機構法人買賣超、行為偏誤與動能效應

Institutional Trading Super、Behavioral Biases and Momentum

本研究嘗試檢視是否機構法人連續買賣超會影響投資人的偏誤行為，實證結果發現，投資人對於整體機構法人短期連續買賣超訊號會緩慢接受有保守性偏誤，中期連續買賣超訊號則會過度重視有代表性偏誤；對於外資法人買賣超有代表性偏誤，對於投信與自營商買賣超有保守性偏誤；對於外資與投信不一致的買賣訊號有保守性偏誤，投信與自營商一致的賣出訊號有代表性偏誤。在進一步的推論，發現台灣股市動能效應可能是，外資與投信或者自營商不一致的買賣訊號影響到投資人的保守性偏誤有關；而台灣股市反轉現象可能是，機構法人一致的賣出訊號影響到投資人的代表性偏誤有關。最後，投信法人相對於外資與自營商扮演更關鍵的動能角色。

This study attempts to examine whether the institutional investors' trading super will affect the investor behavioral biases. The empirical results found that the overall institutional investors' short-term trading super, will affects the conservative bias of investors, and the medium-term trading super will cause the investor's representative bias. The investors tend to trading super of foreign have representative bias and to trading super of trust and dealer with conservative biases. For the inconsistent trading signals of foreign capital and trust that investors will have conservative biases and the consistent trading signal of trust and dealer; it will affect the representative bias of the investor. In addition, it is found that the Momentum of the Taiwan stock market may be inconsistent trading signals between foreign and trust or dealer, which affects the conservative bias of investors. Taiwan stock market reversal may be due to the consistent selling signal of the trust and dealer affects the representative bias of investors. Finally, trust plays a more critical role than foreign and dealer.