| 摘要: | 本研究採用NBINGARCH（1,1）計次資料模型分析交易人行為對日內股市漲跌的影響，以機構投資人（外資、投信、自營商）買賣超餘額、融資餘額變動率、融券餘額變動率等變數，探討其分別對於台灣加權股價指數大盤、開盤後一小時、盤中、收盤前一小時之上漲（下跌）次數是否具有顯著性的影響。
實證結果發現：1.外資在大盤下跌（上漲）時會增加（出脫）持股的負向回饋交易，與其他交易人受大盤下跌（上漲）影響反而有恐慌性賣出（買進）之行為有所不同，而且在收盤時段，以及開盤時段大盤下跌時的日內效果特別顯著，推論其握有私有資訊。2.投信則與外資相同，與收盤時段上漲（下跌）次數有顯著負向（正向）關係，推論其也具有私有資訊，但與大盤上漲（下跌）次數不顯著。3.自營商雖然同為機構投資人，卻有不同的表現，與大盤，以及開收盤、盤中時段之上漲（下跌）次數有正向（負向）關係，漲時助長、跌時助跌之正向回饋交易，推論其為雜訊交易者。4.融資餘額變動率常被作為散戶投資情緒的觀察指標，其與大盤、開收盤及盤中時段之上漲（下跌）次數呈現顯著正向關係，所以認為散戶為雜訊交易者。5.融券餘額變動率僅與收盤時段之下跌次數有正向關係。
This paper used NBINGARCH(1, 1) count data model to analyze the effects of investors’ trading behavior on the rise and fall of intraday stock market. We examined whether the variables including the net buy/sell for institutional investors (foreign investors, investment trust and dealers), the change of balance of margin loan and stock loan had significantly influence on the rise and fall of TAIEX among the first hour, the middle and the last hour trading period.
Empirical results showed as follows：1. Foreign investors engaged in negative feedback trading by increasing (decreasing) share holdings when TAIEX fell (rose). They were different from other traders who were affected by TAIEX to sell shares with panic when TAIEX fell and buy shares when TAIEX rose. Meanwhile, the intraday effects were especially significant among the closing trading period no matter what the rise and fall of TAIEX, and the fall of TAIEX among the beginning trading period. So, we inferred foreign investors held private information. 2. Investment trust had the same trading behavior as foreign investors. Their trading behavior was negative (positive) relation with the rise (fall) of TAIEX among the closing trading period. So, we inferred they also held private information. But, it wasn’t significant relation with the rise (fall) of TAIEX among the whole trading day. 3. Although dealers were institutional investors too, their trading behavior was different from others. It was positive (negative) relation with the rise (fall) of TAIEX among the whole trading day, the beginning, the closing and the middle trading period. They engaged in positive feedback trading, therefore we inferred they were noise traders. 4. The change of balance of margin loan often used as the sentiment index of individual investors. Their trading behavior indicated significant relation with the rise (fall) of TAIEX among the whole trading day, the beginning, the closing and the middle trading period. They engaged in positive feedback trading. We thought individual investors were noise traders. 5. The change of balance of stock loan was positive relation with the fall of TAIEX among the closing period only. |
