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題名：台灣股市外資與動能投資策略
作者：黃聖棠 引用關係
作者(外文)：Sheng-Tang Huang
校院名稱：國立東華大學
系所名稱：經濟學系
指導教授：蕭朝興
學位類別：博士
出版日期：2007
主題關鍵詞：3因子模型；資本資產定價模型；外資；動能；three factors model；CAPM；foreign investors；momentum
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本文目的有三。第一、本文依據台灣股票投資人可獲得的外資資訊做為指標投資，擬檢驗可否帶給投資人正的異常報酬？第二、投資國內股市的外資是否為動能策略交易者？第三、具有外資投資的台灣股票上市公司中是否存在動能效應？
隨著台灣逐步開放外資，外資持股比例佔台灣股市已由1994年初的6.89%上升至2004年底的22.32%，目前2006年2月為32.38%。Hameed and Kusnadi（2002）等學者發現亞太地區國家（台灣、新加坡、韓國、香港、馬來西亞、泰國）並無顯著的動能策略存在。本文嘗試探討外資持股水準、外資持股水準變動率及Jegadeesh and Titman（1993）的價格動能投資等三個策略關係，用Cooper（1999）的篩選法則（filter rules）、投資組合成對比較（portfolio-pairwise comparisons）分析以及Fama and MacBeth（1973）橫斷面迴歸，最後再用Sharpe（1963）資本資產訂價模型及Fama and French（1993）的三因子模型來看在這三個策略下是否會產生異常報酬的現象。
本文實證結果有下列幾點發現：第一、台灣股票投資人依據可獲得的外資資訊（外資持股水準變動率及外資持股水準）做為指標投資，可帶給投資人正的異常報酬。第二、部份模型證實投資國內股市的外資部分為動能策略交易者。第三、部份模型證實具有外資投資的台灣股票上市公司中存在動能效應。
The purpose of this paper is threefold. First, we test whether investors can get positive abnormal returns by following the foreign-investors’ footstep. Second, are foreign investors who invest in the Taiwan stock market momentum traders? Third, is there the momentum effect in the Taiwan (stock) listed companies invested by foreigners?
As the Taiwan government opened foreign investors investing Taiwan stock market step by step, the aggregate holding of Taiwanese stocks by foreign investors are from 6.89% in 2004 to 32.38% in 2006. However, Hameed and Kusnadi (2002) found that there are no significant momentum effect among Asia countries like Taiwan, Singapore, Korea, Hong Kong, Malaysia, and Thailand. We try to apply the filter rules proposed by Cooper (1999)- portfolio-pairwise comparisons analysis - and the cross sectional regression by Fama and MacBeth (1973) to analyze the relationship among the strategies based on the level of foreign investors’ holding stocks, the change rate of foreign investors’ stocks holdings, and the price momentum. Finally, we use the CAPM and the three factors model to see if there are abnormal returns for these three strategies.
The results are first, the Taiwan stock investors can follow foreign investors’ information like the change rate and the level of foreign investors’ holding stocks to invest and can earn positive abnormal returns. Second, evidence supports that some foreign investors investing in the Taiwan stock market are momentum traders. Third, there exist momentum effects on the Taiwan listed companies held by foreign investors.
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