Whose Trades Move Stock Prices? Evidence from the Taiwan Stock Exchange

[[abstract]]縱使目前已經有許多的研究探討已開發股票市場中投資人行為與股價之關係，但是這些研究對新興開發市場之影響卻是較為模糊不清的。本文主要分析2010至2013臺灣上市公司中，投資人交易行為及這些交易行為如何影響股價。交易者類別包含外資、投信、其他法人及一般自然人。首先，本文探討各種交易者類別對股票價格貢獻度之影響；其次，我們探討各類交易者之委託單下單積極度及下單規模對價格貢獻度之影響；最後，本文以向量自我迴歸模型檢測機構投資人及一般自然人之交易對股票報酬率之影響效果。實證結果顯示，相對於一般自然人而言，外資、投信、其他法人不論在買方或賣方，對股票價格貢獻度皆呈現正向顯著影響效果。此結果顯示，緃使臺灣股市一般自然人占絕大多數，機構投資人之加權價格貢獻度高達90%，其中國內機構投資人之價格貢獻度顯著高於國外機構投資人。機構投資人之交易顯著影響股價，其交易行為可能與私有訊息有關。外資之積極度較高委託單或投信基金之規模較大委託單對股票價格貢獻度顯著較高。最後，在向量自我迴歸模型中，本文發現機構投資人委託單交易量對股票報酬率具有顯著的影響性，對一般自然人交易量之的影響亦較為顯著。雖然灣股票市場中機構投資人所占比率尚不及一般自然人，然而其交易之影響效果是顯著且具領先的地位。[[abstract]]Even though many existing studies have discussed on the link between investors’ trading behavior and stock price changes in developed markets, the price contribution across investor types is so far unclear, particularly in emerging markets. By analyzing firms listed on the Taiwan Stock Exchange, we examine whose trades move stock prices. We first investigate the weighted price contribution across investor types. Then, we explore whether various investors’ order submission behavior affect the price contribution. Finally, we use the vector autoregression to model the joint dynamics and causal relations among stock return, individual and institutional trading volume. Our empirical results show that institutional weighted price contribution accounts for more 90%, even although individuals are dominant participants on the Taiwan Stock Exchange. Domestic institutions contribute more price movement than do foreign investors. Compared with individuals, institutional investors’ trading is associated to information-based trading and considerably moves stock prices. Particularly, foreign investors’ more aggressive orders and mutual funds’ larger trades show larger price contribution on stock return. Finally, the lagged institutional trading volume effects both stock return and individual trading volume most.[[note]]碩