台灣股票市場獨特性風險對下單積極度之影響
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2021
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獨特性風險中含許多有私人訊息，各類型投資者可利用自身所掌握的資訊程度來調整其下單積極度，因此，本研究以2008年至2015年台灣上市公司之普通股作為研究樣本，透過Fama-French三因子模型衡量之獨特性風險進行研究，並以Fama-French五因子模型衡量之獨特性風險進行穩健性測試，將投資者分為散戶、外資與國內法人，探討獨特性風險對下單積極度之影響。實證結果顯示：(1)各類型投資者當獨特性風險增加時，買方下單積極度將會增加，賣方下單積極度將會減少，而對於各類型投資者之買方結果，外資、國內法人為資訊優勢所致，散戶則為雜訊所致；對於各類型投資者之賣方結果，各類型投資者皆為損益所致。(2)當獨特性風險增加時，各類型投資者面對不同大小的動能、公司規模、股價淨值比之股票，下單積極度之表現：在買方部分，散戶除交易成長股不顯著以及交易動能大的公司、大型股將會增加外，其餘都將會減少，外資除交易大型股、小型股、價值股不顯著外，其餘都將會增加，國內法人除交易價值股不顯著以及交易動能大的公司會增加外，其餘都將會減少；在賣方部分，散戶除交易動能大的公司、大型股將會減少外，其餘都將會增加，外資除交易動能大的公司、大型股、成長股將會增加外，其餘都將會減少，國內法人除交易動能大的公司、大型股將會減少外，其餘都將會增加。(3)無論使用Fama-French三因子模型或Fama-French五因子模型，在探討獨特性風險對下單積極度之影響中，其結果具有穩健性。
Idiosyncratic risks contain a lot of personal information. Various types of investors can use the level of information they have to adjust the level of aggressiveness of their orders. Therefore, this study uses the common shares of listed companies in Taiwan from 2008 to 2015 as the study samples and examines the impact of idiosyncratic risk on investors' order activity by using the idiosyncratic risk measured by the Fama-French three-factor model and the robustness test by using the idiosyncratic risk measured by the Fama-French five-factor model to classify investors into retail investors, Foreign Direct Investors (FDI) and domestic institution investors. The empirical results show that : (1) For all types of investors, when the idiosyncratic risk increases, buyers will be more active in placing orders, while sellers will be less active in placing orders. For all types of investors, buyer outcomes are the result of superior information received by direct foreign investors, domestic legal entities, and miscellaneous information received by retail investors. For all types of investors, the seller outcome is due to the profit or loss of all types of investors. (2) When the idiosyncratic risk increases, the different types of investors will be affected by the different sizes of momentum, company size and NAV ratios of stocks. On the buy side, retail investors will trade insignificantly in growth stocks, stocks with high momentum and large-cap stocks, but less in all other stocks. Foreign Direct Investors (FDI) will trade insignificantly in large-cap, small-cap and value stocks, but less in all other stocks. Domestic institution investors will trade insignificantly in value stocks and more in stocks with high momentum, but less in all other stocks. On the seller side, retail investors will trade less in stocks with high momentum and large-cap stocks, but more in all other stocks. Foreign Direct Investors (FDI) will trade more in stocks with high momentum, large-cap stocks and growth stocks, but less in all other stocks. Domestic institution investors will trade less in stocks with high momentum and large-cap stocks, but more in all other stocks. (3) The results of the Fama-French three-factor model and the Fama-French five-factor model are robust when the impact of idiosyncratic risk on the aggressiveness of investors' orders is examined.
Idiosyncratic risks contain a lot of personal information. Various types of investors can use the level of information they have to adjust the level of aggressiveness of their orders. Therefore, this study uses the common shares of listed companies in Taiwan from 2008 to 2015 as the study samples and examines the impact of idiosyncratic risk on investors' order activity by using the idiosyncratic risk measured by the Fama-French three-factor model and the robustness test by using the idiosyncratic risk measured by the Fama-French five-factor model to classify investors into retail investors, Foreign Direct Investors (FDI) and domestic institution investors. The empirical results show that : (1) For all types of investors, when the idiosyncratic risk increases, buyers will be more active in placing orders, while sellers will be less active in placing orders. For all types of investors, buyer outcomes are the result of superior information received by direct foreign investors, domestic legal entities, and miscellaneous information received by retail investors. For all types of investors, the seller outcome is due to the profit or loss of all types of investors. (2) When the idiosyncratic risk increases, the different types of investors will be affected by the different sizes of momentum, company size and NAV ratios of stocks. On the buy side, retail investors will trade insignificantly in growth stocks, stocks with high momentum and large-cap stocks, but less in all other stocks. Foreign Direct Investors (FDI) will trade insignificantly in large-cap, small-cap and value stocks, but less in all other stocks. Domestic institution investors will trade insignificantly in value stocks and more in stocks with high momentum, but less in all other stocks. On the seller side, retail investors will trade less in stocks with high momentum and large-cap stocks, but more in all other stocks. Foreign Direct Investors (FDI) will trade more in stocks with high momentum, large-cap stocks and growth stocks, but less in all other stocks. Domestic institution investors will trade less in stocks with high momentum and large-cap stocks, but more in all other stocks. (3) The results of the Fama-French three-factor model and the Fama-French five-factor model are robust when the impact of idiosyncratic risk on the aggressiveness of investors' orders is examined.
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獨特性風險, 下單積極度, 投資者類型, 公司特徵, Idiosyncratic Volatility, Order Aggressiveness, Trader Type, Firm Characteristics