法人投資行為、成交量、與報酬可預測性－台灣股市動能效應或反轉現象之再探_

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題名：	法人投資行為、成交量、與報酬可預測性－台灣股市動能效應或反轉現象之再探
作者：	黃昭祥
作者(外文)：	Chao-Hsiang Huang
校院名稱：	雲林科技大學
系所名稱：	企業管理博士班
指導教授：	李春安林哲鵬林宜勉楊踐為
學位類別：	博士
出版日期：	2004
主題關鍵詞：	動能；反轉；機構投資人；正向(負向)回饋交易；reversal；momentum；institutional investor；positive(negative) feedback trading
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:3 共同引用:0 點閱:47

近年來，許多研究指出機構投資人具有買進過去贏家並賣出過去輸家的正向回饋交易行為，此外，也有不少文獻提及美國的股市存有短期反轉以及中期動能的現象。面對該兩種類型的實證結果，本研究嘗試以台灣機構投資人為切入點，進一步地探討股市動能/反轉現象是否與機構投資人的交易行為有關。研究樣本來自台灣上市公司的日資料，研究期間為民國90年1月1日至93年5月31日。結果顯示，台灣股市短期存有顯著的動能效應，中期則有顯著的反轉現象；很有趣地，我們同時也觀察到三個型態的機構投資人在短期都有著正向回饋交易行為，但中期則具有反向回饋交易行為。本文進一步檢視外資、投信、與自營商等三大法人的投資行為，結果顯示外資不論在短期或中期都存在著正向回饋交易行為，但投信與自營商只有在短期時有進行正向回饋交易而中期卻出現負向回饋交易。在控制機構投資者持股增加率後，本研究指出投信的持股變化可以用來解釋台灣股市大部份的短期動能效應以及中期的反轉現象。同時我們也發現到產業效應與一月效應在短期動能獲利中扮演一個重要的角色。

以文找文

In recent years, studies indicate that institutional investors tend to follow positive feedback trading strategies, i.e., to buy previous winners and sell previous losers. In addition, short-term reversal and middle-term momentum phenomena in the U.S. stock market are also documented in the literature. To face the empirical consequences and to contrast the data collected in Taiwan, this study attempt to investigate the relationship between the behavior of institutional investors and the momentum/reversal trends of the stock market are interrelated. This data covers the period from January 01, 2001 to May 31, 2004. The results indicate there are short-term momentums as well as middle-term reversals in the Taiwan stock market. Interestingly, we also observe that institutional investors in Taiwan follow positive feedback trading strategies during short-term trading periods but assume negative ones during middle-term trading periods. This study further examines the investment patterns of various institutional investors, including foreign investors, domestic mutual funds, and security dealers. We find that foreign investors are positive feedback traders both on the short-term and the middle-term trading. However, the domestic mutual funds and security dealers adopt positive feedback trading strategies during short-term trading periods but assume negative ones during middle-term trading periods. This study pinpoints that after controlling the holding rates in institutional ownership, only can the behavior of domestic mutual funds explain both short-term momentum and middle-term reversal trends in Taiwan. This paper finaly discovers the important role of both industry effect and January effect played on the short-term.

以文找文

參考文獻

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