Department of Banking and Finance, Tamkang University, New Taipei, Taiwan.
Department of Management Sciences, Tamkang University, New Taipei, Taiwan.
PLoS One. 2021 Apr 23;16(4):e0250121. doi: 10.1371/journal.pone.0250121. eCollection 2021.
The day trading in Taiwanese stock market expands considerably at the beginning of 2016, which increases the transactions of stocks consequently and sparks our interest in exploring the issue of day trading. In this study, we use the data of Taiwan Stock Exchange listed firms to investigate whether the day trading volume over total trading volume (hereinafter referred to as the day trading ratio) and the turnover ratio enhanced by the increase of day trading volume would affect the shareholding and trading behaviors of diverse institutional and individual investors. Unquestionably, we bring out several impressive findings. First, foreign institutional investors would not prefer holding or trading the stocks with high day trading ratios, whereas individual investors would prefer holding these kinds of stocks. We infer that this finding might result from the fundamental and the speculative concerns of these various investors. Second, domestic institutional investors and security dealers would prefer trading the stocks with high turnover ratios, but foreign institutional investors still lack of interest in trading these stocks, implying that the investment strategies would be dissimilar among various institutional investors. Since foreign institutional investors are regarded as the successful institutional investors in Taiwan, we argue that our revealed results may help market participants trace the behaviors of diverse investors, especially the foreign institutional investors, after day trading relaxation in Taiwan.
2016 年初，台湾股市的日内交易大幅扩张，这导致股票交易相应增加，引发了我们对日内交易问题的兴趣。在这项研究中，我们使用了台湾证券交易所上市企业的数据，来探讨日内交易成交量占总成交量的比例（以下简称日内交易比率）以及日内交易增加所带来的周转率的提高，是否会影响各类机构和个人投资者的持股和交易行为。毫无疑问，我们得出了一些令人瞩目的发现。首先，外国机构投资者不倾向于持有或交易日内交易比率较高的股票，而个人投资者则倾向于持有这类股票。我们推断，这一发现可能源于这些不同投资者的基本和投机性考虑。其次，国内机构投资者和证券交易商更倾向于交易周转率较高的股票，但外国机构投资者对交易这些股票仍缺乏兴趣，这表明不同机构投资者的投资策略存在差异。由于外国机构投资者被视为台湾成功的机构投资者，我们认为，我们的研究结果可能有助于市场参与者在台湾放宽日内交易限制后，跟踪各类投资者，特别是外国机构投资者的行为。
