| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 94 === The interaction between price and volume is a central issue in Financial Economics. Since Jones, Kaul and Lipson (1994) pointed out the important evidence that transaction frequency accounts for more variation of stock price than transaction volume, the transaction frequency has earned greater attention than the volume. What drives the frequency, however, still remains an untapped issue.
Information is a core variable in investment decision. This study demonstrates that the time devoted by individual investors in studying investment-related information (information-time, thereafter) significantly impacts their trading frequency. Furthermore, the information-time serves a threshold role in the impacting patterns on trading frequency. That is, the factors and their influencing patterns on frequency differs when the information-time of an investor belongs to high-regime or low-regime. Some variables generates totally different impacts, for example, income is positively related with the frequency in the high-regime of studying time, while it turns out to be negative in the low-regime.
Using the databank of the Sentiment Index of Taiwan Stock Individual Investors” from Shin Hsin University, this research shows that the transaction frequency is a split-blip distribution. We need to split the samples into high- and low-frequency subgroups before further analysis. It is divided into two subsets according to the trading frequency per month: one is or less than 10 times, and the other is more than 10 times. We find the information-time has 3 thresholds in the former group (21, 14, and 2.5 hours per week) , while two thresholds in the latter (16 and 4.5 hours). In addition, the influencing factors and their patterns are different between different regimes. In short, this research finds out the threshold effect of information behavior on trading frequency; they are non-linear.
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