Do Attention effect and news influence the buying behavior of individual investors in Taiwanese stock market?
Date Issued
2005
Date
2005
Author(s)
Wu, Pei-chen
DOI
en-US
Abstract
This thesis is to study how the attention effects influence the net buying behavior of individual investors in Taiwan, the framework and methodology is mainly based on of Barber and Odean (2003), but some adjustments are made according to the characteristics of Taiwanese stock market. After cross-analyzing the attention effect variables of all stocks and the net buying behavior of individual investors on it, this research finds that attention-grabbing variables, such as: previous day extremely negative return, large increase of margin purchase position on previous day, large decrease of short sale position on previous day, previous day net buy position increase of foreign investors and investment trust companies, more newspapers coverage, and news release on negative return days will increase the net purchase of individual investors upon stocks with such characteristics. However, less sophisticated investors, for instance, investors of non-credit accounts or investors with lower volume per trade, tend to be more attention-driven. Finally, the portfolio simulation test finds that the portfolio of stocks individual investors buy generally underperforms the portfolio of stocks that they sell; but there’s no obvious evidence show that the attention-based buying behavior results in loss.
Subjects
關注效果
個人投資人
行為財務
attention effect
individual investor
behavioral finance
Type
thesis
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