由於我國對外國機構投資人逐步放寬投資之限制，使得台灣證券市場交易結構不斷地改變，本研究將類別交易人分為外資、內資及散戶做為研究對象，選取交易活動之變數是依據Barber, Odean, and Zhu (2009)、Han and Kumar (2013)衡量類別交易人之交易活動相同方法及延伸，將從不同的角度重新探討台灣證券市場交易活動對報酬及波動之關係，將類別交易人分為國外機構投資人、國內機構投資人及散戶作為研究對象，分別進一步探討交易活動對市場報酬、波動之影響程度及特性。研究發現交易活動中，國外機構投資人的交易活動具有降低市場波動的效果，而散戶的交易活動具有增加市場波動的不穩定。國外機構投資人成交比重雖然逐年增加，但現階段還尚未能主導對市場的報酬，此外，國外機構投資人的交易活動屬反向回饋交易，散戶的交易活動則正向回饋交易。透過本研究可以更了解類別交易人的交易活動對股市報酬、波動之間互相影響關係及影響程度。
The trading structure of the securities market in Taiwan has been constantly changing because of our government’s gradual deregulations over foreign investors. In this study, trader types categorized into foreign investor, domestic investor and retail investor are covered as the subjects to be looked into. The variables of trading activities are determined based on the same method measuring trading activities of trader types proposed by Barber, B. M., Odean, T. & Zhu, N. (2009) and Han and Kumar (2013) and the method extended therefrom. Different perspectives are thus introduced to re-explore how trading activities in the securities market in Taiwan are correlated with return and volatility. Trader types being discussed as the subjects in this study are foreign investors, domestic investors and retail investors. Further discussions are made on the effect of trading activities on market return and volatility and the related characteristics. The findings of the study revealed that the trading activities of foreign investors had the effect on reducing the volatility of the market while the trading activities of the retail investors served as a factor to increase the instability of the market volatility. The trading percentage of foreign investors in Taiwan has been increasing year by year but they have not been able to form a strong climate to dominate market return at the moment. In addition, the trading activities of foreign investors are considered as negative feedback trading while those engaged by retail investors are seen as positive feedback trading. Through this study, the in-depth discussions present a clearer picture about how and to which degree the trading activities of different trader types affect the return and volatility of the stock market.
