投資人類型與價格群聚

Trader Type and Price Clustering

本研究探討臺灣期貨市場中各類型投資人之價格群聚行為，藉由使用具有完整交易紀錄的資料，可將市場參與者分為自然人、國內機構投資人、期貨自營商及國外機構投資人四種類型。實證結果顯示，在臺灣期貨交易所的三大法人盤後交易資訊揭露規範實施後，整體市場參與者的價格群聚都顯著下降，尤其對自然人的影響特別明顯；其次，受華人文化與習俗影響而導致之數字偏好，確實存在於在本國投資人的價格行為上，其中自然人又尤其明顯；最後，相較於自然人，市場情緒指數對機構投資人之價格群聚影響較大。整體而言，在分析價格群聚行為的影響因素上，投資人類型之差異是不可忽略的重要因素。

This paper investigates the price clustering behaviors of different types of traders in the Taiwan futures market. Using a unique dataset obtained from the Taiwan Futures Exchange that records comprehensive and complete transaction data, we classify all market participants into individual traders, domestic institutional traders, futures proprietary firms, and foreign institutional traders. We find that the implementation of disclosure regulations is helpful to improve the degree of price clustering for all traders, and the impact is particularly significant for individual traders who behave as uninformed traders. Chinese cultural number preferences are pervasive in the behaviors of all domestic traders and especially for individual traders. The global market sentiment is positively associated with price clustering for individual and institutional traders, especially for foreign institutions who behave as informed traders. Overall, the empirical results show that the impacts of trading transparency, cultural preference, and market sentiment on the degree of price clustering are related to trader type.