The disposition behavior of individual and institutional investors in Taiwan stock market

• Main Authors: Ya-Chen Hsiao, 蕭雅禎
• Other Authors: Yu-Hsiu Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/49111656999741090728

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === This study adopts the method of Odean (1998) to analyze the selling behaviors of individual and institutional investors in the Taiwan stock market. The sample includes 1489 daily trading data from January 2002 to December 2007. Specifically, this study has three main objectives. The first one is to examine if there is the so-called disposition effect in the selling behaviors of investors and whether this disposition effect exhibits industry differences. Secondly, we investigate the impact of disposition behaviors on the posterior performance. At last, the factors that may influence the disposition behaviors are discussed. Two kinds of factors are considered, one is related to stock characteristics and the other is January effect. From the empirical results, we derive four conclusions as follows: (1) There is no disposition effect for the selling behaviors of foreign investors and investment trusts. The disposition behaviors of individual investors exhibit the strongest disposition effect, especially in the non-electronic and non-financial stocks. Similarly, the selling behaviors of dealer investments also show the most significant disposition effect in the non-electronic and non-financial stocks. (2) In general, the disposition effect has negative impacts on the posterior performance for individual and dealer investors. However, it may enhance their posterior returns in the financial and non-electronic and non-financial stocks. As to foreign investors and investment trusts, it is found that their selling behaviors have no significant influence on the posterior returns. (3) As regards to the January Effect, it reveals that the disposition effect found in the selling behaviors of individual and institutional investors is strongest during the period of Chinese New Year (January or February). By analyzing the stock characteristics, we find that investors have a propensity to sell those stocks with high beta and low book-to market ratio. Furthermore, individual and dealer investors tend to sell large-size stocks while foreign investors and investment trusts are more likely to dispose small-size stocks.