Dissertations / Theses: 'Trading activities of investors'

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Kourtidis, Dimitrios. "Investors' trading activity : a behavioural perspective." Thesis, Glasgow Caledonian University, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.570725.

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Research studies (such as Kiyilar and Acar, 2009) have supported that investors act in irrational ways in some of their investment decisions, and financial models have failed to explain the real investors' behaviour. Investors' trading activity is influenced by personality traits and psychological biases (overconfidence, risk tolerance, self-monitoring, and social influence) and is also affected by mood. The aim of the thesis is to confirm these assumptions by developing and testing a model (using SEM analysis) which would incorporate and examine all of them simultaneously, as it actually happens in real life. The research population includes 345 Greek investors, including individuals' as w~rt' 'as professional' investors who work in various investment companies located all over the country. The data collection included two surveys. The first survey investigated psychological biases and personality traits to find if they correlate with stock trading performance, whereas the second survey examined the psychological predisposition to find whether mood affects stock trading performance. The results have verified that these psychological biases, personality traits and mood, influence investors' trading performance, frequency and volume, providing a complete research model. Another objective of this study was to understand the profile of Greek investors and test if there are differences among them as far as stock trading behaviour (performance, volume and frequency) is concerned. Cluster analysis (three-cluster solution) identified three investors' profiles, the low, moderate and high investor profile, and revealed that high profile investors (with the higher scores on the psychological biases and personality traits) trade high volumes of stocks, make transactions more frequently and earn higher stock profits compared to investors belonging to the other two profiles. A comparative analysis between professionals and individuals has shown that professional investors have higher performance than individuals as far as stock trading is concerned. The results have also shown that professional investors score high on the psychological biases and personality traits examined. The second stage of the study has required iterative data using questions that depict psychological predisposition in a dynamic way. The cluster analysis of 1 Non-professionals 2 Portfolio analysts and stockbrokers 1 the second data set has identified and compared different mood status highlighting differences among groups as far as their mood status and their stock trading performance is concerned. This study has provided evidence supporting the significance of some subjective factors, such as personality traits, psychological biases and emotions in investors' trading activity. The findings have shown that investors who have specific characteristics such as overconfidence, high self-monitoring, risk intolerance, positive mood and sociability are probably better on stock trading performance. ~'A This thesis could enable individual investors and inv;stment advisors, to construct a framework of the profile that contributes to high stock trading performance (a stock trading performance guide). Therefore, investors could possibly ensure the stock trading performance, to the extent that this depends on their profile. Moreover, the study contributes to the field providing a complete and verified research model concerning investors' trading behaviour. Additionally, a contribution of this study is the extensive literature review in the field of behavioural finance which provides a better understanding of behavioural factors and a framework for academics, researchers, individual and professional investors. Keywords: Behavioural Finance; Trading Behaviour; Trading Activity; Model Analysis. JEL Classification: C30, D14, Gll, 016

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Pirinsky, Christo A. "The investment performance and trading behavior of institutional investors." Connect to resource, 2001. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261160983.

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Ansari, Mohammad Tanvir. "Three essays on banks trading activities." Thesis, Queensland University of Technology, 2014. https://eprints.qut.edu.au/78132/1/Md%20Tanvir_Ansari_Thesis.pdf.

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With a fair share of the blame for the subprime crisis pointing to banks' extensive involvement in trading, this thesis examines three closely related issues. The first essay shows that regulatory capital arbitrage, insolvency risk, and non-interest income are all important motivations for banks to become involved in trading. The second essay support the widely held perception that trading activities such as off-balance sheet derivatives, securitization, and assets sales all are making banks more opaque. With banks' business model changing from ''originate and hold'' to ''originate, repackage, and sell'', the last essay show that trading channel exist and it has weakened the effectiveness of monetary policy transmission through banks' capital and lending channel.

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Chen, Yu-Hsiang. "Stock trading and daily life : lay stock investors in Taiwan." Thesis, University of Edinburgh, 2014. http://hdl.handle.net/1842/9753.

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Drawing on recent discussions of relational embeddedness and socio-technical agencement, this thesis analyses the relationship between stock trading and lay investors’ daily lives, including their social relations, activities, events, devices, places, work and ways of thinking. Taiwan’s stock market provides an appropriate location for investigation because of the dominance of lay investors in the market and the high proportion of Taiwan’s adult population who engage in stock trading. The data were obtained from three main sets of sources: in-depth interviews, document analysis and ethnographic observation. I argue that lay market actors are not only framed by the market’s mechanisms, but also by daily-life structures. The Taiwan Stock Exchange, as an electronic, anonymous financial market, has been a challenge to the embeddedness approach due to the absence of direct interaction between the parties to transactions. This study presents another aspect of socio-economic relationships in the market: the role of financial-market activity in wider social interactions. Like taking part in any popular social activity, lay investors’ social ties are maintained and expended by engaging in stock trading. Social relations and stock trading are woven together and form a largely seamless whole, part of lay investors’ daily life. The socio-technical agencements of lay investors contain distinctive features: diversity, bricolage, use of non-professional ‘devices’, action in non-financial places, everyday means of controlling market risk and association with everyday events. The differences between the agencements of lay investors and professional practitioners produce an asymmetry of calculative capabilities between market actors. Superior calculative capabilities tend to give an advantage to professional practitioners in the market, but these strengths are constrained by political and economic factors. This study sheds light on micro social factors, which are comparable with economic, institutional and psychological explanations, in accounting for lay investors’ behaviours in financial markets. The analysis also suggests the compatibility of the three important social science approaches to economic agents: Granovetter’s embeddedness, Zelizer’s relational work and Callon’s agencement.

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Magron, Camille-Eléonore. "Portfolio management by individual investors : a behavioral approach." Thesis, Strasbourg, 2014. http://www.theses.fr/2014STRAB007/document.

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Cette thèse est composée de quatre chapitres qui contribuent à une meilleure connaissance des comportements d’échange des investisseurs individuels et de leur performance. Dans le premier chapitre, nous réalisons la première étude consacrée aux performances de portefeuille des investisseurs individuels français. A partir d’une base de données de plus de 8 millions de transactions réalisées par 56 723 investisseurs, nous montrons que les investisseurs français affichent des rentabilités ajustées au risque négatives sur leurs portefeuilles et font des choix d’investissement pénalisants. De plus, nous mettons en évidence que les investisseurs les plus sophistiqués ne sont pas plus performants que leurs pairs.Dans le second chapitre, nous montrons que l’aspiration individuelle constitue un déterminant clé pour expliquer l’hétérogénéité des performances de portefeuille. Nous définissons les aspirations selon la Théorie Comportementale du Portefeuille. Les investisseurs qui ont de fortes aspirations détiennent des portefeuilles plus risqués, échangent plus fréquemment et diversifient moins que les investisseurs ayant de faibles aspirations. En contrôlant de la fréquence des échanges, de la diversification et des facteurs de risque habituels, nous montrons que les investisseurs ayant de fortes aspirations sous-performent les investisseurs ayant de faibles aspirations.Dans le troisième chapitre nous analysons les performances des investisseurs individuels via des mesures adaptées à leurs préférences. Lorsque leurs performances sont évaluées avec ces mesures plutôt qu’avec le ratio de Sharpe, une plus grande part des investisseurs bat l’indice de marché. Cette observation jette un regard nouveau sur les capacités de gestion des investisseurs individuels. Cependant, nous montrons que l’amélioration des performances est liée à la skewness des portefeuilles plutôt qu’à une sélection de titres pertinente.Dans le dernier chapitre, nous explorons les comportements de rachat des investisseurs individuels. Nous montrons que les investisseurs préfèrent racheter (1) les titres pour lesquels ils ont réalisé une plus-value lors de la vente (2) les titres dont le prix a diminué depuis la vente. Nos tests excluent les explications rationnelles et confirment que l’évitement du regret est à l’origine de tels comportements. Sur la base d’une analyse de survie, nous montrons que les investisseurs sophistiqués sont moins sujets à ces préférences This dissertation is composed of four chapters that make a substantial contribution to existing knowledge of the trading behavior and performance of individual investors. The first chapter provides the most extensive study of the trading performance of French individual investors to date. Based on a large database of nearly 8 million trades realized by56,723 investors, we show that French investors exhibit negative risk-adjusted returns on their portfolios, and make penalizing choices in their trades. We find that more sophisticated investors do not perform better than their peers, and we conclude that investors would gain more from applying a passive strategy. In the second chapter, we evidence that individual aspiration is a key determinant of existing heterogeneity in portfolio performance. We define aspirations according to the Behavioral Portfolio Theory. Investors who have high aspirations hold riskier portfolios, trade more frequently and diversify less than investors who have low aspirations. After controlling for turnover, diversification and usual risk factors, we find that investors with high aspirations underperform investors with low aspirations.In the third chapter we highlight alternative measures of performance that efficiently convey the real preferences of investors. When they are evaluated with these alternative measures rather than with the Sharpe ratio, a higher proportion of investors beat the market index. This observation challenges the global evidence that individual investors are poor portfolio managers. However, our evidence suggests that the improvement of an investor’s performance is linked to portfolio skewness rather than relevant stock selection.In the last chapter, we explore the repurchase behavior of individual investors. We find that French investors prefer to repurchase (1) stocks that have been sold for a gain and (2) stocks that have lost value since their sale. Our tests exclude rational explanations for these preferences and confirm our hypothesis that such patterns can be traced to the avoidance of regret in trades. We use survival analysis to demonstrate that sophisticated investors suffer less from there purchase preferences

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Lee, Adrian David Banking &amp Finance Australian School of Business UNSW. "Active equity fund management: Benchmarking and trading behaviour." Publisher:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43403.

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This thesis investigates key issues concerning how active equity fund managers add value: measuring alpha (Chapter 3), generating alpha (Chapters 4, 5 and 6) and transaction cost minimisation (Chapter 7). Chapter 3 proposes important methodological adjustments to the widely adopted benchmarking methodology of Daniel, Grinblatt, Titman and Wermers (1997). Applying this modified benchmark to a sample of active funds and simulated passive portfolios that mimic fund manager style characteristics, statistically lower tracking error is documented, compared with using the standard methodology. These findings suggest that improved specifications of characteristic benchmarks represent better methods in accurately quantifying fund manager skill. Chapter 4 examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active funds. When considering a large range of strategies incorporating portfolio holdings information, the top performing strategies are robust to data-snooping and are economically and statistically significant when incorporating transaction costs. Accounting for look-ahead bias in the formation of a strategy, statistically significant alpha of at least 6.88 percent per year is found when following the best performing strategy holding 20 stocks or more in the previous month. Chapter 5 examines the relation of active equity fund managers location proximity to a stock??s corporate headquarter using portfolio holdings data. Contrary to much international research, this study reveals evidence inconsistent with a location advantage for Melbourne and Sydney-based funds. Chapter 6 examines retail investor trading on the Australian Stock Exchange. The performance of retail investors is highly heterogeneous: discount (non-discount) retail brokerage investors lose -0.59 (-0.05) percent intraday and experience negative (positive) returns over the subsequent year. These findings are inconsistent with retail investors exerting price pressure or providing liquidity to institutions. Chapter 7 examines whether equity fund managers use multiple brokers in a trade package in order to lower their price impact and brokerage costs. Using the daily trades of funds, multiple broker trades are not found to have lower costs compared to a single broker, even when controlling for the informativeness of the trade package and potential endogeneity. These findings suggest that fund managers do not lower their costs when using multiple brokers.

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Ainsworth, Andrew Brent Banking &amp Finance Australian School of Business UNSW. "Institutional investors: an analysis of investment style, dividends and trading behaviour." Publisher:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/44406.

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This dissertation considers two important issues relevant to the efficiency of institutional investment managers. It examines the trading behaviour of institutional equity funds in relation to investment style drift and dividend payments to assess whether trading is beneficial to investors in these funds. The analysis of investment style is relevant because of the prominence of multiple manager funds in Australia, while institutional investor preferences for dividend income will impact the after-tax return of fund investors. Firstly, monthly equity fund portfolio holdings are used to examine the magnitude of investment style drift. Institutional investor style tilts are consistent with their self-stated investment objective. Decomposing style drift into active and passive components reveals that institutions retain a desired portfolio tilt by actively adjusting their portfolio holdings in response to passive style drift. Furthermore, funds are most responsive to changes in book-to-market and momentum drift, with style drift affecting portfolio turnover. Secondly, the dissertation presents an equilibrium framework of dividend valuation and ex-dividend trading under Australia??s imputation tax system. An examination of returns, volume, and order imbalance in the Australian equity market shows that investors value dividends. The results are consistent with long-term investors accelerating trades to the cum-dividend period and short-term traders targeting fully franked, high yielding dividends with a small bid-ask spread. Franking credits possess a positive value for the majority of the sample while transaction costs impede the efficient adjustment of prices on the ex-dividend day. The results show that a 45-day holding period rule reduces the amount of short-term trading from July 1999. Thirdly, the dissertation places the ex-dividend trading behaviour of institutional equity funds in the context of the findings for the Australian equity market. Institutions accelerate their sales of long-term holdings to the cum-dividend period, and delay purchases until the ex-dividend period to avoid dividends. Institutional trading is consistent with the provision of liquidity to short-term traders that are attempting to capture both dividends and franking credits. The introduction of a long-term capital gains tax discount in 1999 entices institutions to trade in a more tax-efficient manner by selling long-term holdings prior to the ex-dividend day.

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Vieru, M. (Markku). "Essays on investors' trading policy around interim earnings announcements in a thinly traded securities market." Doctoral thesis, University of Oulu, 2000. http://urn.fi/urn:isbn:9514257197.

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Abstract This study consists introductory survey and three essays where investors' trading responses to interim earnings announcements are studied using Finnish data. The essays are individual papers, but their topics are closely connected since they address the trading response from different angles. The essays progress from an aggregated to a more detailed examination. The first essay was conducted on daily data, whereas the second and third consist of intraday trading data. In all three essays information asymmetry is assumed to affect trading behavior around interim earnings announcements. The first article contains empirical findings regarding the effect of interim earnings announcements on investors' trading policy using Finnish data. The aim of the paper is to investigate empirically the role of pre-disclosure information asymmetry and the information content in explaining volume responses to interim earnings announcements. Evidence is provided that the trading volume response is positively associated with the information content and to some extent with the level of pre-disclosure information asymmetry. The results are in line with the theoretical trading volume proposition. However, the significance levels are lower than in similar US studies and the association between positive and negative news is slightly asymmetric. The second article finds evidence from the Helsinki Stock Exchange that the widely documented U-shape pattern in trading activity - namely heavy trading in the beginning and at the end of the trading day and relatively light trading in the middle of the day - is affected by an anticipated information event (i.e. interim earnings announcement). Before the announcement day, trading is more concentrated at the close. This is consistent with investors' heterogeneous willingness to bear expected overnight risk, which is especially prevalent before an announcement. Moreover, a slight increase on the open is evident after the announcement day. Evidence is also provided that the change in intraday trading behavior is associated with announcement-related factors, such as the range of analysts' earnings forecasts, the magnitude of unexpected earnings and firm size. Furthermore, this association is evident to some extent during the transition between trading and non-trading regimes. The third study examines whether the permanent price effects of individual trades are greater before or after an interim earnings announcement on the Helsinki Stock Exchange. If the permanent price effects are greater before the announcement this would suggest that investors believe that some traders are better informed before the interim earnings announcement than after. Using permanent price effects as a measure of price adjustment for private information, tests were performed to see whether price adjustments are greater in pre-announcement periods than in post-announcement periods. The results, based on interim earnings releases for the period 1993 to 1997 by HSE-listed firms, suggest that large trades do indeed produce greater permanent price effects before an announcement than after it. This suggests that large trades associated with price changes (especially uptick trades) before an announcement send a stronger signal to other investors than similar trades after the announcement. For small trades the results were insignificant.

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Netterscheid, Tim. "Evidence on the derivative trading behavior of private investors An empirical analysis /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/06609366001/$FILE/06609366001.pdf.

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Si, Yain Whar. "A Framework for the Specification and Execution of Composite Trading Activities." Thesis, Queensland University of Technology, 2005. https://eprints.qut.edu.au/16078/1/Yain_Whar_Si_Thesis.pdf.

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In this thesis, a framework for the specification and execution of composite trading activities is presented. We begin by introducing the basic concepts and characteristics of elementary and composite trading activities. Based on these characteristics, we identify the issues associated with composite trading activities and argue the requirements of a frame- work for the specification and execution of those trading activities. In the second chapter, the most relevant work on negotiation protocols, software specification approaches, and recent work on trading activity specification is reviewed. In the third chapter, we analyse the characteristics of negotiation protocols and the information required to adequately represent composite trading activities. In the next two chapters, we introduce two alternative approaches (myopic and forward- looking) for specifying composite trading activities by means of constraints, such as the number of required successful negotiations, the limit price for the items to be traded, and the temporal constraints imposed by all trading parties. A special interface is also defined in each framework to homogenise trading activities with differing negotiation protocols. In myopic trading, composite activities are synchronised according to the information available on the constituent negotiation processes at any point in time. Myopic trading supports iterative negotiation in which trading activities can be renegotiated with new constraints. Myopic trading is suitable for situations in which finer control over the negotiation process is preferred by the trader, and information on previous negotiations as well as future negotiation opportunities are unavailable. Forward-looking trading is based on the generation of negotiation plans detailing the exact time and duration for which trading activities are going to be executed. These plans are generated based on the histories of previous negotiations and future negotiation opportunities. In forward-looking trading, a planning and execution model is designed to maximise the expected utility of the trader. Forward-looking trading is suitable for situations in which a well-planned negotiation process is possible. In the following chapter, two case studies are given to illustrate the applicability of the proposed framework. In the final chapter, we review our framework based on the set of requirements defined for the specification and execution of composite trading activities. In conclusion, we believe that composite trading activities can be effectively specified and executed based on the homogenisation of the various negotiation protocols involved and systematic planning of how these activities are going to be executed.

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Si, Yain Whar. "A Framework for the Specification and Execution of Composite Trading Activities." Queensland University of Technology, 2005. http://eprints.qut.edu.au/16078/.

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In this thesis, a framework for the specification and execution of composite trading activities is presented. We begin by introducing the basic concepts and characteristics of elementary and composite trading activities. Based on these characteristics, we identify the issues associated with composite trading activities and argue the requirements of a frame- work for the specification and execution of those trading activities. In the second chapter, the most relevant work on negotiation protocols, software specification approaches, and recent work on trading activity specification is reviewed. In the third chapter, we analyse the characteristics of negotiation protocols and the information required to adequately represent composite trading activities. In the next two chapters, we introduce two alternative approaches (myopic and forward- looking) for specifying composite trading activities by means of constraints, such as the number of required successful negotiations, the limit price for the items to be traded, and the temporal constraints imposed by all trading parties. A special interface is also defined in each framework to homogenise trading activities with differing negotiation protocols. In myopic trading, composite activities are synchronised according to the information available on the constituent negotiation processes at any point in time. Myopic trading supports iterative negotiation in which trading activities can be renegotiated with new constraints. Myopic trading is suitable for situations in which finer control over the negotiation process is preferred by the trader, and information on previous negotiations as well as future negotiation opportunities are unavailable. Forward-looking trading is based on the generation of negotiation plans detailing the exact time and duration for which trading activities are going to be executed. These plans are generated based on the histories of previous negotiations and future negotiation opportunities. In forward-looking trading, a planning and execution model is designed to maximise the expected utility of the trader. Forward-looking trading is suitable for situations in which a well-planned negotiation process is possible. In the following chapter, two case studies are given to illustrate the applicability of the proposed framework. In the final chapter, we review our framework based on the set of requirements defined for the specification and execution of composite trading activities. In conclusion, we believe that composite trading activities can be effectively specified and executed based on the homogenisation of the various negotiation protocols involved and systematic planning of how these activities are going to be executed.

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Mokale, Tebogo. "Does contrarian trading by directors provide a signal to outside investors for future abnormal returns in South Africa." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/24877.

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Directors of listed companies earn abnormal returns by trading in a contrarian manner. This research report investigated whether outside investors can earn abnormal returns by following director contrarian trades. The returns to directors and outsiders, following a director trade were analysed using the event study methodology. The event study methodology utilised director trading information from SENS announcements on the JSE Securities Exchange, daily share prices, betas and price to book values for the selected companies, and daily all share index prices. The focus of the analysis was the post trade Cumulative Average Abnormal Returns (CAAR), in the 20 days following the director trade. The overall CAAR for all transactions was a statistically significant but economically insignificant 0.43%. When viewed from a transaction type perspective, the CAAR was 0.72% and 0.44% for purchases and sales transactions respectively. This study shows that while directors of listed South African companies do earn abnormal returns, they do not do so while consistently trading in a contrarian manner. In fact, transactions not deemed contrarian generated higher abnormal returns for directors. In addition, the study shows that outside investors do not earn abnormal returns by mimicking directors, and actually, their following of director trades generates the abnormal returns for directors. Copyright Dissertation (MBA)--University of Pretoria, 2011. Gordon Institute of Business Science (GIBS) unrestricted

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Huang, Tzu-lun, and 黃子倫. "Web Search Behavior of Individual Investors and Trading Activities in Capital Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/v246aj.

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博士 國立中山大學 財務管理學系研究所 102 Investors nowadays can utilize search engines to collect information from the Internet before trading. Using Google Search Volume Index as a proxy, this study aims to elucidate the link between the web search behavior of investors and trading activities in the capital market. Our findings indicate that firms in portfolios with more Google search volume possess higher stock returns and Jensen''s alpha. Abnormal increases in Google search volume can predict higher future stock returns. Rises in Google search volume are positively associated with trading volumes by individual investors, margin purchase, and day trading. Overall, these findings imply that market administrators can predict trading activities of individual investors by observing changes in Google search volume. Moreover, the mediation analysis indicates that the Internet and financial media probably capture investor attention from different groups. They both significantly affect stock returns, but their impacts appear to be weak and insignificant during financial crises.

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HSU, CHIUNG-JIA, and 許琼佳. "A New Investor Sentiment Index Created from Trading Activities of Individual Investors: Evidence from the Taiwanese Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/pt77dz.

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碩士 靜宜大學 財務金融學系 106 This study uses “the number of trading accounts” and “the number of trading people” announced by the Taiwan Stock Exchange Corporation (TWSE) to construct a new investor sentiment index for the Taiwanese stock market, which is dominated by individual investors. By comparing the correlation between the stock prices of Taiwan-listed stocks and the prices of ADRs of the same stocks, I confirms that the index compiled by “the number of trading accounts” or “the number of trading people” can effectively represent the sentiment level of investors in the Taiwanese stock market. In addition, this study also found that the investor sentiment index estimated in this paper can inversely predict market returns of the next period. For cross-sectional individual stock returns, the sentiment index shows a significantly negative relationship with portfolio returns based on the company's characteristics as the standard deviation. That is, the subsequent returns of stocks with large standard deviations are more likely to be affected by investor sentiment than the stocks with smaller standard deviations. Even if the three risk factors of Fama and French (1993) and momentum are controlled, the significant results still hold.

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Lin, Tzu-Chun, and 林子鈞. "Empirical Studies of Correlations Between Investor Relations Services and Securities Trading Activities in Taiwan." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/59922406768381950209.

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碩士 國立臺灣大學 財務金融學研究所 102 Investor relations services are gaining more attention among Taiwanese listed companies in the past few years. Companies start to provide investor contact services, hold investor conference call and disclose more information via their website and press release to create effective communication channel with their target investors. This article aims to explore the potential benefits from the investor relations service. After sending email questionnaires to 1506 listed companies, the researcher received 538 effective replies about their status of IR department initiation and employment of IR consultant services. The research categorized the IR department initiation status and the historical investor conference call records into proxy variables of investor relation services. The result indicates that the IR service proxies have significant positive correlation with foreign institutional holding rate and negative correlation with stock price volatility. The proxy variables can also partly explain the stock liquidity. However, the study didn’t find significant correlation between the IR service proxies and stock valuation.

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Liu, Li-Yu, and 劉力瑜. "The Nonlinear Study of Smooth Transition on the Effect of Three Institutional Investors'' Futures and Options Trading Activities on Taiwan Stock Return." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/39804892539697399167.

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碩士 淡江大學 財務金融學系碩士班 101 The main idea of this thesis is to analyze major institution investors’ open interest in Taiwan futures and option market. We use net open interests as analysis tool for futures and net amount of contracts as analysis tools for option. We examined whether the positions of institution investors in futures and option markets will have nonlinear impacts on stocks index returns in order to provide references for succeeding studies. We used futures trading volumes as a threshold variable to describe how futures and option open interests of institution investors affected the stocks index returns. The empirical results pointed out the positive relations between futures net open interests and stocks index returns as the volumes below threshold value. However, we couldn’t make it clear as the volumes above it. In option market, when the volumes is below threshold value, foreign investors’ net amount of open interest has positive effect on stocks index returns; when the volumes is above threshold value, Dealer’s open interest has positive impact on stocks index returns.

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"Investors' perception toward online trading." 2001. http://library.cuhk.edu.hk/record=b5890564.

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by Chu Yin Yin, Hui Chi Wah. Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. Includes bibliographical references (leaves 65-66). Chapter CHAPTER II --- INTRODUCTION --- p.1 What is On-line Trading? --- p.1 Real-time vs. Non-real-time Trading --- p.1 What is AMS/3? --- p.2 Electronic Commerce (e-commerce) --- p.3 Financial Institutions and the Internet --- p.3 The Pioneers --- p.4 Opening Up in Hong Kong --- p.5 Today's Online Investor --- p.6 A Variety of Services and Products --- p.6 On-line Stock Trading vs. Conventional Stock Trading --- p.6 Factual Differences --- p.7 Demographic Differences --- p.9 Impact of Information Technology on Financial Market --- p.10 Chapter CHAPTER II --- LITERATURE REVIEW --- p.15 Review of Past studies in Internet Trading --- p.15 Conceptual Framework: Theory of Reasoned Action --- p.16 Behavior Beliefs and Attitudes toward the Behavior --- p.17 Normative Beliefs and Subjective Norms --- p.17 Conceptual Model --- p.18 The Acceptance of Information Technology --- p.18 The Causal Relations Among Constructs --- p.20 Chapter CHAPTER III --- METHODOLOGY --- p.22 Overview --- p.22 The Research Design --- p.22 Sample And Sampling Procedures --- p.23 Operationalization of Perceived Constructs --- p.24 Operationalization of Intended Constructs --- p.27 Operationalization of Overall Comments --- p.27 Chapter CHAPTER IV --- RESEARCH MODEL --- p.29 Overview --- p.29 The Statistical Modeling --- p.29 Analysis on Perceived Constructs --- p.36 Analysis on Intended Constructs --- p.38 Chapter CHAPTER V --- Findings --- p.39 Analysis on Overall Comments --- p.39 Findings on Demographics --- p.39 Findings on Perceived Constructs --- p.40 Findings on Intended Constructs --- p.44 Findings on Overall Comments --- p.46 Chapter CHAPTER VI --- CONCLUSION --- p.48 APPENDIX 1 --- p.51 APPENDIX 2 --- p.57 APPENDIX 3 --- p.61 BIBLIOGRAPHY --- p.65 Books --- p.65 Periodicals --- p.55 ACKNOWLEDGEMENT

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Chen, Chiao-Ling, and 陳巧玲. "The Trading Performance and Trading Behavior of Individual Investors." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/bp5mww.

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碩士 國立清華大學 計量財務金融學系 102 In this study, I investigate whether individual investors’ characteristics affecting their trading behavior in TAIEX options market. I observe the trading records of individual investors and classify them into two groups based on their trading characteristics including trading performance, sophistication, trading experience. There are three findings in our study: First, I find evidence that the behavioral biases of individual investors with different characteristics are significantly divergence. Second, I propose that more sophisticated and experienced individual investors have better performance. Third, there are a few informed traders within individuals in the TAIEX options market, and they have significant predictive ability for future underlying asset prices. The article sheds light on the heterogeneity of individual investors in options trading, and the relationship between investors’ characteristics, trading behavior and trading performance.

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徐子晴. "Do individual investors follow the trading behavior of foreign institutional investors." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/52004040894134526036.

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碩士 國立政治大學 財務管理研究所 99 According to Taiwan Stock Exchange Corporation (TWSE), individual investors accounted for 68% trading volume and foreign institutional investors accounted for 18.5% in stock market in 2010. In general, we regard foreign institutional investors as traders with professional analysis abilities. However, we thought individual investors are noise trader. We would like to know whether the individual investors follow foreign institutional investors’ transactions and elaborate their transaction behavior. In order to understand whether individual investors follow the foreign institutional investors, we used event study and VAR to analyze their transaction behavior. We observed that foreign institutional investors are momentum traders. On contrary, we noticed that domestic institute investors and individuals are contrarian traders. Nevertheless, during financial crisis, foreign institutional investors became contrarian traders and individual turned to momentum traders. Through VAR model, we found that individual did not follow foreign institutional investors.

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Chien, Wei-Ting, and 簡瑋廷. "Trading Strategy of Taiwan Stock Index Future - Institutional Investors’ Trading Signal." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/82fzag.

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碩士 國立東華大學 財務金融學系 102 We employ standard linear regression model to predict the stock returns in order to establish a trading strategy. Though the regression coefficients are highly significant, but the (R^2 ) ̅ is so low that we turn to trading simulation models. 　　The thesis aims at establishing a trading strategy that can be used in real practice and I choose a non-linear trading simulation model to evaluate the usefulness of its signal. 　　This research simulates a series of trading based on the signal generated from the open interest data of foreigner institutional investors, from Dec 16th 2010 to Dec 18th 2013. We compare the results with the trading signal generated from investment trust, and dealer. Empirical analysis concludes that: 　　1. the net open interest change of foreigner institutional 　　　　investors significantly affects the trend of the next day's 　　　　Taiwan stock index future. 　　2. the profit of this strategy is positive relative to the market 　　　　volatility. However, the open interest is a public data, so the 　　　　profit of this strategy might be eroded in the future as the 　　　　result of market efficiency.

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Lu, Cheng-Yi, and 陸正義. "Investors Protection for Warrant Trading in Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/41968191837910848079.

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碩士 國立臺北大學 法律學系一般生組 101 Due to the increasingly prevalent and popularity of derivative financial instrument, the traditional stock market has gradually expanded to non spot market and futures, gold, source materials and derivative products such as Warrant has been put under the spotlight and has gain much attention under the propaganda of the dealers recently. However, what is the true concept of warrants. Do investors understand its class, habitude, special features risks and its related trading patterns? Do existing laws provide comprehensive indemnification? Aside from the realization of problems related to warrants. Security dealers who issue the warrants usually do improper tactics during the process of dealing. These behaviors not only hinder the investors from their profit under the normal transaction, they also create a huge impact on the fairness of trading market. Therefore, the necessity to search for relevant provisions to protect the investor is required. Rather than to concern from investors’ individual standpoints, the thesis start out form the prospect of protecting the regular investors as a whole. Expecting the trading market of warrants can be more impartial and the whole trading floor can be better and more active. Use the methods of classifying and analyzing the resources which have been collected. The writer has studied through all the relevant literature and existing laws. With the concept of constructive warrants including, definitions, habitudes, classes, features and functions to conduct the research and accomplish the thesis. Through introducing the procedures of warrants trading combined with the systematically arrangement of special specification of warrants. This thesis not only provides conducts for investor to follow but also reveals relating safeguard to apply. Finally, the thesis has presented the common illegal trading strategies as references for investors. The writer also searches for appropriate securities and exchange law in order to guarantee the rights and interest of warrants investors. At the same time, the writer has used a more macroscopic point of view to investigate the appropriate warrants trading conditions and the selection and adoption of the law judgment in the courts of our country in short-term trading and insider trading to complete the study of this thesis.

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Su, Yu-Hung, and 蘇育宏. "The Gambling Trading Behavior of Stock Investors." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/57853060694492961892.

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碩士 國立高雄第一科技大學 金融系碩士班金融組 102 This empirical research using unique data to study the investors’ trading behavior towards different price limits in both HoChiMinh (HOSE) stock exchange and Hanoi stock exchange (HNX) under only one stock trading account. Thanks to the securities laws that each investor in Vietnam is limited to open only one stock trading account which is allowed trading stocks in both two stock exchanges at the same time, we can observe investors’ trading behavior under different trading mechanisms. Comparison of gambling trading behavior of the same investor under different price limits of these two stock exchanges are mainly studied in this research. This study demonstrates that not only individual investors exhibit a stronger preference for stocks with lottery features than the institutional investors do but also lottery-type stocks investors have less investment experience.

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Tsai, Yin-Yung, and 蔡尹詠. "Institutional Investors’ Trading Behavior in Taiwan Stock Market-Momentum Trading and Performance." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/73723844193289183852.

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碩士 國立高雄應用科技大學 金融資訊研究所 96 This paper analyzes institutional investors’ trading behaviors in the Taiwan stock market from January 2000 to August 2008. We investigate whether institutions adopt momentum strategies and examine the impact of their trading strategies on the posterior performance. Besides, the general characteristics of institutions’ holdings are briefly discussed. We decompose trading by institutions into the initiation of new positions (entry), the termination of previous positions (exit) and adjustments to ongoing holdings that consists of “ positive-adjustment ” and “negative-adjustment” positions. Furthermore, the sample is categorized by industry into three sectors including electronic, financial and others. These classifications help us to study the possible different trading strategies and performance across different trading categories and different industries. The first empirical result shows that in general institutions act as momentum traders when they are net buyers (entry or positive-adjustment) and act as contrarian traders when they are net sellers (exit or negative-adjustment). Besides mutual funds and dealers exhibit the so-called shot-term momentum and long-term reversal trading when looking at the “all-trading” sample. All the effects are strongest in the electronic industry. The second empirical result relates to the posterior performance. These performance measures differ among different holding periods. Taking the one-month holding period for example, dealers earn positive performance in the “all-trading” sample and mutual funds also have positive performance except in the trading of financial stocks. Foreign institutions generate positive performance only in the trading of non-electronic and non-financial stocks. As to the stock-selection preference, institutions tend to buy stocks of high earnings and high growth, and sell those of low earnings and low growth. While foreign institutions prefer large firms, mutual funds and dealers choose firms of smaller size. In addition, it reveals that institutions favor different characteristics of stock holdings in the entry and exit trading categories as compared to the adjustment to ongoing holdings category. Keywords: Institutional Investors, Positive Feedback Trading, Momentum Investment

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Wang, Yun-Yi, and 王韻怡. "Trading Behavior of Investors: Trading Cost, Order Aggressiveness, Liquidity Provision and InvestorOverconfidence." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/27484449323307992739.

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博士 國立中央大學 財務金融研究所 97 This study contains three essays about trading behavior by different types of traders. Essay 1 employs a unique data set to examine the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire sample period, most buyer-initiated large trades have larger permanent price effects than seller-initiated large trades and vice versa for liquidity effects. However, we find that the permanent price effects of large sells are larger than the effects of large purchases in bearish markets, and the reverse pattern is found for bullish markets. The most important finding is that wedemonstrate the asymmetric patterns between price impacts of large buys and sells hold for individual traders as well as for institutional traders. This new empirical finding is consistent with the current economic condition hypothesis, which is used to explain the asymmetry between large buys and sells, and reject the hypothesis based on institutional trading strategies. Essay 2 investigates the strategic order-splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared to domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split their orders and it appears that the price adjustments after their trades are permanent. Foreign institutional traders and futures proprietary firms seem to be better informed, with their orders apparently being split so as to reveal their information on a gradual basis. Furthermore, we find that foreign institutional traders and futures proprietary firms use fewer market orders, choosing instead to submit aggressive limit orders, possibly due to their desire to make the most of their information advantage. Essay 3 evaluates the overconfidence and disposition effect hypotheses based on trader’s aggressiveness. Overconfidence hypothesis of Gervais and Odean (2001) predicts that if investors are overconfident, they trade more aggressively subsequent to their gains. However, the level of traders’ aggressiveness is ignored in previous literature. With a unique data set from Taiwan Futures Exchange, we propose a quantitative measure of order aggressiveness to capture traders’ aggressiveness and provide finer distinction and testable implication for overconfidence and disposition effect hypotheses by types of traders. We provide new empirical results showing that investors with high return of net buy (sell) position will buy (sell) aggressively than investors with low return. The finding is consistent with the overconfidence hypothesis that traders trade more aggressively subsequent to their trading gains. We also find that investors with high return of net buy (sell) position will sell (buy) more aggressively than investors with low return, consistent with what would be expected under the disposition effect hypothesis. Finally, the overconfident and disposition effect behavior exists both in institutional and individual traders, although the effect is stronger for individual traders.

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Lieng-Boar, Wang, and 王樑柏. "Can Individual Investors Learn From Thier Trading Experiences?" Thesis, 2005. http://ndltd.ncl.edu.tw/handle/91933924823617519618.

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碩士 輔仁大學 管理學研究所 93 Owing to the availability of data, most of the previous studies investigating individual investors and performance were conducted via questionnaires, which is highly possible to incur biases in analysis. In this study we use a dataset provided by a renowned brokerage house covering individual investors’ trading records from January 1998 through September 2001. We use the model of Nicolosi, Peng, and Zhu (2004) to infer individual learning and to investigate the issues as follows. (1) Whether individual investors can adjust their trading behavior based on selectivity that is inferred from their previous trading history? (2) Can the accumulated trading experiences that nurture further trading improve performance? Our empirical results show that the ability to forecast future returns significantly affects an investor’s trading activities. And, more frequent trading associated with individual learning is beneficial to portfolio performance. Moreover, we find that leaning behavior varies across individuals, which confirms the heterogeneity of individual investors.

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Guo, Yui-Chi, and 郭郁琦. "Insider Trading and The Reaction of Institutional Investors." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/97457390459178625876.

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Cheng, Wen-Hsin, and 鄭雯心. "Trading Attributes and Learning Effects of Individual Investors." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/28970339322860105213.

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碩士 國立高雄第一科技大學 財務管理所 98 This paper aim to analyze whether the learning effects of Taiwan’s individual investors will improve their behavioral bias and promote investment performance .Then discuss what factors could affect learning effect of individual investors. First, we use trading duration as an experience variable of individual investors to investigate would they learn from the trading experience and improve their behavior bias to achieve future’s investment performance, and how they learn experience by trading. Second, we adopt Cox’s (1972) Proportional Hazards Models(PHM) to make survival analysis in Taiwan stock market’s individual investors and discuss what factors could affect learning effect of individual investors. The results show that the investor’s trading experience is positive to their trading power (trading frequency and the amount of money). It’s also found there are no significant help for investment performance for long term and learning effects would affect by trading behavior of individual investors.

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姜珮瑜. "Do foreign investors' trading behavior mislead individuals' investment?" Thesis, 2010. http://ndltd.ncl.edu.tw/handle/16303190813685114114.

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碩士 國立政治大學 財務管理研究所 98 The main purpose of this study is to examine Taiwan's 34 major companies trading over information for retail investors is to bring useful information to profit following foreign investors’ buy-sell information. Furthermore, this observation of 34 companies to buy-sell ultra -volume, the order distribution of buy and sell would give wrong information to mislead retail investors? The result shows if retail investor follow foreign investors’ step to buy the maximum market share and volume underlying stock can bring abnormal return than market return and industry return, But if retail investors follow foreign investors’ selling behavior not to take extra return from mimic trading behavior. Next, analysis of foreign investors’ trading behavior is consistent or not? We find if foreign investors really want to buy or sell the underlying stock, their buy-order and sell –order will set at the best price to make it a deal quickly , but one the other hand, we find their sell-order and buy-order will set the price which less possible to make this transaction.

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Huang, Chun-Kai, and 黃俊凱. "The Trading Preferences of Institutional Investors in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03477355905316388982.

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碩士 國立東華大學 企業管理學系 97 This paper examines the holding preferences and performance of institutional investors in the Taiwan stock markets. Institutional investors have shifted their preferences toward larger, lower systematic risk, lower book-to-market ratio, lower liquidity stocks, and more firms in financial industry over time. These changes in aggregate preferences have arisen primarily from changes in the preferences of different institutional investor, rather than changes in the importance of different investors. When conditioning on different market states (up and down market), we find that foreign investors (FIs) and security investment trust companies (SIFCs) will show converse preferences. Additional analyses investigate the relationship between changes in institutional ownerships and returns in both large and small stocks. Our results reveal that SIFCs will have better contemporaneous performance than FIs in both large and small stocks. Furthermore, only FIs exhibit ability to forecast subsequent security returns in large stocks. Our evidence suggests that institutional investors have different level of information advantage.

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CHEN, FANG-LING, and 陳方玲. "Momentum Strategies Based on Institutional Investors' Trading Orders." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/01227934652498766860.

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碩士 輔仁大學 金融研究所 95 In Taiwan Stock Market, foreign investors, security investment trust companies and security dealers are recognized as the three major institutional investors. Professional investment institutions are considered proficient in investment strategies. We often focus on their behavior and refer to the objects invested by them. In the thesis, we used the daily trading data on Taiwan Securities Exchange Company（TSEC） from 2001 to 2006 and selected the top 250 companies in turnover rate by the three major institutional investors for our samples. Are there short-term profitable opportunities when we use momentum strategies following the net buy-and-sell trading information of the three major institutional investors？We use the zero investment strategy following the net buy-and-sell trading information of the three major institutional investors, buying the net-buy portfolio and selling the net-sell portfolio. Do net trading orders of institutional investors contain valuable information about stock prices movements? The empirical evidence shows whether we group the net-buy and net-sell portfolios based on the weighted accumulative net-buy and net-sell trading volumes、values and ratio over the formation periods, in our experimental holding periods, there is short-term profitable opportunities. At the same time, we observe that following the security trust investment companies have the best performance and more profitability than those following foreign investors and security dealers, and the longer the formation period, the more profitability there is. The evidence proves that the net trading orders of institutional investors indeed contain valuable information about stock prices movements.

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Chu, Yu-Wen, and 朱育妏. "The Effect of Attention on trading Behaviors of Investors." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/xd7sy2.

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碩士 國立中興大學 財務金融系所 99 This paper examines the attention–driven buying behavior of different types of investors. When there are many choices, options that attract attention are more likely to be considered and chosen. The data in this paper begin on December 12, 2000 and end on December 31, 2010 from Taiwan Stock Exchange. We mainly separate investors into five types, which are foreign investors, mutual fund, security dealers, margin traders and domestic others. There is the evidence of attention-buying with extreme returns. Institutional investors become net buyers of past winners, and individual investors become net buyers of past losers. Also disposition effect exists in the trading behaviors of individual investors. The performance of institutional investors is higher than individual investors. From Taiwan Stock Exchange, we find there is contagion between the stock prices of the same industry. The contagion on stock price in financial holding industry is most serious, followed by the semiconductor industry, the last for the plastic industry.

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Chen, Yan-Hau, and 陳彥豪. "The Impact of Institutional Investors'' Trading on Stock Returns." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/76660046223525280822.

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Jin-ChunLi and 李金純. "Informed Trading by Institutional Investors in Global Supply Chain." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/74813670625648132733.

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Jeng, Yi-Shen, and 鄭亦伸. "Investors'' Trading Profit in TAIEX Option Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/78162983337864629060.

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碩士 國立高雄第一科技大學 金融所 98 Several prior studies provide evidence that individual investors lose from trade, while institutions make profit. Barber et al. (2009) shows individual investors lose a lot of money in Taiwan stock market. In contrast, institutions realize profits; moreover, foreign institutions perform best and garner nearly half of institutional investor’s profits. The paper follows Barber et al. (2009)s’ methodology to research in TAIEX option market. Our sample includes individual investors and institutional investors selected from the TXO market between December 2001 and December 2004. The results indicate that the open interests and trading volume at the expiration day are higher than the average of rest trading daily open interests and trading volume. Foreign institutions obtain the highest dollar profits and abnormal returns among different groups of traders. The finding from this study represents that the return of individual investors decreases as the trading frequency increasingly.

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Chen, Hen-Yi, and 陳恆毅. "Liquidity and Trading Behavior of Investors under DifferentMarket States." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/45145798122984739377.

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碩士 國立東華大學 經濟學系 98 Applying order-level data to reconstruct the limit order book, this paper examines the relationship between market return and liquidity provision as well as investor behaviors in the Taiwan stock Exchange. Large negative market returns have a stronger impact on liquidity than positive returns. Stock liquidity is more sensitive to changes in market returns for small capitalization stocks and stocks with high volatility, particularly following periods of market decline. Additionally, conditional on different market capitalizations and volatilities, individual investors have the different trading strategies when the market experiences large negative returns. The results reveal that the individual investors have information asymmetry and the disposition effect.

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石桂鳳. "Foreign investors trading behavior and Taiwan stock price volatility." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/32750360682025033132.

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Tsai, Cheng-Yen, and 蔡政諺. "Data Mining on Institutional Investors trading and Investment Analysis." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/91331010880213635968.

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碩士 國立中興大學 財務金融學系所 104 This paper applies the Apriori Algorithm, which is a method in Data Mining, to find out some valuable association rules from Taiwan OTC market database. We establish six types of form to find out associate rules and then invest. The empirical results are that all of types of samples can captured valid association rules. By using Apriori Algorithm to calculate the association rules for investment, we can earn positive accumulative annual return from the Taiwan OTC market. In addition, compare with Taiwan’s market index, the strategy with a relatively short-term period data, it can get positive abnormal return. Also performance was superior compared to data during long-term period.

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Liu, Che-Wei, and 劉哲維. "Investors’ Personality Traits On Trading Strategies and Investment Performances." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/87052891870865466055.

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碩士 雲林科技大學 財務金融系碩士班 97 Personal characteristics and personality traits may influence the strategy of a person’s investment, and the difference of trading strategy will finally influence the investment performance. In the present theories of investment, more emphasis is put on the risk and revenue of securities, and the analysis of investment combination, while this study, unlike the traditional ones, attempts to explore the investment behavior of investors based on personality orientation or psychological views. This study mainly explores how and to what degree the personal characteristics of investors can influence their trading strategies and investment performances. The research, done by means of questionnaires, aims at the individual investors in Taiwan stock market. The results show that, (1) Male are more vigor than the female and make higher-risk investments. (2) Investors with less experience but high-academic degrees are more daring to make new investment. (3)Teachers, civil servants and the military are more conservative investors. (4) Investors with higher-academic degrees acquire more related information about investment and thus show better performance. (5) Investors who make too much high-risky investments will cut down on profit. (6) More objective and external information helps gain more profit. (7) Mimic too much others’ investment strategies will lessen profit. (8) Conservative and calmer investors will have better performance. Keywords: Personality Traits, Trading Strategy, Investment Performance, Risk Taking, Locus of Control.

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Wu, Chao-Yuan, and 吳兆元. "The Effect of Investors’ Order Imbalance on Trading Noise." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/07501270215243567064.

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碩士 淡江大學 財務金融學系碩士班 99 This paper uses high-frequency intraday data to discuss the dynamic relationship of the effect of order imbalance on the market trading noise from five categories investors-foreign investors, individual investors, mutual fund, other domestic institution investors and dealers in Taiwan stock market. We use the limit order book, display data and transaction data from TWSE in 2005 to 2006. We can calculate aggressive order imbalance and non-aggressive order imbalance through limit order book and display data. Then we use display data to measure market trading noise and volatility by Hu(2006) and analysis the information content of the aggressive orders and non-aggressive orders. And use this result to determine whether investors are informed traders, noise traders or liquidity traders. The empirical result indicates that decreasing the transaction time implied the information inflow and will increase the volatility of noise and volatility. The foreign investors, individual investors and dealers which use aggressive orders will decrease market noise and can forecast the market price movements accurately are informed traders. The individual investors and dealers which use non-aggressive orders will increase market noise and will cause market price reversion are noise traders.

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Liu, Chun Yung, and 劉君勇. "Trading behavior with extreme return: institutional and individual investors." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/18326016935149111931.

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碩士 國立政治大學 財務管理研究所 100 Many studies found that “Attention Effect” and “Disposition Effect” will affect investors when they are trading, even make them loss money. In Taiwan stock market, researchers indicate that even institutional investor also affect by disposition effect. But, there is no discussion of when investors trading with extreme return, do they still have the same behavior? This article is going to study how extreme return affect “attention effect” and “disposition effect”. We grab the trading data form 2001/12/01~2012/3/01, by analyzing we find that (1) Only institutional investors affect by “disposition effect”(2) Only foreign investors will pay attention to earning announcement when trading with great appreciation, but all of investors will follow the stock whether it has announce its earning when trading with great depreciation.(3) Whether stock price hit price limit will cause “Attention effect” is depends on which type the investor is.(4) though institutional investors will affect by disposition effect, they still can make access return.

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Lin, Ming-Hsun, and 林明勳. "The trading activities and brand capital." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/14439931816830733349.

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碩士 元智大學 財務金融暨會計碩士班(財務金融學程) 104 This paper investigate that the relationship between brand capital and ADR trading activities so that the brand capital has become the new trading signals for investors. Using the advertising expense to measure brand capital in this research. I employed the volume, illiquidity and volatility to measure the topic. The brand capital is that the value of consumer awareness for firm products and service, and the value of brand capital impact the firm value, corporate risk, firm financial policy and firm cash flow by consumer that the different types of expense ( such as consumer loyalty). Consequently, influence investors on ADR holdings by brand capital. In this paper, not only using financial variables but also consumer preference to examine the trading activities. In the empirical results, it represents that investors trading behavior more actively and ADRs return are more stable when the firm with higher brand capital. I find that firm with higher brand capital have more stable performance during economic downturns and investors prefer to invest emerging country ADRs.

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Chiang, Mei-hui, and 姜美慧. "Whether the change on odd-lot trading influence the trading willingness of odd-lot investors." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/82834212631104925722.

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碩士 世新大學 財務金融學研究所(含碩專班) 102 The study is based on the new Odd-Lot Transaction System implemented by TWSE since Dec. 19, 2005. We use Event Study and T-test to examine the liquidity of the odd-lot and the investor behavior before and after (1) the termination of special discount on the odd-lot trading, and (2) the pricing method changes from 0.5% off of closing price to free pricing . The empirical results of this study are as follows: 1. The odd-lot trading volume decreased after the new Odd-Lot Transaction System implemented. 2. The longer after the new Odd-Lot Transaction System implemented, the more odd-lot trading volume bounced back. 3. After the new Odd-Lot Transaction System implemented, the proportion of odd-lot trading volume to the total TWSE stock trading volume decreased. 4. After the new Odd-Lot Transaction System implemented, the proportion of odd-lot trading value to the total NYSE stock trading value also decreased.

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Tung, Chiu Mei, and 董秋梅. "The Influence of Institutional Investors on Enterprises'' Activities." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/11843489407413559024.

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碩士 國立交通大學 經營管理研究所 88 The Influence of Institutional Investors on Enterprises'' R&D This research examines whether institutional investors can affect corporate managers to reduce R&D expenditures to meet short-term earnings goals. This myopic investment behavior is a type of earnings management. It is most likely to happen when managers face trade-off between meeting earnings targets and maintaining R&D investment. We select samples of firms listed in Taiwan Stock Exchange from 1994 to 1998. Logistic regression analysis is used to test the hypothesis. The empirical results indicate that higher percentage of institutional holdings in a firm increases the likelihood that its manager cuts R&D to meet short-term earnings goal. Key Words: Institutional investors, R&D, Earnings management

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Lu, Yueh-Feng, and 呂岳峰. "The Effect of Market Information on the Trading Behavior of Individual Investors and Foreign Institutional Investors." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/bbtckk.

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碩士 國立臺北科技大學 商業自動化與管理研究所 96 The purpose of this study is to investigate the trading behavior of institutional investor and individual investor around stock information announcement. The trading volume before two types of announcements: with and without timing information. Timing information refers to the information which the timing of the announcement is publicly available. One example of the timing information is the earning announcement. For without timing information, it refers to the information which the announcement time is unscheduled and investors cannot perceive the announcement in advance. An example of unscheduled announcements is the stock recommendation. We find results as follow. First, timing information announcement didn’t cause trading volume vibration. Second, individual investor tends to exhibit over confidence when they invest. Third, the market return is affected by stock recommendation, and the effect of investor behavior of institutional is more significant then individual. Fourth, the individual investor increases abnormal trading volume significantly when good recommendation announcement and exhibits oversold, increases lightly to neural recommendation and exhibits overbought, for bad recommendation, individual investor decreases volume significantly. This results show the Taiwan individual investor exhibits strong disposition effect. Fifth, the trading behavior has negative correlation between institutional and individual. Sixth, the institutional investor increases abnormal trading volume significantly for good recommendation announcement and exhibits overbought, decreases the volume significantly for bad recommendation and exhibits oversold. In neural recommendation, institutional investor exhibits oversold, but the behavior is different between institutional investor who release recommendation and doesn’t release. The institutional investor who releases recommendation hasn’t abnormal volume, but the other investor exhibits significant oversold.

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Huang, Yi-Li, and 黃倚俐. "The Effect of Imputation Credit Reduction on Investors’ Trading Behavior." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/52hj4a.

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碩士 國立東華大學 經濟學系 105 This paper examines the impact of the imputation credit reduction on investors’ trading behavior around ex-dividend day. It is very common that there exists the phenomenon of a number of abnormal trading volume around the ex-dividend day. The behavior of investors are influenced by the tax system, state of operation on company, and the stock market transactions. These factors may cause the existence of abnormal trading volume. In this study we use the financial data of the listed company on Taiwan Stock Exchange from 2010 to 2014 to explain the phenomenon of cumulative abnormal trading volume (CAV). 　　The empirical result is consistent with our expectation. There exists a result of positive abnormal trading volume during the ex-dividend day. Using the event study approach to analyze the factors that cause the abnormal trading volume. The empirical result of cross-section regression partially supports the hypothesis of bargain hunting. The abnormal trading volume is significantly correlated with firm size. But it is not significantly explained by company profit. The possible explanation is that investors may use the most recent profit to decide whether to participate in ex-dividend or not. In addition, it isn’t found in our study that abnormal trading volume is significantly correlated by the tax credit ratio. Our explanation is that the trading behavior of investors may not only affected by the tax and company of operating condition but also the overall condition of the stock market.

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Lin, Jui Tang, and 林瑞堂. "The Trading Behavior of Foreign Investors in Taiwan Stock Market." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/26497987572772769779.

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碩士 輔仁大學 經濟學研究所 88 Because of the number of foreign investors increasing year by year in Taiwan, we can find that sock markets are affected much, especially some new markets. As this situation, it is important for us to know the role how the foreign investors play in Taiwan’s stock market. We use Taiwan stock market data, and the empirical result shows that foreign investors cause the movement of stock price in different open degree depends on the different measure methods and timing choice, and the effects in transaction are not better than domestic investors , and also no contrary.

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Wang, Ming Chun, and 王銘駿. "The Trading Behavior of Options Investors at Taiwan Futures Exchange." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/44434368033370352211.

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博士 國立政治大學 財務管理研究所 95 In the first essay, we document support for the narrow framing effect proposed by Kahneman and Tversky (1981). Our findings that traders in an options market frame complicated investment decisions into the simpler ones support the narrow framing effect. Traders’ professionalism, sophistication and trading experience are negatively related with the degree of narrow framing, implying that these factors help to reduce investors’ behavioral bias. Our study bridges the gap between the psychological literature and financial literature in terms of the relationship between experience/sophistication and narrow framing. The results of this paper shed light on the decision-making process in an options market. In the second essay, complementary to Lim (2006)’s findings in regards to stocks market, we also claim that in a much more complex derivatives market, traders tend to frame gains and losses asymmetrically by editing or evaluating their outcomes into different accounts. Nevertheless, different from Thaler’s mental accounting theory (1985), we find investors are more susceptible to segregating losses and integrating gains when they liquidate their positions. Our empirical evidence shows that they also have asymmetry in the propensity to liquidate multiple options. The current study sheds a light on how investors perceive, categorize, evaluate and engage their outcomes in financial activities, in addition, under what circumstances investor integrate or separate their investment profits. The fact that investors’ responses to edit their outcomes vary across countries and securities markets highlights the complexity of human behavior and calls for further studies on a broader range of financial markets.

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Chu, Ching-Mei, and 朱靜眉. "Three Essays on Exchange Rate and Institutional Investors’ Trading Performance." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/91278140809073642599.

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博士 國立中興大學 財務金融系所 102 There are three essays in this dissertation. The interactions of foreign institutional investors between equity market and futures market are investigated in essay one. The validity of purchasing Power parity (PPP) is discussed in essay two. Correlations between sentiment and local institutional investors are assessed in essay three. Essay one investigates the changing correlation between spot market and futures market by applying the STCC-EGARCH model. The empirical results show that foreign institutional investors’ trading activities between spot market and futures market are distinctively different when exchange rate is volatile. Essay two examines the smooth break in real exchange rate by applying the nonlinear Fourier function. The empirical results indicate that that PPP is not valid for most of these Middle East countries except the Bahrain and Israel. Essay three investigates the correlation between sentiment and fund managers’ performance. The performances of mutual fund support neutrality hypothesis, no relationship between fund manager sentiment and fund performances, are better than those do not support neutrality hypothesis. This empirical result implies that fund managers perform well when they are not influenced by the market sentiment.

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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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Lee, Hsiang-Ying, and 李香瑩. "Understanding Individual Investors: Trading and Performance in Common Stock Investment." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/25298713993914104713.

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碩士 輔仁大學 金融研究所 90 The thesis investigates trading and performance in common stock investment of individual investors of 52,649 accounts from January 1998 to September 2001. The average household earns a monthly return of —0.740%, tilts its common stock investment toward high-beta, growth stocks. The scale of the company is not the main factor when they select the stocks. We find that low turnover (quintile1) investors perform the best, the next are the high turnover (quintile5) investors. The high turnover investors may result from they hold more useful information and they are able to make a correct judgment. They even have better professional capability to make the best selection.

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Dissertations / Theses on the topic 'Trading activities of investors'

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