{"title":"公告对投资者交易模式的影响:以台湾为例","authors":"Chun-Yi Chao, Hung-Neng Lai","doi":"10.2139/ssrn.1459038","DOIUrl":null,"url":null,"abstract":"This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find that institutional investors are informed traders combined with herding behavior. In contrast, individual investors are liquidity providers and also suffer from both overconfidence and disposition effect.","PeriodicalId":180002,"journal":{"name":"Emerging Markets 2","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2009-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"On the Effect of Public Announcements in the Trading Patterns of Investors: Evidence of Taiwan\",\"authors\":\"Chun-Yi Chao, Hung-Neng Lai\",\"doi\":\"10.2139/ssrn.1459038\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find that institutional investors are informed traders combined with herding behavior. In contrast, individual investors are liquidity providers and also suffer from both overconfidence and disposition effect.\",\"PeriodicalId\":180002,\"journal\":{\"name\":\"Emerging Markets 2\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-08-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Emerging Markets 2\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1459038\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Emerging Markets 2","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1459038","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On the Effect of Public Announcements in the Trading Patterns of Investors: Evidence of Taiwan
This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find that institutional investors are informed traders combined with herding behavior. In contrast, individual investors are liquidity providers and also suffer from both overconfidence and disposition effect.