An empirical study of the effect on the rate of return of the trading behavior about institutional investors
|關鍵字:||機構投資人;動能假說;報酬率;Institutional investor;Momentum hypothesis;Rate of return|
This study attempts to exam the effect on the rate of return of the trading behavior about the institutional investors. The institutional investors have the ability to collect and analysis information. According to Momentum hypothesis, the institutional investors act as the role of News Watchers. Based on the information collected and analyzed, the News Watchers invest the stock market. The general investors do not have the ability to collect and analyze information. General investors act as the role of Momentum Traders. They observe the trading behaviors of News Watchers, and then invest the stock market. The investing behavior of the institutional investors will affect the investing behavior of the general investors. When there is buy-sell difference from institutional investors, the general investors will refer to the buy-sell behaviors and buy (sell) stocks. The demand of Taiwan stocks will increase (decrease) and the rate of return of Taiwan stocks will be raised (lowered). The results of this study show that the buy-sell behaviors of institutional investors have a significant positive contribution to the rate of return of the Taiwan stock market. The government permits foreign institutional investors to invest in the Taiwan stock market could reduce the influence of the buy-sell difference of institutional investors over the rate of return and volatility of the Taiwan stock market.