| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === What the investors concern about most are stock return and turnover ratios. They are highly correlated to the investors’ wealth and liquidity. The purpose of the paper is to test the influence of individual and institutional investors’ investment behaviors on stock return and turnover ratios.
This paper used Margin Trading data, Central Depository data, foreign investors’ trading data, mutual funds’ trading data and dealers’ trading data from March 1997 to February 2000. My correlation and regression analysis get some conclusions as follows:
1.There are herding behavior between domestic institutional investors but not between domestic institutional investors and foreign investors. Domestic smart individual investors hold contrary investment strategy with domestic institutional investors.
2.The influence of stock trading behavior on the stock return is stronger than that of stock holding behavior. My study finds that smart individual investors’ trading behavior influenced the stock return most, the second was domestic institutional investors, and then foreign investors. They were all in the same direction.
3.The influence of stock holding behavior on the stock turnover ratio is stronger than that of stock trading behavior. My study finds that smart individual investors’ holding behavior influenced the stock turnover most in the same direction, and then mutual funds’. Foreign investors’ was the least and its direction was negative.
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