اثر توجه در رفتار خرید در طی یک بحران مالی: شواهدی از بورس تایوان

We confirm that investors in different categories have different trading patterns caused by attention-grabbing factors. Stocks with extreme one-day returns catch the attention of both individual and institutional investors. Individual investors are net buyers of losers whereas institutional investors are net buyers of winners. Unlike institutional investors, individual investors also regard volume as a conditional attention-grabbing factor. We also find that attention-driven buying behavior is mitigated by the financial crisis of 2007, which indicates that the buying behavior of investors is less emotional during a period of financial crisis.

This paper examines the attention-driven buying behavior of different types of investors. When there are many choices, options that attract attention are more likely to be considered and chosen. Investors are more likely to buy the stocks which grab their attention. Barber and Odean (2008) find that individual investors are net buyers of stocks with extremely high volume and extreme returns, whether positive or negative. However, is there an interaction between attention-grabbing factors? Is the attention-driven buying behavior strengthened or mitigated by the market situation? We first examine the attention-grabbing behavior of different types of investors by observing the relationship between buy–sell imbalances and the prior day's volumes and returns and further investigate whether the financial crisis has influenced such behavior. The term ‘attention-grabbing’ was first coined by Barber and Odean (2008). Attention-grabbing stocks refer to those in the news, those experiencing high abnormal trading volume, and those with extreme one-day returns. Previous research tends to view individuals and institutions differently. Institutions are commonly viewed as informed investors, and individuals are believed to have psychological biases and are often thought of as proverbial noise traders (Black, 1986 and Kyle, 1985). Barber and Odean (2008) confirm that individual investors are net buyers of attention-grabbing stocks, while institutional investors are least influenced by attention. However, it is interesting to note that Barber and Odean (2008) find that both extreme positive and extreme negative returns lead to significant buying behavior. Based on the work of Barber and Odean (2008), we analyze a complete dataset, which contains all trading records of all investors on the Taiwan Stock Exchange (TSE). Our sample covers trading from 3rd January 2005 to 31st December 2009, which includes the pre-crisis and in-crisis periods. The dataset contains the entire transaction data and the identity of each trader in the Taiwan stock market, which means that our data allow us to identify trading of individuals and different kinds of institution. Compared to the US, the stock market in Taiwan possesses four characteristics. First, the TSE operates in a consolidated limit-order book environment in which only limit orders are accepted. Orders are executed according to strict price and time priority. Second, the turnover rate in the TSE is very high — averaging 184% annually during our sample period2. In contrast, annual turnover on the New York Stock Exchange (NYSE) averaged 128% annually from 2005 through 2009. Additionally, the majority of trades are made by individual investors, which account for over 70% capitalization. Third, day trading3 is prevalent in Taiwan (Barber, Lee, Liu, & Odean, 2008). Virtually all day trading (97.5%) can be traced to individual investors in Taiwan (Barber et al., 2008). Lastly, compared to the US stock market, in which institutional trades account for the majority of total trades, individual investors are very active in the Taiwanese stock market. High turnover and prevalent individual trading provide us with a good opportunity to observe the attention-driven buying behavior of individual investors. We find that investors are contrarians in Taiwan. Since there is no officially designated market maker on the TSE, individual investors are more likely to indulge in de facto market making activity and act as liquidity providers of practitioners (Chui et al., 2010 and Kaniel et al., 2008; Lee, Liu, and Subrahmanyam, 2004). In addition, we find that unusual trading volume only encourages individual investors to be net buyers when the stock returns are negative. We further explore whether the behavior of different investor clientele is influenced by the market situation (Bateman et al., 2010, Chiang & Zheng, forthcoming, Karolyi, 2002 and Lim et al., 2008). The impact of the global financial crisis from 2007 to 2009 on the stock markets has been severe. The literature on the financial crisis, especially the massive falling of stock prices in several Asian countries during late 1997, is extensive; however, one facet of the financial crisis that did not receive much attention is its impact on investor behavior Chiang and Zheng (forthcoming)). Given this, we empirically investigate the effects of the financial crisis from 2007 to 2009 on attention-driven buying behavior. To test this, we separate the whole period into two sub-periods — pre-crisis and in-crisis. The results demonstrate that compared to the pre-crisis period, attention-driven buying behavior and the interaction between returns and volume are all weaker during the in-crisis period. This finding implies that investors are less emotional during a financial crisis. Specifically, we also find evidence that foreign institutional investors sold off their holdings during the crisis, which indicates that they are less likely to be long-term investors. This paper differs from previous research in three respects. First, the dataset used by Barber and Odean (2008) in their investigation of attention-grabbing behavior is restricted to a few brokerages. Our study contains all the trading records of individual investors and institutional investors of different types. Second, we document that there is an interaction between different attention-grabbing factors. Individual investors are more attracted by returns than volume. Third, we identify the role of the financial crisis in testing attention-grabbing behavior. The evidence shows that both individual and institutional investors are less attracted by extreme returns and volume during a financial crisis. Investors are less emotional when the market falls. The reminder of the paper is organized as follows. Section 2 describes the data and sorting methodology. Section 3 presents the main empirical results of the attention-grabbing behavior of investors of different types. Section 4 tests whether the financial crisis has influenced attention-grabbing behavior. Section 5 concludes.

Attention-driven buying results from the difficulty that investors have in searching the thousands of stocks they can potentially buy. By using the trading data across different investor types that trade on the Taiwan Stock Exchange (TSE), this paper empirically investigates the attention-grabbing behavior of investors and the effect of the financial crisis of 2007 on this behavior. We test for attention-driven buying behavior by sorting stocks on extreme one-day returns and trading volume. We find that the attention-driven buying behavior of individual investors only focuses on the stocks which performed poorly on the previous day. Contrarily, institutional investors are net buyers of stock which performed well on the previous day. In brief, individual investors are contrarians and institutional investors are momentum-style investors. Furthermore, this paper demonstrates that high volume is another attention-grabbing factor for institutional investors. Institutional investors, especially foreign institutional investors and mutual funds, are more prone to indulge in stocks with high volume. Conversely, volume is not a significant determinant on the buy–sell imbalance (BSI) of individual investors. However, within the subset of stocks that do attract their attention through negative returns, individual investors are prone to buy stocks with high volume. This finding also indicates that individual investors do not treat the two attention-grabbing factors equivalently but regard returns as the priority. Our analysis provides extra information for the attention-driven buying behavior during the financial crisis period. We observe attention-driven buying behavior in the pre-crisis period and the in-crisis period separately. Our tests exhibit strong evidence that buying behavior is less attention-driven during the financial crisis period from 2007 to 2009 for both individual investors and institutional investors. The influences of financial crises on other trading behaviors are interesting topics left for future research.