衍生性商品交易對投資人從眾行為之影響

The Effect of Derivatives Trading on Investor Herding Behavior

本文研究個股衍生性商品的交易對散戶和機構投資人從眾效應的影響。我們以臺灣權證交易來進行實證，結果發現當標的股票有權證發行時，散戶投資人的從眾效應明顯較低，機構投資人的從眾效應則較不受標的股票是否發行權證而影響。此外，權證交易量愈高，散戶投資人的從眾效應愈低；反之，權證交易量對機構投資人從眾的影響較不顯著。熱絡權證交易使機構法人的買方從眾效應下降，但機構法人的賣方從眾卻不受影響，甚至熱絡的權證交易會使部分機構法人的賣方從眾行為上升。本文實證結果證明個股衍生性商品的交易能夠促進標的股票的價格效率，因而使散戶的行為驅動從眾下降，而機構投資人的從眾則較不受影響，表示機構法人的從眾較可能源自於資訊驅動。

This study investigates the effects of stock derivative trading on herding behaviors of retail and institutional investors. By analyzing trading activities of stock warrants in the Taiwan stock market, we examine whether stocks with stock warrants affect investor’s herding behaviors. The results show that retail investors herd less on stocks with stock warrants, while institutions’ herding behaviors are not affected. Moreover, active warrant trading induces lower retail herding on the underlying stock, while the effect of warrant trading on institutional herding is insignificant. Active warrant trading induces slightly lower institutional buy herding, but it has no effect on institutional sell herding. The results of this study provide evidence that the trading of stock derivatives can improve the price efficiency of underlying stocks, and further lower the herding behaviors of retail investors, more than that of institutional investors. This result also indicates that herding from retails is more likely behavioral driven, while institutional herding is information driven.