Divergence of Opinion and Stock Returns--- Evidence from the Taiwan Stock Exchange

[[abstract]]投資人間的意見分岐在許多資訊模型和價格形成過程中扮演重要角色，但意見分岐如何影響資產報酬在文獻上看法不一，主要分為風險因子假說及Miller(1977) 所提出的放空限制假說。本計畫修正Næs and Skjeltorp(2006)的方法，重建並觀察委託登記簿(LOB)的委託單分配來估計不同投資人的意見分岐，藉著觀察意見分岐程度日內變化及公開資訊宣告前後的變化，可檢驗資訊如何被反映到價格以及反應至價格的速度。此外，由於台灣證交所在2005 年5 月16 日取消台灣50 指數成分股平盤底下不得放空的限制，本計畫將以台灣50 指數成分股為樣本，觀察在放空限制放寬前後，意見分岐對股價報酬的影響如何變化，藉以重新檢驗 Miller 的放空假說，並釐清意見分岐、放空限制與資產報酬三者間的關係。[[abstract]]While divergence of opinion among investors plays an important role in information model and price formation process, the impact of differences of opinion on stock returns is still an ongoing debate. Some argue that differences of opinion reflect information asymmetry and works as a risk factor. On the other hands, Miller (1977) claims that divergent opinions should lead to overvaluation due to short sales constraints. In this project, we modify the measure of divergent opinion from Næs and Skjeltorp(2006) and use it to examine the role of divergent opinion among investors played in price formation process. Additionally, we use stocks which experienced the release of short sales constraints to reexamine the relations among investors’ divergent opinions, stock return and short sales constraints.[[note]]NSC99-2410-H327-01

The Impact of Institutional Trading on Stock Market: Discussion of High Frequency Trading and Order Cancellation

[[abstract]]台灣證券市場機構法人交易逐年增加且交易策略改變，其中包括高頻交易和大量取消單 的策略。近年來討論高頻交易或程式交易是否影響市場品質的文獻增加，但多集中在以 法人交易為主的成熟市場，在以散戶交易為主的新興市場，這類法人的交易對市場的影 響為何卻尚無討論。本計畫將以台灣證交所的日內交易資料，探討機構法人高頻交易的 使用情況，尤其是市場大幅波動期間法人高頻交易策略是否改變；並研究高頻交易的增 加是否會促進市場流動性、或反而會提高市場的波動性，以及相互影響的因果關係。此 外，台灣法人取消單的使用亦逐年提高，本研究嘗試瞭解法人使用取消單的交易策略， 包括拆單、搶單以及誘導策略，藉由瞭解這些策略，能進一步描繪取消單對市場的影響。 藉由本計畫的研究，分析法人的高頻交易和取消單策略對於市場的影響，期望可做為主 管機關和交易所在制訂相關法規時之參考。[[abstract]]In Taiwan stock market, institutional traders trade more and have changed their trading strategies in the past decade. Two of significant changes are high frequency trading and increasing order cancellation. The impact of high frequency trading or algorithmic trading on market liquidity and volatility has received more attention in the finance literature recently. However, the studies more focus on the matured market rather than emerging market, in which individual traders are the main participants. In this project, we will use the intraday data of Taiwan stock market, to explore the extent of high frequency trading, especially during the volatile market. Furthermore, this project investigates the impact of high frequency trading on market liquidity and volatility and the Granger causality among them. Additionally, institutional investors use more and more cancellation orders recently. This project attempts to understand the reasons behind the submission of these cancellations, including order splitting, undercutting and induced strategy. By analyzing the reasons, we can further explore the impact of order cancellation on the market.[[note]]NSC101-2410-H327-02

Type of Information and Efficiency of Price Limits---Evidence from the Taiwan Stock Exchange

[[abstract]]停板限制的實施是否有助於穩定市場一直是學術上和實務上爭論的議題，文獻上對於停板限制是否能促進市場效率，結果並不一致。本計畫藉由實證研究來驗證資訊特性影響停板限制效率性的假設：當資訊為long-lived 時，停板限制的存在會加劇資訊交易者的stealth-trading，因此使得流動性交易者的成本提高、並使得價格波動更為劇烈。過去文獻有許多探討停板限制對市場波動性、效率性影響的文章，但尚無由資訊特性角度來探討此議題的研究。若不同的資訊特性的確會造成投資人在面對停板限制時不同的策略性反應，停板限制使得在long-lived 資訊下的市場波動更劇烈，則現行7％齊頭式平等之停板限制的適切性需要被檢討。本研究的結果期望能為如何促進停板限制效率性提供政策性的參考。[[abstract]]The price limit rule is one of stabilization mechanisms in Taiwan stock market. The effectiveness of price limits is still an ongoing debate. This study empirically tests the hypothesis: the type of information regarding to long-lived and short-lived information matters to the efficiency of price limits. With long-lived or less competitive information, the price limit rule encourages stealthily informed trading, increases the price volatility, distorts the price dynamics and increases the trading costs of small liquidity traders. Previous research mostly focuses on the effect of price limits on market performance, such as volatility and trading volume. However, few studies address this issue from the viewpoint of information type. If different types of information do cause different strategic responses of traders when they encounter a price limit and exacerbate the volatility, the fixed 7% price limit rule should be reexamined.[[note]]NSC98-2410-H327-01

The Introduction of Options, Stock Price and Information Content of Short Selling

[[abstract]]衍生性商品的推出如何影響現貨市場一直是金融市場的研究中一個重要議題，股票選擇權的引入會對現貨市場的信用交易和報酬率產生影響，除了可能影響信用交易的交易量外，也會改變信用交易的投資人組成和交易目的。本研究將利用台灣期交所推出的股票選擇權為樣本，藉由檢驗選擇權上市前後放空交易資訊內涵的變化，來研究現貨市場放空交易投資人交易目的的變化，並討論金管會在金融風暴期間，緊縮放空限制的政策是否能真正進穩定市場；最後，本研究將在有了新的股票選擇權後，藉由檢驗不同特性的股票放空交易和選擇權交易資訊內涵之差異，瞭解資訊交易者如何在不同交易工具間進行選擇。藉由本計畫的研究，能更進一步瞭解衍生性商品的推出對現貨市場的影響，期望可做為主管機關和交易所在推出新商品時之參考。[[abstract]]How the derivatives interact with their underlying assets has been an important issue in the study of financial markets. The introduction of stock options has the effects on the returns of underlying stocks and on margin trading and short selling, not only on the trading volume but also on the composition of traders. In this project, by examining the stock options introduced by Taiwan Futures Exchanges, I will explore the information content of short sales before and after the introduction of options. Additionally, I will investigate how the informed traders choose from short selling in spot market and stock options market, and which market conveys more information about future stock returns.[[note]]NSC100-2410-H327-01

The Effect of Stock Market Trading on the Corporate Investment Decisions and Firm Valuation

[[note]]MOST105-2410-H327-00

Trading Behavior of Individual Investors in Warrants Market

[[abstract]]散戶交易行為與交易動機一直是財務文獻中的重要議題，過去文獻多研究現貨市 場的散戶交易行為，卻較少針對衍生性商品市場的散戶行為進行研究，因此本計 畫將以台灣證交所的日內交易資料，研究台灣散戶於權證市場的交易。本計畫首 先研究散戶權證交易與標的股票報酬之關係，瞭解散戶在權證交易是否也採取反 向交易(contrarian behavior)或負向回饋交易(negative feedback trading)策略，以及 散戶權證交易後現貨股價報酬之變化；此外，本計畫亦研究台灣散戶於現貨市場 的購買偏好效應(attention-grabbing)是否外溢到權證市場，且是否在不同標的股票 之權證有不同程度的影響，藉此瞭解散戶交易權證的動機；最後，本計畫將討論 散戶在決定購買某標的股票的權證後，如何挑選不同券商發行的權證商品，研究 哪些因素會影響散戶對權證商品的選擇；藉由本計畫對散戶在權證市場交易行為 的研究，除了可以更深入瞭解散戶的交易行為外，亦可作為券商未來設計與發行 衍生性商品之參考。[[abstract]]Studies about trading behavior of individual investors has been increased substantially. However, most of the existing empirical studies analyze the behavior of individual investors in the stock market. Fewer look at trading in derivative market. By investigating transactions in derivatives markets, which is high-leveraged, short-lived, and more complicated than stocks, we could acquire more knowledge about individual trading behavior and their trading motives. In this project, we first examine the relation between individual trading of warrants and returns of underlying stocks. Then, we study if the attention grabbing effect, which has been found in Taiwan stock market, spillover to warrants market. Finally, we explore how individual investors choose from various warrants issued by different financial institutions. By closely analyzing individual behavior in one of the most important derivative markets in Taiwan, our results could not only benefit the academic interest in investor behavior, they are also interesting for issuers and market makers of warrants.[[note]]MOST103-2410-H327-00

Are Individual Investors Always Uninformed? Individual Trading, Earnings Announcements and Market Sentiment

[[note]]MOST104-2410-H327-00

Individual and institutional herding and the impact on stock returns: Evidence from Taiwan stock market

[[abstract]]Using high frequency intraday data, this paper investigates the herding behavior of institutional and individual investors in the Taiwan stock market. The study finds evidence of herding by both investors but a stronger herding tendency among institutional than among individual investors. Institutional investors herd more on firms with small capitalizations and lower turnovers and they follow positive feedback strategies. The portfolios that institutional investors herd buy outperform those they sell by an average of 1.009% during the 20 days after intense trading episodes. By contrast, individual investors herd more on firms with small sizes and higher turnovers, and they crowd to buy (sell) stocks with negative (positive) past returns. The portfolios that individual investors herd buy underperform those they sell by an average of ? 0.829% during the following 20 days. Moreover, these return differences of both investors are more pronounced under a market with higher pressure and among small stocks. These findings suggest that the herding of institutional investors speeds up the price-adjustment process and is more likely to be driven by correlated private information, while individual herding is most likely to be driven by behavior and emotions

股票選擇權上市對放空交易及價格效率之影響

[[abstract]]This paper examines the effects of listed stock options on short selling and price efficiency by sampling the data from 125 listed stock options and short sales from July 1, 2004 through December 31, 2008 on the New York Stock Exchange (NYSE). The results suggest that listed stock options help to mitigate the restrictions on short selling and increase the speed of price adjustments to negative news. Moreover, the short selling on the spots contains information predicative of negative returns in the future. Despite the fact that options listings slightly lower the short restriction, the information contents of shorts in the spot market are not affected by option listings, and the trading of short selling provides more information than put options’ trading. In other words, only a few investors in possession of negative information shift to the option market. Most of them do not change trading behavior simply because of the lower transaction costs in the option market.[[abstract]]本研究分析股票選擇上市後，對於現貨市場放空交易及價格效率的影響。採用美國紐約證券交易所 2004 年 7 月 1 日至 2008 年 12 月 31 日共 125 家股票選擇權及現貨市場的放空交易資料，結果發現股票選擇權上市可以相對降低放空限制和提升負面消息的價格調整速度，兩市場為合作關係。此外，我們發現現貨市場的放空交易具有資訊內含，可以預測未來負報酬，而且資訊內含不受選擇權上市的影響。然而，和放空交易相比，選擇權市場較不具有資訊內涵，無法預測未來負報酬，表示具有負面消息的投資人，仍較喜歡在現貨市場做看空交易，不因為選擇權市場的交易成本較便宜，而改變其交易的習慣

Stock Investment Decision Support: Models, Technology and System

[[abstract]]隨著台灣人們生活富裕，使得投資理財逐漸受到重視；在眾多金融商品裡，唯具有動態且開放的市場、高獲利以及高變現能力等特性的股票投資最受投資者青睞。在動態且多變化的股票市場中，影響股票價格的因素眾多，投資者為了掌握對個股產生投資影響的重要訊息，往往需蒐集股票市場資訊以利進行投資分析與判斷。而現今股票投資資訊日漸氾濫，導致投資者陷入須耗費大量時間來蒐集與整理投資資訊的困境。因此，為即時且正確地提供投資者相關股票投資決策資訊，如何針對這些龐雜且量大的股票投資資訊進行蒐集、過濾、分析與整理，形成有效的股票決策資訊，已成為股票投資決策重要的研究議題。本計劃主要目的在於研發股票投資之決策支援模式、技術與系統，以協助股票投資者能依據其投資需求提供個人化股票投資決策之相關資訊，並選擇合適的投資個股與其投資時程，進而提昇股票投資者之獲利能力。針對上述研究目的，本計劃將： (i) 提出一股票投資之決策支援模式， (ii) 設計一股票投資之決策支援系統架構， (iii) 發展股票投資決策支援系統之核心方法與技術，以及 (iv) 實作一股票投資之決策支援系統以及驗證其方法(案例示範)。[[abstract]]Investment and financial management has become important due to generally wealthy lifestyle in Taiwan. However, for most of the investors, they favor only the stocks with the characteristics of in a dynamic and open market, high profit and high liquidity among diversified financial products. In the dynamic and changeable stock market, there are a lot of elements that could affect stock prices. To control important information that would influence the investment decision to certain stock, investors must collect stock market information to facilitate the analysis and judgment of the investment. Nowadays, stock investment is getting overloaded with information, this circumstance causes a bottleneck that investors need to spend a great deal of time to collect and organize related investment information. Therefore, how to collect, filter, analyze and organize the complicated and high-volume stock investment information and then to create effective stock decision information for investors has become an important research issue for stock investment decision. This NSC project develops a decision support model, technology and system for stock investment to provide stock investors with information on personalized stock investment decision based on their own investment requirements as well as select suitable investment stocks and relevant investment schedules, and consequently boost stock investors’ profitability. To accomplish the above purpose, the following tasks should be performed: (i) designing a decision support model for stock investment. (ii) designing a decision support system framework for stock investment. (iii) developing core techniques involved in the decision support system for stock investment. (iv) implementing a decision support system for stock investment with an illustrative case.[[note]]NSC100-2410-H327-003-MY