本研究探討「有限注意力」對投資人股票買賣行為之影響，市場中哪些因素與有限注意力相關，而這些因素對於投資人投資行為是否會造成實質的影響。本研究以台灣股票市場的上市櫃股票為研究標的，將投資人分為個人及機構以交易量、報酬及新聞作為注意力之代理變數，觀察有限注意力與投資決策之關係。實證結果顯示報酬及新聞對個人投資人之買入行為呈現顯著正相關；交易量對於機構投資人之買入行為呈現顯著正相關、報酬及新聞對於機構投資人之買入行為呈現顯著負相關。因此，不論是個人投資人或機構投資人其股票買賣行為皆會受注意力所影響。

The purpose of this study is to explore the relationship between “limit attention” and stock market. What market factors associated with limited attention, and these factors for investors whether the investment behavior of real impact. In this study, we divid the investors to individual and institutional and trading volume, return and news as proxy for attention. Taiwan's stock market is the subject. Discuss the relationship between limit attention and the investment behavior of investors. Our empirical results indicate that return and news is significant positively related to buying behavior of individual investors; volume is significant positively related to buying behavior of institutional investors. In addition, return and news is significant negatively related to buying behavior of institutional investors. The results showed that both individual investors or institutional investors trading behaviors will be affected by the attention.

第壹章、緒論	1
第一節、研究背景與動機	1
第二節、研究目的	4
第三節、研究架構	5
第貳章、文獻探討	7
第一節、有限注意力	8
第二節、新聞	12
第三節、交易量及報酬	15
第四節、法人投資行為	17
第五節、研究假說	19
第參章、研究方法	22
第一節、資料來源	22
第二節、變數定義	23
第三節、實證模型	28
第肆章、實證結果及分析	36
第一節、敘述性統計分析	36
第二節、相關分析	38
第三節、單變量分析	40
第四節、迴歸分析	45
第伍章、結論與建議	60
第一節、研究結論	60
第二節、研究貢獻	63
第三節、研究限制與建議	64
參考文獻	65
中文文獻	65
英文文獻	67
附錄一	72
附錄二	80

表目錄
表 4-1 敘述性統計 ............................................................................................................ 37
表4-2 各變數間之Pearson 相關係數矩陣 ..................................................................... 39
表4-3 異常交易量與買賣單不均衡之單變量分析 ....................................................... 41
表4-4 報酬與買賣單不均衡之單變量分析 ................................................................... 43
表4-5 新聞與買賣單不均衡之單變量分析 ................................................................... 44
表4-6 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(連續變數) ... 52
表4-7 注意力與買賣單不均衡之迴歸分析-外資(連續變數) ....................................... 53
表4-8 注意力與買賣單不均衡之迴歸分析-投信(連續變數) ....................................... 54
表4-9 注意力與買賣單不均衡之迴歸分析-自營商(連續變數) .................................... 55
表4-10 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(間斷變數) . 56
表4-11 注意力與買賣單不均衡之迴歸分析-外資(間斷變數) ..................................... 57
表4-12 注意力與買賣單不均衡之迴歸分析-投信(間斷變數) ..................................... 58
表4-13 注意力與買賣單不均衡之迴歸分析-自營商(間斷變數) .................................. 59
表5-1 迴歸分析結果統整表 ............................................................................................ 62
表5-2 假說結論統整表 .................................................................................................... 62
附表1-1 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(固定效果)72
附表1-2 注意力與買賣單不均衡之迴歸分析-外資(固定效果) ................................... 73
附表1-3 注意力與買賣單不均衡之迴歸分析-投信(固定效果) ................................... 74
附表1-4 注意力與買賣單不均衡之迴歸分析-自營商(固定效果) ............................... 75
附表1-5 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(隨機效果)76
附表1-6 注意力與買賣單不均衡之迴歸分析-外資(隨機效果) ................................... 77
附表1-7 注意力與買賣單不均衡之迴歸分析-投信(隨機效果) ................................... 78
附表1-8 注意力與買賣單不均衡之迴歸分析-自營商(隨機效果) ............................... 79
附表2-1 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(固定效果)80
附表2-2 注意力與買賣單不均衡之迴歸分析-外資(固定效果) ................................... 82
附表2-3 注意力與買賣單不均衡之迴歸分析-投信(固定效果) ................................... 83
附表2-4 注意力與買賣單不均衡之迴歸分析-自營商(固定效果) ............................... 84
附表2-5 注意力與買賣單不均衡之迴歸分析-個人投資人及機構投資人(隨機效果)85
附表2-6 注意力與買賣單不均衡之迴歸分析-外資(隨機效果) ................................... 86
附表2-7 注意力與買賣單不均衡之迴歸分析-投信(隨機效果) ................................... 87
附表2-8 注意力與買賣單不均衡之迴歸分析-自營商(隨機效果) ............................... 88

圖目錄
圖 1.3.1 論文架構圖..................................................................................................... 6
圖2.1.1 注意力象限圖................................................................................................ 10

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