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題名：臺灣期貨與股票市場三大法人買賣超行為與報酬之關係及資訊內涵之探討
作者：黃文芳
作者(外文)：Wen-Fang Huang
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：許溪南
王健聰
學位類別：博士
出版日期：2010
主題關鍵詞：價格之持久性不對稱影響；同步買賣超；資訊內涵；資訊假說；個別買賣超；permanent price impact asymmetry；simultaneous net buys/sells；information contents；information hypothesis；individual net buys/sells
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本文探討三大法人於台灣股票市場及期貨市場之買賣超型態、買賣超強度與價格或報酬之關係，並分析買賣超之資訊意涵及各種買賣超資訊對投資人之助益。本研究共分三大項檢定：一、檢定三大法人買賣超與股價報酬之同期關係，二、檢定三大法人買賣超與後續價格變動之長短期關係，三、檢定三大法人買賣超訊息對投資人之長短期貢獻。以往文獻在探討三大法人之買賣超與股市報酬關係時，區分買賣超型態者不多，而且論及三大法人在期貨市場買賣超與報酬之關係者亦不多。在本文研究模型中，將法人買賣超區分為個別(單獨)買賣超與同步買賣超型態以反映法人間訊息之同(異)質性，並結合買賣超強度變數及時間落後變數，且將研究範圍涵蓋期貨市場。本研究發現：
一、買賣超與報酬之同期關係
三大法人同步買賣超之日，不論買賣超額度之高低，對當日報酬均有顯著影響，此結果在期貨市場、上市股市、及上櫃股市均獲致一致結論。在個別買(賣)超方面，相較於投信及外資，自營商在台指期市場(上櫃股市)之個別大額賣超(買超)行為對同期價格變動有顯著影響。
二、買賣超與價格後續變動之長短期關係
期貨市場：外資個別大額買超及三大法人同步大額買超之後，在長期下，台指期指數顯著上漲。若以資訊假說來解釋，則前述二項大額買超較具資訊意涵，而且外資之大額買超與自營商及投信可能存在資訊之不對稱(異質性)。
上市股市：三大法人大額同步賣超行為與股價呈現較長期之關係，依據資訊假說，三大法人大額同步賣超行為較買超行為具資訊內涵。
上櫃股市：外資個別大額賣超及三大法人同步賣超後，則股價指數長期顯著下跌，此兩項賣超行為較具有資訊內涵。此外，外資個別大額賣超行為較投信及自營商之賣超行為具資訊內涵，存在資訊不對稱。
三、跟隨三大法人買賣超之投資績效
當外資在期貨市場個別大額買超及三大法人大額同步買超之訊息出現後買進，則可能會獲得顯著性正報酬，此外當三大法人同步大額賣超訊息出現後跟著賣出，則有機會以低價再買進，以開盤價及結算價為基準之檢定結果，發現相同具顯著性之變數。
以收盤、開盤價為檢定基礎下，在集中市場跟進外資個別大額買超、及三大法人大額同步賣超之策略，均有獲利機會。跟隨自營商個別大額買超以收盤時機較佳。
上櫃股市方面，無論在開盤或收盤時跟隨外資個別大額賣超、及三大法人同步賣超均有機會以低價再補進而獲利，然而在開盤時跟進三大法人同步大額買超，則獲利機會較佳。
This dissertation performs three tests: (1) to investigate the short-term and long-term relationships between institutional net buys/sells and returns in the Taiwan stock index futures market and stock markets; (2) to explore the information content of net buys/sells for the three primary institutional investors in the Taiwan stock index futures market and stock markets; and (3) to examine the returns for the strategy of individual investors taking a long(short) position on trading day following large institutional net buys(sells).
The existing studies seldom focus on the impacts of institutional net buys/sells types on stock returns, and only a few papers investigate the relationships between the institutional net buys/sells and returns in the Taiwan futures market owing to the lack of source data. A dummy variables model is introduced to distinguish between individual institutional net buys/sells and simultaneous net buys/sells for all institutions in order to reflect the information homogeneous and heterogeneous between institutions. This dissertation introduces the variables to response the intensity of net buys/sells and lagged variables to explore the short (long)-term relationships between net buys/sells and returns. Finally, this study examines the impact of institutional net buys/sells on stock index futures.
The results are presented as follow:
(1) The impacts of large (small) simultaneous net buys/sells on contemporaneous returns are significant in the stock index futures and stock markets.
(2) In the stock index market, large individual net buys of foreign institutions and large simultaneous net buys of all three primary institutions both seem to reveal bullish message, and an permanent asymmetric impact on subsequent returns exists between large net buys of foreign and domestic institutions. As for stock market, this dissertation suggests a significant relation between price down in the long term and the large simultaneous net sells of all three primary institutions, seeming to compound bearish message. As for the OTC market, this study find significant price down in long term after large individual net sells of foreign institutions and large simultaneous net sells of all three primary institutions, both seeming to reveal bearish message, and a permanent asymmetric impact on subsequent returns exists between large net sells of foreign and domestic institutions.
(3) This dissertation finds evidence of significantly positive holding period returns on nearby stock index futures contracts for the strategy of taking a long position on the day after two types of large net buys: individual net buys of foreign institutions and simultaneous net buys of all three institutions. Additionally, investors have a chance to get significantly positive returns by taking short position on the day after a signal of simultaneously large net sells of all three institutions. The above results hold, no matter the returns are calculated by settlement or open prices.
As for the stock exchange, investors have a chance to get significantly positive returns by taking long (short) position on the day after a signal of individually large net buys of foreign institutions (simultaneously large net sells of all three institutions). The above results hold, no matter what the returns are calculated on the basis of closing or opening prices. The performance is, however, better on the basis of closing price for the strategy of following the pace of large net buys for dealer institutions.
As for the OTC market, investors have a chance to get significantly positive returns by taking short position on the day after a signal of two types of large net sells: individual net sells of foreign institutions and simultaneous net sells of all three institutions. The above results both hold, no matter what the returns are calculated on the basis of closing or opening prices. The performance is, however, better on the basis of opening prices for the strategy of following the pace of simultaneously large net buys for all three primary institutional investors.
中文部份

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廖彥豪，2005，三大機構投資人買賣超與台灣加權股價指數互動關係之研究，南華大學財務管理研究所未出版碩士論文。

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