| Summary: | 碩士 === 中國文化大學 === 財務金融學系 === 103 === The trading structure of the securities market in Taiwan has been constantly changing because of our government’s gradual deregulations over foreign investors. In this study, trader types categorized into foreign investor, domestic investor and retail investor are covered as the subjects to be looked into. The variables of trading activities are determined based on the same method measuring trading activities of trader types proposed by Barber, B. M., Odean, T. & Zhu, N. (2009) and Han and Kumar (2013) and the method extended therefrom. Different perspectives are thus introduced to re-explore how trading activities in the securities market in Taiwan are correlated with return and volatility. Trader types being discussed as the subjects in this study are foreign investors, domestic investors and retail investors. Further discussions are made on the effect of trading activities on market return and volatility and the related characteristics. The findings of the study revealed that the trading activities of foreign investors had the effect on reducing the volatility of the market while the trading activities of the retail investors served as a factor to increase the instability of the market volatility. The trading percentage of foreign investors in Taiwan has been increasing year by year but they have not been able to form a strong climate to dominate market return at the moment. In addition, the trading activities of foreign investors are considered as negative feedback trading while those engaged by retail investors are seen as positive feedback trading. Through this study, the in-depth discussions present a clearer picture about how and to which degree the trading activities of different trader types affect the return and volatility of the stock market.
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