突出性對不同種類投資人下單積極度之影響

Abstract

本研究以2013年1月1日至2022年12月31日台灣證券交易所上市公司普通股為研究樣本，探討突出性對不同種類投資人下單積極度之影響，並將投資人分為國內法人、外資及散戶三類，分析其對突出性的反應差異。實證結果顯示：(1)當突出性增加時，各類投資人的買方下單積極度均顯著下降，其中散戶的下降幅度最大，其次為外資，本地法人最小；(2)在賣方方面，本地法人與散戶的下單積極度隨突出性增加而下降，外資則呈現上升但不顯著；(3)透過Chow Test檢定，三類投資人間皆存在結構性差異，散戶較機構投資人更容易受到突出性影響。

This study investigates the impact of salience on the order aggressiveness of different types of investors, using common stocks listed on the Taiwan Stock Exchange from January 1, 2013, to December 31, 2022. Investors are categorized into three groups—domestic institutions, foreign investors, and individual investors—to analyze the heterogeneity in their responses to salience.The empirical findings show that: (1) As salience increases, the order aggressiveness on the buy side significantly decreases across all investor types, with the largest decline observed among individual investors, followed by foreign investors, and the smallest among domestic institutions; (2) On the sell side, order aggressiveness decreases for both domestic institutions and individual investors as salience rises, while foreign investors show an insignificant increase; (3) Chow test resultsconfirm structural differences among the three investor types, indicating that individual investors are more susceptible to the influence of salience compared to institutional investors.