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博碩士論文 etd-0116116-231821 詳細資訊
Title page for etd-0116116-231821
論文名稱
Title
數字偏好、投資人情緒與價格移動之實證研究
Number Preference, Investor Sentiment and Price Movement
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
74
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2015-06-26
繳交日期
Date of Submission
2016-02-18
關鍵字
Keywords
數字偏好、整數偏誤、投資人心理、股價走勢
round number bias, number preference, excess return, investor psychology
統計
Statistics
本論文已被瀏覽 5841 次,被下載 34
The thesis/dissertation has been browsed 5841 times, has been downloaded 34 times.
中文摘要
本篇研究旨在探討台灣股市中的投資人是否會受到整數偏誤的影響進而產生非理性的買賣行為,並以非理性買賣行為作為投資人情緒代理變數進而分析投資人情緒與股價走勢之間的日內微觀互動關係。
本研究首先觀察市場中三類投資人(散戶、外資、國內法人)是否對於價格尾數接近整數價(尾數為0,5)的價格具有特殊數字偏好,此種價格分為兩類:略高於整數價(尾數為1,6)、略低於整數價(尾數為9,4),並觀察於這兩類價格尾數出現後交易之投資績效。結果發現在這兩類價格尾數出現後交易會產生超額正(負)報酬,且當市場中大多數投資人皆對某一價格尾數存在相同偏好時,犯下非理性偏誤的投資人反而能夠獲取超額正報酬。此外,在不同價格尾數上的買賣失衡比率(年頻)不為解釋價格走向之有效因子,因此創建簡易衡量方法,以探究各類投資人情緒與價格移動於特定價格尾數出現前後一小時內之交互情形。
實證結果顯示,市場中的投資人於兩類價格尾數出現後的買賣行為並不一致,即無規律之投資人情緒變化,但在觀察到不同價格尾數出現後,的確會觸發投資人對於未來股價走勢產生不同的情緒,此類情緒變化可能為情緒反轉或加劇,而此類投資人的非理性情緒變化會影響股價走向,但僅侷限於超大市值股票。
Abstract
The purpose of this research is to investigate if any psychological bias regarding to round number heuristics exists in Taiwan equity market, and whether investors governed by number preference suffer extra losses or gain excess returns from their irrationality. I divide investors into three groups-retail, foreign and institution investors to explore this issue from investor level as well. I find that when everyone in the stock market has similar irrational behavior, they might not incur losses, but obtain abnormal returns instead.
In this paper, I try to explain the existence of abnormal returns with investor sentiment. Rather than postulating buying or selling directions from yearly Buy-to-Sell Ratio, I employ one more intuitional way to directly observe the investor sentiment variation after seeing stock-price-last-digits reaching particular numbers, which are 1, 6 (just above round number 0, 5) and 9, 4 (just below round number 0, 5). By inspecting the micro-interaction relationship between investor sentiment and future price movement, I provide evidence that some specific price endings do reverse or intensify some investor sentiment. I notice that this distinct change of sentiment may impact intraday investment performance, but only for mega-cap stocks.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iii
Contents iv
Index of Table vi
Index of Figure vii
I. INTRODUCTION 1
II. BACKGROUND AND LITERATURE REVIEW 6
2.1. Investor Psychology and Stock Returns 6
2.2. Price Clustering Phenomenon 7
2.3. Round Number Effect 8
2.4. Comprehensive Discussion 11
2.5. Motivations 12
III. HYPOTHESES DEVELOPMENT 14
IV. DATA AND METHODOLOGY 18
4.1. Quote Price Clustering Ratio 19
4.2. The Recognition Variables of Price Barrier 20
4.3. Mart-to-Market Return 20
4.4. Trade Classification Rules and Order Imbalance 21
4.5. Event Study Methodology 22
4.5.1. Observation Method 22
4.5.2. Two Sample T-test Analysis 24
4.5.3. Regression Analysis 24
V. RESULT 26
5.1. The Overview of Number Preference and Investor Irrationality 26
5.1.1. Result-Price Clustering Ratio 26
5.1.2. Result-Price Barrier Recognition Variables 28
5.1.3. Result-Investor Performance 30
5.2. Event Study 40
5.2.1. Result-Observation Method 41
5.2.2. Result-Two Sample T-test Analysis 49
5.2.3. Result-Regression Analysis 50
VI. CONCLUSION 61
REFERENCE 63
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