|題名: ||股票成交量與報酬率關係之研究 : 從投資人情緒觀點探討|
|其他題名: ||A study of relationships between volume and stock returns : from the aspect of investor sentiment|
|作者: ||羅玟甄;Lo, Wen-Chen|
莊武仁;歐陽良裕;Chuang, Wu-Jen;Ouyang, Liang-Yuh
|關鍵詞: ||投資人情緒;成交量;超額報酬率;量價動態交互關係;雜訊交易;Investor Sentiment;Trading Volume;Excess returns;dynamic volume-return relation;noise trading;liquidity trading|
|上傳時間: ||2011-12-28 18:17:49 (UTC+8)|
Theoretically, investors are thought to be rational under the efficient market hypothesis (EMH). Under EMH, investors are assumed to be rational and therefore to value securities rationally. Even if some investors trade irrationally, they would trade in a random way, and their irrational trading can be cancelled out by other different and uncorrelated irrational trading. Many empirical studies show that the irrational investor behavior not only exists in the stock market but also has significant influences on the formation of prices. In addition, studies also argue the importance of investor sentiment in the stock market and contain interpretations of the influence of the sentiment beliefs on the formation of stocks price. Hence, such irrational behavior can be discussed further.
Trading volume is basic market statistics to signal stock prices and to help investors make decisions. Investors are used to predicting stock prices by analyzing trading volume. High stock prices frequently follow high level of trading volume and low prices appear after unusual low volume. Besides, investors observe trading volume and stock prices together to predict stock prices. For example, investors may keep on buying when both trading volume and stock prices increase steadily. However, investors tend to sell stocks when they observe an increased volume accompanied decreased prices. The importance of trading volume is not only noticed by market participants, but also acknowledged by theorists. Lee and Swaminathan (2000) as well as Shiller ( 2000) propose that trading volume can be used as a proxy for the measurement of the fluctuations in investor sentiment. Moreover, based upon the overconfidence proposition, the self-attribution biases drive investors’ trading a lot, and such behavior affects future returns.
Hence, this paper investigates the relation between trading volume and investor sentiment. We hope to uncover information content of trading volume furthermore and give investors more valuable information when making investing decisions. The main conclusions are summarized as followings: First, we find the change in trading volume can be used as a proxy for investor sentiment. Investor sentiment has a positive and significant influence on excess returns on Taiwan stock market. Second, based upon the overconfidence proposition, the dynamic relation between unusual volume and returns has significant predicting power to future returns. Finally, unusual high volume can signal the liquidity trading with speculative needs. Unusual high net individual trading can reflect the liquidity trading with risk-sharing needs or irrational behavior. The combination of unusual high trading activities and unusual returns can detect the presence of the noise trading.