本研究的主要研究對象以融資交易者為主，以Fama-Mecbeth 橫斷面回歸分析法，分析他們在市場上的買進以及賣出的決策，是否會明顯的跟從三大法人進出的現象，以及Google 搜尋量指標能否作為融資者的資訊需求代理變數，接著，將長短期報酬追逐指標與法人進出加入考量，之後進一步以規模區分公司樣本進行差異化的分析。經過實證結果顯示，融資者有明顯跟從法人的行為模式，依照公司規模以及長短期報酬追逐指標有不同的跟從對象，此外，搜尋量指標也能作為融資者的資訊代理變數，對於處分效果也較不顯著。

This study focuses on margin-buying traders as the primary research subject and utilizes the Fama-Macbeth cross-sectional regression analysis method to examine their buying and selling behaviors in the market. The empirical results reveal that margin-buying traders exhibit a clear pattern of following the behavior of institutional investors. The specific follow-up targets vary based on company size and the long-term and short-term return chasing indices. Additionally, the search volume index proves to be a useful proxy variable for margin-buying traders' information demand and is less significant in terms of the disposition effect.

Contents
論文審定書 i
中文摘要 ii
Abstract iii
Contents iv
List of tables v
1. Introduction 1
2. Literature review 4
2.1 Margin trading and individual investors 4
2.2 Individual retail investors and herding behavior 6
2.3 The relationship between institutional investors' shareholding and stock returns 7
3. Research design 9
3.1 Research framework 9
3.2 Data source and sample selection 10
3.3 Variable Definitions 11
3.4 Research model 19
4. Empirical result 22
4.1 Descriptive statistics 22
4.2 Retail margin-buying trading behavior and its relationship with institutional investor behavior 25
4.3 The relationship between institutional investors and return chasing 30
4.4 Margin-buying traders and size preference 32
4.5 The behavior of margin-buying traders and the search volume indicator 37
4.6 Margin-buying traders and disposition effect 39
5. Conclusions 43
References 45

References
丁秀儀, & 黃勇達. (2010). 資訊揭露程度與內涵對機構投資人持股的影響. 證券市場發展季刊, 22(3), 39-74.
林哲鵬, 黃昭祥, & 李春安. (2006). 機構投資人行為與台灣股市報酬的關聯性. 財務金融學刊, 14(2), 111-150.
張宮熊, & 劉維琪. (2005). 證券市場主力與散戶投資人跟從行為之研究─ 一個簡單的賽局模型. Journal of Risk Management, 7(2), 135-164.
羅進水, & 李春安. (2009). 從眾與非從眾行為對市場報酬衝擊之研究. 管理評論, 28(3), 21-41.
Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial markets and portfolio management, 25, 239-264.
Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics, 9(1), 3-18.
Barry, C. B., & Brown, S. J. (1984). Differential information and the small firm effect. Journal of financial economics, 13(2), 283-294.
Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
Cheng, L.-Y., Chang, C.-C., & Yi, D.-Y. (2013). An Analysis of Short Selling, Margin Purchasing, and Bid-ask Spreads around Illegal Insider Trading: Evidence from Taiwan. Journal of Financial Studies, 21(4), 91-123.
Cheng, T. Y., Lee, C. I., & Lin, C. H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213.
Choi, K.-H., & Yoon, S.-M. (2020). Investor sentiment and herding behavior in the Korean stock market. International Journal of Financial Studies, 8(2), 34.
Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of finance, 66(5), 1461-1499.
Dhar, R., & Zhu, N. (2006). Up close and personal: Investor sophistication and the disposition effect. Management science, 52(5), 726-740.
Hirose, T., Kato, H. K., & Bremer, M. (2009). Can margin traders predict future stock returns in Japan? Pacific-Basin Finance Journal, 17(1), 41-57.
Huang, T.-L., Lai, K.-L., Chen, M.-L., & Kuo, H.-J. (2014). Information demand, web search behavior, and speculative trading activity. Sun Yat-Sen Management Review, 22(1), 157-183.
Kim, H., Kim, K. T., & Hanna, S. D. (2022). The effect of investment literacy on the likelihood of retail investor margin trading and having a margin call. Finance Research Letters, 45, 102146.
Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of finance, 53(5), 1775-1798.
Rahman, M. A., Chowdhury, S. S. H., & Sadique, M. S. (2015). Herding where retail investors dominate trading: The case of Saudi Arabia. The Quarterly Review of Economics and Finance, 57, 46-60.
Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of finance, 40(3), 777-790.
Yan, X., & Zhang, Z. (2009). Institutional investors and equity returns: are short-term institutions better informed? The Review of Financial Studies, 22(2), 893-924.