| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 92 === In this article, we change the basic assumption that there are only rational investors in stock market. We divide the types of investors into four groups： inside traders, rational investors, technical traders, and irrational investors. The interactions among these four types of investors constitute our behaviors of market participators model. Then, we use the behaviors of market participators model to redefine and explain momentum effects, turnover effects, and momentum life cycle phenomena.
In the part of empirical study, we examine two inferences derived from our behaviors of market participators model. The first inference is that there would be weak momentum effects but strong turnover effects in Taiwan stock market. The second one is that the existence of irrational investors causes overreaction to stock price. To test the above two inferences, we use momentum, turnover, and margin-trading trading strategies respectively. The final empirical results show that there are weak momentum effects, but strong turnover and margin-trading effects in Taiwan stock market. Thus, the empirical results are consistent with the inferences derived from our model.
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