成功大學博碩士論文系統

簡易檢索 / 詳目顯示

回結果列表

研究生：	余慧娟 Yu, Huei-Jiuan
論文名稱：	台灣期貨市場散戶之交易行為-以台指期為例 Individual Investors' Behavior in Taiwan Futures Market:Evidence from TAIEX futures
指導教授：	陳俊男 Chen, Chun-Nan
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2008
畢業學年度：	96
語文別：	英文
論文頁數：	85
中文關鍵詞：	台灣期貨市場、散戶
外文關鍵詞：	Taiwan futures market, individual investors, type of trader
相關次數：	點閱：133 下載：3
分享至:	分享至facebook 分享至twitter

查詢本校圖書館目錄查詢臺灣博碩士論文知識加值系統勘誤回報

This study examines the dynamic interactions among trading volume, net payoff, and price volatility of domestic and foreign individual investors in futures market. We analyze daily order and trading data of the TAIEX index futures, which obtained from Taiwan Futures Exchange (TAIFEX), over the interval from March 27, 2006 to September 19, 2007. We use vector autoregressive analysis (VAR) to identify the nature and relation between variables. The empirical evidence indicates that small investors are losers, whereas large investors are winners. In addition, we find a significant Granger causal relation between net payoff and price volatility, even though a uni-directional volume-volatility relation does exist in some of our models. This result provides an interesting finding for domestic individual investors’ behavior in futures market, but what the cause of this still needs further investigation. Furthermore, domestic individual investors are willing to increase buying ratio when the previous market return increase, implying that domestic individual investors are positive feedback traders in futures market.

Contents
Chapter 1 Introduction...................................1
Chapter 2 Literature Review..............................5
I.Performance of Traders.................................5
II.Volume–Payoff Relationship...........................6
III.Volume-Volatility Relationship.......................8
IV.Persistence of volume, payoff, and volatility.........9
V.Exogenous variables 
(Open interest, net buys/sells trading value of QFII and Dealers).................................................10
Chapter 3  Data and Research Methodology.................12
I.Data...................................................12
II.Methodology...........................................13
III.Appropriate Lag Length...............................15
IV.Granger Causality Test................................16
V.Impulse Response Function and Variance Decomposition...16
VI.Selection of Trading Activity Variables...............17
A.Open interest (OI).....................................17
B.Volume.................................................18
C.Payoff.................................................19
D.Volatility.............................................22
Chapter 4 Empirical Evidence.............................23
I.Descriptive Statistics.................................23
II.The sub-group VAR model for individual and institutional investors..................................28
III.The sub-group VAR model for domestic individual investors................................................36
IV.The sub-group VAR model for foreign individual investors................................................43
V.Extensive Analysis.....................................46
Chapter 5 Robustness.....................................54
Chapter 6 Conclusion.....................................59
Reference	................................................62
Appendix.................................................66
List of Tables
Table1  Descriptive Statistics for all kinds of variables of each category traders.................................25
Table2  Descriptive Statistics for A) different kinds of ratio as profit ability of each category traders. 
B) Taiwan future market and stock market information.....27
Table3  Granger-Causality Tests for two sub-groups.......30
Table4  Recursive VAR model for two sub-groups, individual investors and institutional investors....................30
Table5  Variance decompositions from the recursive VAR ordered as volume, net payoff, volatility for two sub-groups...................................................32
Table6  Three-variable VAR and Granger-Causality Tests for domestic individual investors............................38
Table7  Three-variable VARX and Granger-Causality Tests for domestic individual investors........................39
Table8  Variance decompositions from the VARX model with volume, net payoff, volatility for domestic individual investors................................................41
Table9  Three-variable VAR and Granger-Causality Tests for foreign individual investors.............................44
Table10  Granger-Causality Tests for extensive analysis..47
Table11  VAR estimates of domestic and foreign individual investors for day trade..................................48
Table12 Granger-Causality Tests for extensive analysis by using buying ratio-net payoff-market return of domestic individual investors.....................................51
Table13  Variance decompositions from the Recursive VAR ordered as buying ratio, net payoff, index-change in robustness test of domestic individual investors.........52
Table15  Three-variable VAR and Granger-Causality Tests for robustness...........................................55
Table16  Variance decompositions from the VARX model as volume, net payoff, price volatility for domestic individual investors in mini-TAIEX futures...............57
List of Figures
Figure 1  A. Multiple graphs of domestic individual investors.B. Multiple graphs of foreign individual investors................................................26
Figure 2  Multiple graphs of impulse response for group of individual investors,  over the interval March 27, 2006 to September 19, 2007.......................................34
Figure 3  Multiple graphs of impulse response for group of institutional investors,  over the interval March 27, 2006 to September 19, 2007....................................35
Figure 4  Multiple graphs of impulse response for domestic individual investors,  over the interval March 27, 2006 to September 19, 2007.......................................42
Figure 5  Graph of impulse response from VAR model among buying ratio, net payoff,  market return in extensive analysis for domestic individual investors...............53
Figure 6  Multiple graphs of impulse response from VARX model among volume, net payoff,  price volatility for domestic individual investors in MiNi-TAIEX futures, over the interval March 27, 2006 to September 19, 2007........58
                                    

Andersen, T.G., “Return volatility and trading volume: an information flow interpretation of stochastic volatility.” Journal of Finance, 41 , pp.168–204, 1986.
Bessembinder, H. and P. J. Seguin, “Price volatility, trading volume, and market depth: Evidence from futures markets.” Journal of Financial and Quantitative Analysis, 28, pp.21–40, 1993.
Bessembinder, H. and K. Chan, “Time-varying risk premia and forecastable returns in futures markets.” Journal of Financial Economics, 32, pp.169-193, 1992.
Barber, B. and T. Odean, “Trading is hazardous to your wealth: The common stock investment performance of individual investors.” Journal of Financial Economics, 55, pp.773-806, 2000.
Bollerslev, T., “Generalized autoregressive conditional heteroshedasticity.” Journal of Econometrics, 31, pp.307-327, 1986.
Bollerslev, T., R.Y. Chou, and K.F. Kroner, “ARCH Modeling in Finance: a Review of the Theory and Empirical Evidence.” Journal of Econometrics, 52, pp.5-59, 1992.
Benos, A. V., “Aggressiveness and survival of overconfident traders.” Journal of Financial Markets, 1, pp.353-383, 1998.
Board, J. L. G and C. M. S. Sutcliffe, “Information, Volatility, Volume and Maturity: an Investigation of Stock Index Futures”, Review of Futures Markets, l9, 3, pp.533-549, 1990.
Copeland, T., “A Model of Asset Trading under the Assumption of Sequential Information Arrival.” Journal of Finance, 31, pp.1149-1168, 1976.
Clark, P. K., “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41, pp.135-156, 1973.
Daigler, R. and M. Wiley, “The impact of trader type on the futures volatility–volume relation.” Journal of Finance, 54, pp. 2297–231, 1999.
Delong, J. B., L. H. Shleifer, and R. J. Waldmann, “Positive Feedback Investment Strategies and Destabilizing Rational Speculators.” Journal of Finance, 45, pp.379-395, 1990.
De Bondt, W. and R. Thaler, “Does stock market overreact?” Journal of Finance, 40, pp.793–807, 1985.
Epps, T. W. and M. L. Epps, “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implication for the Mixture-of-Distributions Hypothesis.” Econometrica, 44, pp.305-322, 1976.
Ekholm, A., “How do different types of investors react to new earnings information?” Journal of Business Finance & Accounting, 33, pp. 200–217 2006.
Engle, R. F. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.” Econometrica, 50, 4, pp.987-1007, 1982.
Fung, H. and G. A. Patterson, “The Dynamic Relationship of Volatility, Volume, And Market Depth in Currency Futures Markets.” Journal of International Financial Markets, Institutions and Money, 9, pp.33-59, 1999.
Gervais, S and T. Odean, “Learning to be confident.” Review of Financial Studuies, 14, 2001.
Grinblatt, M. and M. Keloharju, “The investment behavior and performance of various types: A study of Finland’s unique data set.” Journal of Financial Economics, 55, pp.43–67, 2000.
Grinblatt, M., S. Titman, and R. Wermers, “Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.” American Economic Review, 85, pp.1088–1105, 1995.
Grammatikos, T. and A. Saunders, “Futures price variability: a test of maturity and volume effects.” Journal of Business, 59 (2), pp.319–330, 1986.
Gallant, A.R., P. Rossi, and G. Tauchen, “Stock prices and volume.”
Review of Financial Studies, 5, pp.199–242, 1992.
Gervais, S. and T. Odean, “Learning to be Overconfident.” Review of Financial Studies, 14, pp.1-27, 2001
Hartzmark, M. L., “Returns to individual traders of futures: Aggregate results.”
Journal of Political Economy, 95, pp.1292–1306, 1987.
Hartzmark, M. L., “Luck versus forecast ability: Determinants of trader performance in futures markets.” Journal of Business, 64, pp.49–74, 1991.
Harris, L., “Cross-Security Tests of Mixture of Distribution Hypothesis.” Journal of Financial and Quantitative Analysis, 21, pp.39-46, 1986.
Harris, L., “Transaction Data Tests of the Mixture of Distribution Hypothesis.” Journal of Financial and Quantitative Analysis, 22, pp.127-141, 1987.
Harris, M. and A. Raviv, “Differences of Opinion Make a Horse Race.” Review of Financial Studies, 6, pp.473-506, 1993.
Huang, H. W., “The Study of QFII's Investment Policy on the Relation Between the Updated Compulsive Financial Forecast of the Public Listing Firms and the Pre-disclosure of the Newspaper.”, Master's thesis from Accounting department of Chung Yuan Christian University.
Jennings, R.H., L.T. Starks, and J.C. Fellingham, “An Equilibrium Model of Asset Trading with Sequential Information Arrival.” Journal of Finance, 36, pp.143-161, 1981.
Jennings, R.H and C. Barry, “Information Dissemination and Portfolio Choice.” Journal of Financial and Quantitative Analysis, 18, 1-19, 1983.
Jones, C. M., G. Kaul, and M.L. Lipson. “Transactions, volume, and volatility.” Review of Financial Studies. Vol. 7, 631–651, 1994.
Jegadeesh, N. and S. Titman, “Returns to buying winners and selling losers: implications for stock market efficiency.” Journal of Finance, 48, pp.65–91, 1993.
Miffre, J. and G. Rallis, “Momentum strategies in commodity futures markets.” Journal of Banking & Finance, 31, pp.1863–1886, 2007.
Kawaller, I.G., P.D. Koch, and T.W. Koch, “Intraday Relationships between Volatility in S&P500 Futures Prices and Volatility in the S&P500 Index.” Journal of Banking and Finance, 14, pp.373-397, 1990.
Kamesaka, A., J. R. Nofsinger, and H. Kawakita, “Investment patterns and performance of investor groups in Japan.” Pacific-Basin Finance Journal, 11, pp.1–22, 2003.
Karpoff, J. M., “The Relation between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis, 22(1), pp.109-126, 1987.
Karpoff, J. M., “Costly Short Sales and the Correlation of Returns with Volume.” Journal of Financial Research, 11, pp.173-188, 1988.
Lakonishok, J., A. Shleifer, and R. W. Vishny, “The impact of institutional trading on stock prices.” Journal of Financial Economics, 32, 23–43, 1992.
Lin, C. H., H. Hsu, and C. Y. Chiang, “Trading patterns and performance of trader types in Taiwan futures market.” Review of Pacific Basin Financial Markets and Policies, 8, pp.217-234, 2005.
Lin, C. H. and H. Hsu, “The behavior and performance of trader groups in Taiwan futures market.” Taiwan Academy of Management Journal, 4, pp.107–122, 2004.
Luo, J. S. and C. A. Li, “Futures market sentiment and institutional investor behavior in the spot market: The emerging market in Taiwan”, Emerging Markets Finance and Trade, 44, pp.70-86, 2008.
Morse, D., “Asymmetric Information in Securities Market and Trading Volume.” Journal of Financial and Quantitative Analysis, 40, pp.1129-1146, 1980.
Nofsinger, J. R. and R. Sias, “Herding and feedback trading by institutional and individual investors.” Journal of Finance, 54, pp.2263–2295, 1999.
Odean, T., “Do investors trade too much?” American Economic Review, 89, pp.1279-1298, 1999.
Odean, T., “Are investors reluctant to realize their losses?” Journal of Finance, 53, pp.1775–1798, 1998.
Rutledge, D.J.S., “Trading volume and price variability: new evidence on the price effects of speculation.” International Futures Trading Seminar, Chicago Board of Trade, Chicago, pp.160-174, 1979.
Sims, C., “Macroeconomics and Reality.” Econometrica, 48, pp.1-48, 1980.
Shefrin, H. and M. Statman, “The disposition to sell winners too early and ride losers too long: theory and evidence.” Journal of Finance, 40, pp. 777-790, 1985.
Simon, D. P. and R. A. Wiggins, “S&P futures returns and contrary sentiment indicators.” Journal of Futures Markets, 21, pp.447-462, 2001.
Stock, J. H. and M. W. Watson, “Vector Autoregressions.” The Journal of Economic Perspectives, 15 (4), pp.101-115, 2001.
Shalen, C. T., “Volume, Volatility, and the dispersion of beliefs.” The Review of Financial Studies, 6, pp.405-434, 1993.
Tauchen, G. E. and M. Pitts, “The price variability-volume relationship on speculative markets.” Econometrica, 51, pp.485-505, 1983.
Wang, C., “The behavior and performance of major types of futures traders.” Journal of Futures Markets, 23, pp.1–31, 2003.
Wang, C., “Investor sentiment and return predictability in agricultural futures markets.” Journal of Futures Markets, 21, pp.929–952, 2001.
Yang, J., Balyeat, R. B., and Leatham, D. J., “Futures trading activity and commodity cash price volatility.” Journal of Business Finance & Accounting, 32, pp.0306-686X, 2005.

校內：2013-06-24公開
校外：2018-06-24公開

簡易檢索 / 詳目顯示

相關論文