Who is the Winner? Trading Behavior and Performance for Major Types of Traders--Evidence from Taiwan's Futures Market_

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題名：	Who is the Winner? Trading Behavior and Performance for Major Types of Traders--Evidence from Taiwan's Futures Market
書刊名：	Asia Pacific Management Review
作者：	Cheng, Teng-yuan／Lin, Chao-hsien／Juang, Shaung-shii
出版日期：	2007
卷期：	12:1
頁次：	頁13-21
主題關鍵詞：	Feedback trading；Market timing ability；Foreign investor；Individual trader；Cumulative performance
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:7 點閱:24

By analyzing a unique data set provided by the Taiwan Futures Exchange (TAIFEX), we find that the individual traders and futures dealers are positive feedback traders while foreign investors tend to engage in negative feedback trading (value buyer). The foreign investors and security dealers are good market timers in the Taiwan futures market and earn significant profits. The individual traders, in contrast, lose a significant amount of money in the futures market. The cumulative profit analysis shows during this study period that foreign investors earn about 600 million NTD and the individual trader loses about one billion NTD.

以文找文

期刊論文
1.	Bohn, H.、Tesar, L.(1996)。U.S. equity investment in foreign markets: Portfolio rebalancing or return chasing。American Economic Review，86，77-81。
2.	Chang, E. C.(1985)。Returns to speculators and the theory of normal backwardation。Journal of Finance，40，193-208。
3.	Daigler, R.、Wiley, M.(1999)。The impact of trader type on the futures volatility-volume relation。Journal of Finance，54，2297-2315。
4.	Froot, K.、O'Connell, P.、Seasholes, M.(2001)。The portfolio flows of international investors。Journal of Financial Economics，59，151-193。
5.	Grinblatt, M.、Keloharju, M.(2000)。The investment behavior and performance of various investor types。Journal of Financial Economics，55，43-67。
6.	Hartzmark, M. L.(1991)。Luck versus forecast ability: Determinants of trader performance in futures markets。Journal of Business，64，49-74。
7.	Hartzmark, M. L.(1987)。Returns to individual traders of futures: Aggregate results。Journal of Political Economy，95，1292-1306。
8.	Hamao, Y.、Mei, J.(2001)。Living with the enemy: An analysis of foreign investment in the Japanese equity market。Journal of International Money and Finance，20，715-735。
9.	Karolyi, A.(2002)。Did the Asian financial crisis scare foreign investors out of Japan?。Pacific Basin Finance Journal，10，411-442。
10.	Murase, A.(2001)。Stock investment performance of main investor groups in Japanese market。Review of Monetary and Financial Studies，2001(Mar.)。
11.	Lin, M. C.、Ma, L. C.(2002)。The interactions between institutional trading information and market returns。Review of Securities and Futures Markets，14，113-143。
12.	Lin, C. H.、Hsu, H.(2004)。The behavior and performance of trader groups in Taiwan futures market。Taiwan Academy of Management Journal，9(2)，107-121。
13.	Wang, C.(2003)。The behavior and performance of major types of futures traders。Journal of Futures Markets，23，1-31。
14.	Wang, Y. J.、Walker, M. M.(2000)。An empirical test of individual and institutional trading patterns in Japan, Hong Kong, and Taiwan。Journal of Economics and Finance，24，178-194。
15.	Wang, Changyun(2001)。Investor Sentiment And Return Predictability In Agricultural Futures Markets。Journal of Futures Markets，21(10)，929-952。
16.	楊踐為(20010800)。The Interrelationships among Returns, Institutional Investors' Buy-Sell Difference and Trading Strategy in Taiwan's OTC Market。中國財務學刊，9(2)，67-89。
17.	Bange, Mary M.(2000)。Do the portfolios of small investors reflect positive feedback trading?。Journal of Financial and Quantitative Analysis，35(2)，239-255。
18.	Kamesaka, Akiko、Nofsinger, John R.、Kawakita, Hidetaka(2003)。Investment Patterns and Performance of investor Groups in Japan。Pacific-Basin Finance Journal，11(1)，1-22。
19.	Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance，55(2)，773-806。
20.	Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance，54(6)，2263-2295。
21.	Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance，53(5)，1775-1798。
22.	Wermers, Russ(1999)。Mutual Fund Herding and the Impact on Stock Prices。Journal of Finance，54(2)，581-622。
23.	Barber, Brad M.、Odean, Terrance(2001)。Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment。The Quarterly Journal of Economics，116(1)，261-292。
24.	Grinblatt, Mark、Titman, Sheridan(1993)。Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns。The Journal of Business，66(1)，47-68。
25.	Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review，85(5)，1088-1105。
26.	Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics，32(1)，23-43。
27.	Odean, Terrance(1999)。Do Investors Trade too Much?。American Economic Review，89(5)，1279-1298。

研究報告
1.	Huang, B. N.(2000)。Impact of domestic investment companies, registered trading firms and QFIIs on the Taiwan stock exchange after the financial market liberalization。National Chung Cheng University。
2.	Kim, K.、Nofsinger, J. R.(2002)。The behavior and performance of individual investors in Japan。Washington State University。
3.	Jackson, A.(2002)。The aggregate behaviour of individual investors。London Business School。
4.	Lin, C. H.、Hsu, H.(2003)。The impact of trader types on the futures basis: Evidence from the Taiwan futures exchange。National Cheng Kung University。

學位論文
1.	Chou, S. R.(2002)。Do institutional investors’ net buy-and-sell information provides short-term profitable opportunities in the Taiwan stock market?(學士論文)。National Dong Hwa University。

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