (1) the return for TTT is very close to the Taiwan Top50 Return Index; (2) the only determinant of the tracking error primarily is dividends from the constituents, it is more statistically significant during the latter period. It may be associated with the rules of the distribution of TTT; (3) after the adjustments of the new trading systems, the arbitrage activities raise the trading volume of TTT and simultaneously reduce the persistence of the deviations of price from NAV. The second essay investigates the investment behavior and performance of ETFs among various investor types. The results indicate that: (1) stock dealers’ trading behavior usually is opposite to other investor types during most of the sample period; (2) the trading strategy among the investor types is different; (3) the pattern of investment behvavior for all types of investor is consistent with the disposition effect; (4) on average, all kinds of TTT investor types have positive capital gain, during the sample period, and professional institutional investors (forieng investors, mutual funds, and stock dealers) outperform non-profeesional investors (individual and non-financial institutional investers).
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Wang, Yi-ting, and 王依婷. "The Analysis of Trading Preferences among Various Types of Investors." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/45699294138322038150.
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碩士國立中正大學
會計與資訊科技所
95
This thesis investigates whether there are specific trading preferences for stock characteristics among various types of investors in Taiwan stock markets. By examining the stock trading, we apply the methods of statistical regression and data mining to investigate whether the investors with different characteristics, such as gender, wealth levels, and trading frequency show any preferences with respect to different stock characteristics, such as EPS, dividend yield, market-to-book, and prices. The results show that in general, investors in Taiwan show greater trading preferences for newly listed stocks and stocks with higher beta, lower dividend yield, greater EPS, lower prices, higher P/E ratios, and larger sizes. However, female investors, less wealthy investors, investors living in the North region, investors with less trading frequency, and less experienced investors are more likely to trade stocks that are more risky and have more volatility and growth potential in the future.
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Wu, Yi-ling, and 吳宜凌. "Disposition effect of difference types of investors in Taiwan Futures Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/72224388235155867305.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
101
In this paper we examines whether the disposition effect, the tendency of investors to ride losses and realize gains. We use the trading records of all market participants from January 1, 2008 to October 31, 2008 and measure the disposition effect (DE) according the Odean (1998). We use the methodology which presents evidence on the existence of the disposition effect in Taiwan future market. Using a unique dataset, we find strong evidence for the disposition and explain this in terms of investor characteristics on three types of investors. We divide traders into three categories which are individual traders, foreign investors, domestic institutional investors. And we separate domestic institutional investors into investment trusts and other institutional investors. There are three main findings, first, individuals investors, other institutional investors and investment trusts investors exhibit disposition effect. Second, individual investors are much more susceptible to the disposition effect than all the domestic institutional and foreign investors. Third, sophisticated and experienced investors show less disposition effect.
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Lin, Yu-Jing, and 林鈺靜. "Herding Behavior among Various Types of Investors in Taiwan Stock Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/11347655282495283083.
Full textAbstract:
碩士國立臺灣科技大學
財務金融研究所
103
This study estimated herding behavior and feedback trading among four types of investors: foreign investors, security investment trust companies, dealers and non-institutional investors. We adopted Taiwan Stock Exchange daily data from February, 2009 to January, 2012 to calculate D ratio, the index from Lakonishok et al. (1992). We used this index as a variable in vector autoregression model and Granger causality test to estimate herding behavior and feedback trading behavior. Moreover, we separated the data as expansion period and contraction period to estimated whether herding behavior and feedback trading behavior are changed under different economic conditions. The empirical results demonstrated that all of the investors exist herding behavior, following the investors in same category. The security investment trust companies exist the remarkable herding behavior with foreign investors. Meanwhile, only the security investment trust companies have remarkable positive feedback trading behavior. Furthermore, different economic conditions indeed affect the behavior of investors which leads to the change of herding behavior and feedback trading behavior.
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Lee, Chi-chuan, and 李其權. "The information of open interest of three major types institutional investors." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/87050817132469085184.
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Hsu, Yu-ting, and 徐于婷. "How The Order Imbalance of Different Investor Type Affects Stock Return." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/38561462832523319595.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
101
In recent years, market microstructure research has explored, and liquidity and order flows do impact price formation. In Taiwan, the TSE (Taiwan security exchange) market is completely order-driven with no market makers. In our study, split the trading day into nine half-hour periods of trading day. Our approach net trading NT dollar volume of liquidity-demanded and liquidity-supply order imbalances within the trading day for nine intervals, and divide trader types according to trading actives. We examine the contemporaneous relationship between the trading activity of different trader groups and returns by half-hour. We prove that order submission and trading activity is highest at the opening half-hour of the trading day, which implies that liquidity clusters during the half-hours. We find frequent fundamental traders and opportunistic traders have highest correlation with stock return during opening half-hour. In addition, day traders conduct trading activities with contemporaneous return movements during closing and middle of trading day.
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Lee, Po-ling, and 李伯霖. "Timing Ability of Three Major Types of Investors in Taiwan Futures Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/07267913019632833741.
Full textAbstract:
碩士國立中央大學
財務金融學系在職專班
101
Abstract This article examines the market timing ability of three major types of investors, including foreign institutional investors, domestic institutional investors and proprietary investors, in the Taiwan index futures markets over November 25, 2009 - December 28, 2012, using the daily long and short trading net positions and net open interest. We investigate traders’ market-timing ability, and also study how traders’ performance varies with trade size. The results show that the foreign institutional investors have the best performance for their daily long and short trading positions and net open interest, and their large transactions on sell side earn positive returns, On the other hand, domestic institutional investors have the worst performance, as, their net open interest and large transactions on sell side both, exhibit negative returns. Our results imply that foreign institutional investors have the superior forecasting ability in Taiwan futures markets. On the contrary, domestic institutional investors have inferior forecasting ability in Taiwan futures market.
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MEI, HO HSIEN, and 何先梅. "THE PERFORMANCE OF INDIVIDUAL INVESTORS AND LOTTERY-TYPE STOCK." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/gp37zd.
Full textAbstract:
碩士國立臺北大學
國際財務金融碩士在職專班
107
Some financial studies explore the possible impact of gambling on the operation of financial markets. They believe that gamblers will irrationally prefer assets that are right-skewed and tend to buy lottery-like stocks that have low prices, highly idiosyncratic skewness and idiosyncratic volatility. Buying such stocks is like holding a lottery. In a short period of time, there is a very low chance of getting extreme positive returns. Even when the average return is negative, investors are willing to take high risks. The research analyzes the impact of lottery-like stocks in investors ownership on subsequent returns in the Taiwan stock market. The period covers from January 01, 2001 to December 31, 2018, for a total of 17 years. According to Kumar (2009), the stocks are divided into lottery-type stocks, non lottery-type stocks, and other types of stocks. The empirical result shows that individual investors’ preference for lottery-like stocks has no significant cumulative abnormal returns. However, in high market sentiment, lottery-type stocks with low individual shareholdings will have significant positive returns in the next month.
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Hsu, Ning-Fang, and 許寧芳. "Analysis of Trading Behavior among Various Types of Investors on Price Limits Days." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/41664800631104282946.
Full textAbstract:
碩士國立中正大學
會計與資訊科技所
95
We analyze trading behavior among various types of investors and stock characteristics in the Taiwan bond futures market on price limits days , using data from January 2, 2004 to October 31, 2005. We find that investors make no profit of stocks on price limits days because investors take contrarian investment strategy so that they can make a profit on price reversal days and make no profit on price continuous days. For various types of investors, institutional and the wealthiest investors take momentum investment strategy and they gain a profit. We think that it is because they get more information about stocks on price limits days than other investors. For various stock characteristics, we find that (1)investors gain no profit except on price reversal days. (2)investors gain a profit of high price and low liquid stocks on all and down price limits days. (3)investors gain a profit of low book to market ratio stocks on down price limits days.
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LIANG, Feng-Ling, and 梁鳳玲. "Analysis of Herding Behavior among Various Types of Investors in Taiwan Stock Market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/65439523699173326050.
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Hsu, Tsai-Hsuan, and 許彩璿. "Monthly Sales Announcements and Behavioral Bias: The Evidence of Different Types of Investors." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/kjz7zf.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
106
Based on the research hypothesis and empirical method proposed by Ku (2017), this paper focuses on the common stock listed on the Taiwan Stock Exchange or Taipei Exchange, and the research period is from January 2001 to December 2016. This paper utilizes the previous and the following monthly sales announcement to examine how different types of investors (institution investors and individual investors) respond to the consistent monthly sales performance and whether there are different behavioral biases between institution investors and individual investors. The result shows that both institution investors and individual investors have representativeness bias on the monthly sales announcement effect, which will lead to investors overreact to the previous sales announcement, and subsequent price reversal. However, the proportion of institution investors trading has no significant effect on such result. In addition, the results show that unexpected sales have significant information content, as well as the proportion of institution investors trading will have a negative impact on sales announcement.
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"Activist Investors and Firm Performance Empirical Evidence From Chinese A Share Market." Doctoral diss., 2017. http://hdl.handle.net/2286/R.I.44091.
Full textAbstract:
abstract: Shareholder Activism is a mechanism by which investors who hold a significant but
non-majority percentage of a company’s stock, exercise their voting rights, participate in
corporate governance and influence operational decisions of target companies. The
purpose is improve corporate governance, increase firm performance and boost share
-holders’ returns. Existing studies of shareholder activism, based largely in mature
capital markets like the US, come to different conclusions regarding its impact on firm
performance.
In this paper, I collect data on shareholder activism events in the China A Share
market between 2006 and 2016. The sample includes 60 companies targeted by 42
activist investors over this period. I find that institutional investors, typically industrial
capital and private funds, playing an increasingly important role in corporate governance
of Chinese listed companies through activism. The disclosure of the holdings of activists
results in large gains in the target firm. I also find subsequent improvements in long
-term operational performance of target firms. Activist investors in China focus on
smaller targets and those characterized by higher agency costs and lower operating
performance. Activists appear to be largely concerned with improvements in business
strategy and M&A activity. Non-hostile behavior is more likely to be related to successful
activism in China. In addition to statistical evidence, I present case studies of the
“BaoWan dispute” and the activist investment of Butterfly Capital in two firms,
“Guonong” and “Xiuqiang”. The case studies highlight the mechanism employed by these
firms to influence performance.
I conclude with policy recommendations and direction for further research.Dissertation/Thesis
Doctoral Dissertation Business Administration 2017
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Hsu, Fei-cheng, and 許飛正. "A nalysis of Trading Behaviors amoung Various Types of Investors in Taiwan Stock Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/20474080521170215652.
Full textAbstract:
碩士國立中正大學
會計所
94
This study is to evaluate if the trade behaviors of various type of investors in Taiwan can be explained by the various price-based trading strategies defined in the recent literature in behavior finance and evaluate if certain investor type is implementing the Sophisticated Technical Trading Strategy that also takes into account the relative price momentum to earnings. Our study focuses on trading behavior generated by returns up to six months in the past. The results show that foreign traders, mutual funds, domestic security firms, and individual investors all tended to be momentum traders irrespective of firm size, industry, and trade volume. Foreign traders seem to show more significant momentum trading in the electronic stocks and stocks with larger capitalization and trade volume. On the other hand, mutual funds, domestic security firms, and individual investors seem to indicate more significant momentum trading in the traditional industry stocks. As regards the Sophisticated Technical Trading in which investors consider the relative consistency of earning surprise and past price return, our results show that only domestic security firms is implementing the Sophisticated Technical Trading Strategy.
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Li, Chia-Yi, and 李佳益. "The Investment Strategies for Different Types of Investors: Evidence from the Taiwan Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/b52vk2.
Full textAbstract:
碩士國立勤益科技大學
工業工程與管理系
101
There were many empirical studies and theoretical discussed about the appearance of anomalies of momentum strategy return. The literature of recent years thought that the abnormal return of momentum strategy would be explained by macroeconomics. This study used the perspective of behavioral finance to discuss the investment strategies for different types of investors. We divide the five type investors into institute and nature investors and use the Taiwan stock market intraday trade as a sample. The period of study is from January to June, 2011. This paper adopts the momentum trading strategy to survey all kinds of investment strategy and performance of investors. The results show that the Taiwan stock market intraday did take the momentum strategy. In other words, the momentum strategy could obtain a relatively high reward.
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HOU, WEI-YU, and 侯威宇. "How Do the Trading Volume of Different Types of Investors Impact the Abnormal Returns ?" Thesis, 2017. http://ndltd.ncl.edu.tw/handle/q58pan.
Full textAbstract:
碩士國立雲林科技大學
財務金融系
105
This study uses the event study method to realize the fluency of trading volume by different investors groups. The research’s data are based on the information of 106 listed companies in Taiwan and their statement dates during 2012-2015, and the stock trading volume in 10 days before and after the statement, reckoning whether the investor groups have got the information earlier than formal announcement. After the analysis, the result demonstrates the parts of abnormal return and transaction have positive reaction. According to results, we can comprehend: 1. The date of publishing statements, the stock price and trading volume has absolute relation. During the events that the EPS was higher than before, all of the investor groups would have immediate reaction. The investors can earn the abnormal return by knowing the statement earlier than announcement. 2. The retail investors had immediate reaction during the events that the EPS was lower than before. They can make the risk hedge by knowing the news early.
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Lin, Chiao-hui, and 林巧惠. "Type of Institutional Investors, Corporate Governance and Strategic Asset Impairment Recognized." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/35916402005487392081.
Full textAbstract:
碩士朝陽科技大學
會計所
97
Since asset impairment has been brought into practice in Taiwan from 2004, most past researches had only focused on market reaction of asset impairment, company features, motivation, and adoption timing. However, few of studies discussed issues of asset impairment reversing. As a result, this study integrating asset impairment recognized and its reversing comprehensively then examines the effect of strategic earning management induced from subjective judgment and discretionary space allowed in Statement of Financial Accounting Standards No. 35 (SFAS 35). Firstly, Koh (2003, 2007) examines the association between institutional investors’ characteristics and earnings management. This study expands the concept of Kho (2007) and further divides institutional investors into two types, i.e., long term stakeholding and short term stakeholding, and investigates the roles that different types of holding stake of institutional investors play on companies’ asset impairment and following reversing unrealized gain occurred. Secondly, prior studies reveal the direct relationship between corporate governance system and strategic accounting report. It is worthy to discuss the relationship among variables of corporate governance, asset impairment and reversing earnings occurred afterward when the recognition of asset impairment is part of company’s strategic accounting report. In summary, this study examines the association between institutional investors and corporate governance and discusses the effects of recognition of asset impairment and reversing unrealized gain occurred. The empirical results show that taking big bath and income smoothing are significantly associated with asset impairment, yet there is no significant influences on the reversing unrealized gain. Further, incorporating institutional investors into discussion of firm’s strategic earnings management shows no significant relationship between type of institutional investors and strategic earnings management. However, long term or short term institutional investors is positive relationship with asset impairment recognized. Therefore, this study infers that institutional investors who expect to maximize earnings will support firm’s strategic earnings management. Although it is not significant in subsequent reversing unrealized gain, the sign of the long term institutional investors conforms to the hypothesis conjecture. Finally, in view of corporate governance, this study finds that superior corporate governance indeed restrains earnings management of asset impairment. Under the model of reversing asset impairment, there is partially support with income smoothing. However, in the circumstance of taking a big bath, the same positive reaction presented with income smoothing. These results demonstrate the companies’ actual reaction to asset impairment reversing under the superior corporate governance.
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Liao, Wenju, and 廖文如. "Business Cycle and Order Imbalance by Investor Type: Evidence from the Taiwan Futures Exchange." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/04469103155061615827.
Full textAbstract:
博士國立暨南國際大學
國際企業學系
100
This dissertation uses high-frequency transaction data obtained from the Taiwan Futures Exchange (TAIFEX) to analyze the dynamics between returns and trading flows by institutional and individual investors and to test whether the dynamic relationship changes with different market conditions. The results show that returns and trading flows by investor type are positively related contemporaneously. Because market trading activities and trading patterns of investors change under different business conditions, the relationship between investors’ trading and returns can vary across different market phases. The results also indicate that institutional investors are winners and individual investors are losers. Institutional investors not only have favorable market timing ability, but also perform better in bull markets. Contrarily, consistent with overconfidence theory, individual investors have unfavorable market timing ability during their intense buying especially in bull market.
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Lu, Chin-Wei, and 盧勁瑋. "Impact of the magnet effect on investor type: Evidence from the Taiwan stock market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/8s7f92.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
103
This paper investigates the relation of magnet effect, various types of investors and the order strategy. Following Hsieh, Kim and Yang (2009), this study analyzes what types of investors are the source of magnet effect. Extended to different types of investors under order strategy, whether the impact on the magnetic effect. This study uses the logit regression model to examine the magnet effect with various types of investors. The empirical results shows, first, that the price limit acts as a magnet and further pushes the price even closer to the limit. Second, the price limit will affect the investors'' orders. When the price approaches to the price limit, investors become irrational, especially the individual investors. Third, the institution investors are at fall model, which magnet happens earlier than rise model .That shows the institution investors will be irrational when the price fall.
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Fang, Chun-Jen, and 方俊人. "Investor''s Attention and Sentiment Impact Volatility Effect: Through Lottery-Type Comovement." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/ajsbw9.
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Shiau, Jr-Jie, and 蕭志杰. "A Study of the Association of Types of Investors and Price Discount on Private Placement." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/35013877463900739458.
Full textAbstract:
碩士崑山科技大學
企業管理研究所
101
In this study, the end of 2003 to 2011, listed on the OTC total of 526 private placement of common shares and preferred stocks event as samples to view the subscriber type of private equity discount rate. , Private equity discount rate to take Lai Xiu-Qing, LI Hong-Zhi Tang Pei-Hua (2011) measured in three ways: completion of the private placement closing price, the shareholders 'meeting the day before the tenth day after the average closing price of the closing price and the shareholders' meeting and private calculated as the difference between the price. The empirical results show that: the application whether a person is "internal" discount rate after the shareholders 'meeting on the 10th, the 1st discount rate "and" private "shareholders' meeting before the completion date discount rate" were not significant negative influence, significant negative impact and non-significant positive effect; discount rate "and" shareholders 'meeting after the shareholders' meeting on the 10th day before the discount rate ", consistent with the expected direction, support the application of human internal, private discount rate than the external human small view; should be raised if to insiders of the directors and supervisors or the relationship between people ", because their private motives in the consolidation of the right to operate, thus requiring the discount is lower, even to accept the premium should be raised; addition, "managers in the private equity should be raised artificially insiders and major shareholders" because their private motivation for personal gain, the required discount rate may be larger. When the private application of the human external investment among active investors or strategic investors, the discount rate is not negative investor is small.
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Lin, Kuan-Yu, and 林冠宇. "An Empirical Study of Intraday Herding Behavior for Different Types of Investors in the Taiwan Stock Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/37005285105306308731.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
96
In this study, we analyses whether Foreign Investors, Mutual funds, Security Dealers and Individual investors are engaged in herding behavior in Taiwan stock market. Different from past literature use infrequent trade data, we use intraday high frequent order data to observe investors’ herding behavior closely and measure accurately. We employ the measure of herding by Lakonishok et al.（1992）and Wermers（1999）.We find all investors use herding in Taiwan stock market. It shows that herding follows U-shaped intraday pattern and the most emphasis is Mutual funds, better than Foreign Investors, Security Dealers and individual investors might not be so obvious. In stock size, it is apparent that individual investors are heavily engaged in trading high capitalization stocks, and more herding by institutional investors in small stocks than in large stocks. Besides, we segregate past return by quintile; this is done to investigate the tendency of investors to trade together due to common feedback strategies. We find institutional investors do not execute feedback trading strategies, and negative feedback trading strategies by individual investors in intraday return. But in daily return we find that Foreign Investors and Mutual funds use positive feedback trading strategies and evidence in favor of the employment of negative feedback trading strategies by Security Dealers and individual investors do not execute feedback trading strategies. Finally, we tests to provide evidence on whether investors destabilize or stabilize stock prices. We find that intraday trading by Foreign Investors and individual investors had a destabilizing effect on Taiwan stock market, and no evidence that daily trading of all investors had impact on stock prices.
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Cheng, Yi-Ting, and 鄭宜庭. "The Dynamic Analysis of Intraday Herding Behavior for Different Types of Investors in the Taiwan Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/26084713065286325584.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
97
We analyze whether Security Dealers,Mutual funds, Foreign Investors and Individual Investors are engaged in herding behavior in Taiwan stock market. Besides, we examine the daily and intraday relationship between characteristics of stocks and herding behavior of investors.Lastly,we use VAR and Granger Causality to detect whether leading or not of the behavior of herding for different types of investor.We use high frequency intraday data and employ the measure of herding by Patterson and Sharma(2005)to observe investors'' herding behavior.We find that all investors do not have herding behavior in intraday,but Foreign Investors have herding behavior in daily. In characteristic of stocks, Foreign Investors and Individual Investors are heavily engaged in trading high capitalization stocks, high turnover stocks and low Price-Book Ratio stocks in intraday and daily. Security Dealers are similar to Mutual funds except that Security Dealers are heavily engaged in trading high Price-Book Ratio stocks in intraday.In past return,intraday results are similar to daily for different types of investors. Security Dealers are unapparent that they use herding in some past return quintile.Mutual funds use more herding in low past return quintile than high past return quintile and Foreign Investors are opposite to them.Individual Investors are heavily engaged in trading the lowest and the highest past return quintiles. In addition, by VAR and Granger causility tset,We find the herding behavior of Foreign Investors and Mutual fund lead by Individual Investors.
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謝育芬. "The effect of weather on disposition effect of different types of investors: Evidence from the Taiwan futures exchange." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/4zfdza.
Full textAbstract:
碩士國立政治大學
財務管理研究所
104
There are many studies indicated that weather influences investors’ mood and risk attitude, which then affect investors’ behavior and decision-making. The purpose of this paper is to research how weather influences disposition effect of different types of investors in the futures market through its effect on risk preference. In this paper, we examine two hypotheses. First, we test whether disposition effect may vary across different types of investors. Second, we test how weather influences disposition effect of different types of investors. Using the dataset from TAIFEX, we find both domestic corporations and domestic individuals have significant disposition effect. Domestic individuals have higher disposition effect than domestic corporations. Moreover, we find there is positive relationship between temperature and disposition effect of both domestic corporations and domestic individuals. There is positive relationship between rain and disposition effect of foreign institutions. There is positive relationship between sunshine and disposition effect of domestic individuals. The results indicate that weather influences disposition effect of different types of investors.
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Fang, Hao, and 方豪. "An Empirical Study of Herding for the Three Major Types of Institutional Investors in the Taiwan Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/wuczm4.
Full textAbstract:
博士銘傳大學
管理研究所
97
This study examines whether share ownership adjustments and the herding measures of overbought and oversold on numbers and dollar amount by institutional investors in the Taiwan stock market are accompanied by herding effect, feedback trading, cascading and herding impact on price. This study clarifies whether institutional herding behavior in Taiwan results mainly from informational cascades rather than habit investing and on what types of stocks such herding behaviors occur. This study constructs a more rigorous two-dimensional research procedure to clarify which factor, including changes in institutional ownership with past returns, earnings, book-to-market ratio effect, or size effect can effectively interpret abnormal returns on stocks, and investigate the cross-sectional and time-series correlations between abnormal returns during holding periods and corresponding changes in institutional ownership. This study finally uses a panel threshold regression model to explore whether the price impact of institutional herding in this stock market is affected by firm size. The most important outcomes of this study are listed below: 1.Herding effect was observed in share ownership adjustments of foreign investors and mutual funds, but not in share ownership changes of dealers. The herding effect between changes in share ownership of foreign investors and mutual funds and abnormal returns stems primarily from “changes in their share ownership driving abnormal returns”. Share ownership adjustments of foreign investors and mutual funds exhibit positive feedback trading and cascading, whereas negative feedback trading and no cascading were observed in changes in share ownership of dealers. 2.The short-term overbought herding measure and the mid-to-long-term oversold in dollar ratio by QFIIs are associated with herding effects resulting from positive feedback trading among QFIIs; however, short-to-mid-term and long-term oversold herding measures by QFIIs do not generate any herding effect. The short-to mid-term overbought in dollar ratio by QFIIs is associated with clear herding effects, resulting primarily from the price impact of herding. 3. This study demonstrates that there is a significantly positive relation in the fraction of QFIIs’ buying over the adjacent two months even after taking the momentum trading into account. We find that QFIIs’ informational cascades are focused on past winner stocks, highly-liquid stocks, and glamour stocks. 4. The two-dimensional research design revealed that all of the above variables and changes in share ownership of the three major types of institutional investors have remarkable influences on abnormal returns over various holding periods. In addition, the abnormal returns driven by any of the four variables proposed previously may vary depending on the level of herding; their correlations are positive. Most importantly, investors may regard “changes in shareholding by three major institutional investors during the holding period” as a signal of “short-term following and reverse adjustment.” 5. Since foreign investors in the Taiwan stock market prefer to hold large-size stocks in the TSE-listed firms, there is an apparent increase in the subsequent abnormal returns on such stocks bought in bulk by foreign investors. Other investors could follow foreign investors to purchase stocks of large-size firms in generally electronics and plastics sectors and hold them for one month to obtain positive abnormal returns.
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Cheng, Wei-ling, and 鄭為齡. "How "Capital Reduction Policy" of Different Types of Listed Companies in Taiwan Affect Investors'' Rate of Return." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/62179358175184998029.
Full textAbstract:
碩士國立中央大學
財務金融學系碩士在職專班
98
ABSTRACT This research focuses on the impact of different types of reduction on stockholders'' equity return. The data used in this research include the companies that had capital reduction from the year 1999 through 2009. We also compare the financial ratios of the before and after reduction and the resulting stock price change due to the announcement. The study shows that capital reduction to compensate loss and the share-in -stock reduction lead to the significant rise of debt ratio. This means that most reduction was done through borrowing money. One year after the cash capital reduction to make up for the loss we have found that EPS and Roe clearly goes up, which indicates the improvement of financial structure. But in company operation, and profitiblitlty, and NI/S, the change is minimal, and this means capital reduction does not actually affect company operation. Furthermore, when examining the excessive return 15 days after the announcement, it is found the average excessive returns are -0.3%, -0.037% and 18%. The standard deviation is 1.06%, 0.48%.and 0.46% respectively. Under t test, we find that loss compensation capital reduction shows negative return. Under cash capital reduction, even though the excessive return is negative, it is not significant. However the share –in- stock capital reduction, draws in more positive excess rewards.
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Reis, Pedro Dias. "The effect of type of Investor on Simple Technical Trading Rules: evidence from the Portuguese and Spanish Market." Dissertação, 2016. https://repositorio-aberto.up.pt/handle/10216/86218.
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Hsieh, Ya-Chen, and 謝亞辰. "Impact of the magnet effect on short-sales constraints and investor type: Evidence from the Taiwan stock market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/22349477062324303359.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
102
This paper investigates the magnet effect with various types of investors under different extent of the binding of short-sale constraints. Following Hsieh, Kim and Yang (2009), this study uses the logit regression model to examine the magnet effect with various types of investors. In addition, this paper further examines whether the extent of the binding of short-sale constraints affects the magnet effect. The empirical results are presented as follows. First, the conditional probability of a price increase (decrease) increases significantly when the price approaches to the upper (lower) price limit. Second, under different short-sales constraints and investor types, the magnet effects are different when the stock prices increase and decrease. Finally, using institutional ownership as a proxy of the extent of the binding of short-sale constraint, the results show that the higher institutional ownership is related to lower asymmetric information.
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Reis, Pedro Dias. "The effect of type of Investor on Simple Technical Trading Rules: evidence from the Portuguese and Spanish Market." Master's thesis, 2016. https://repositorio-aberto.up.pt/handle/10216/86218.
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Chen, Meng-Chian, and 陳孟謙. "Investors'' type, Sentiment, and Option Skewness－Empirical Evidence from Taiwan Stock Index Option." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/27542720884075478640.
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碩士國立高雄第一科技大學
金融研究所
100
After Taiwan stock index options (TXO) have been listed in the Taiwan Futures Exchange (TAIFEX) at December 24, 2001, the option market has become much more prosperous. Therefore, arbitrageurs and investors have regarded TXO as one of the best financial instruments for the purpose of hedging. This paper examines whether investor sentiment proxy will affect the risk-neutral skewness of index option and the slope of the index option volatility smile. And we find that the risk-neutral skewness of index option is more (less) negative and the slope of the index option volatility smile is steeper (flatter) when investor sentiment proxy becomes more bearish (bullish). In this paper, we follow the model of Bollen and Whaley (2004) and use the conception of Han (2008) for the purpose to construct other investor sentiment roxies which are called Put-Call Trading Volume Ratio, Buy-Sell Imbalance,Proportion of Day-Trades, Put-Call Open Interest Ratio, and Turnover Ratio. And we eparate different types of investor, such as individual investor, local company, foreign apital, futures and securities dealers, investment trust company, and ,market maker. he result is that individual investor has the strongest effect than the other types of nvestors.
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Lu, Chun-Ting, and 盧俊廷. "Which Type of Investors Makes More Money in the Falling Market, Volatility or Direction Traders?" Thesis, 2013. http://ndltd.ncl.edu.tw/handle/43583813186017734181.
Full textAbstract:
碩士東海大學
財務金融學系
101
This study compares the influences of direction traders and volatility traders on option prices and investigates whether these impacts differ in the rising and falling markets. Based on empirical results, we first find that the impact of direction traders on TAIEX option prices is evident in both the bullish and bearish markets. It indicates that the direction traders on average make money no matter which market status is in. However, the impact of volatility traders is in a very different pattern. We find that the change in OTM call option prices can be accounted for the volatility-learning hypothesis in both the bullish and bearish markets, although the impact of volatility traders on ATM call prices is only observed during the uptrend period. Moreover, only the price movements of OTM put options in the bullish market can be attributed to trading of volatility traders. It implies that the volatility traders tend to trade low-premium OTM options when the market is in the opposite direction against investigated options, and the effect of hedging purposes dominate put option prices more than volatility-learning effect does in the bearish market. Moreover, the trading performances show that direction traders have more probability to earn profits than volatility traders do. We also find the factor of market status seems to have no impact on performances of the two type strategies. Nevertheless, the empirical evidences exhibit that there still exists opportunities for direction traders to earn riskless arbitrage profits from the TAIEX option market.