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題名：介入模式應用於機構投資人鉅額交易訊息之研究
書刊名：文大商管學報
作者：古永嘉 引用關係／蔡垂君 引用關係
作者(外文)：Goo, James Yeong-jia／Tsai, Chui-chun
出版日期：2001
卷期：6:1
頁次：頁77-106
主題關鍵詞：機構投資人；效率市場假說；轉換模式；介入模式；Institutional investors；Efficient market hypothesis；Transfer function ARMA noise model；Intervention model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:3
  • 點閱點閱:26
Fama(1970)提出效率市場假說(Efficient Market Hypothesis, EMH)指出：股票市場通常不具效率性，只要取得足夠之訊息則投資人可能獲得超額報酬。本研究將訊息來源界定爲二：其一爲依據CAPM模式所論，大盤報酬率是影響個股報酬率之主要因素，其次爲投資者重要參照團體-機構投資人-自營商及外資鉅額交易訊息，機構投資人亦稱爲知情投資者，其每日鉅額交易之股票往往成爲投資者參考對像。本研究以國內八十七年至八十八年間，機構投資人每日鉅額交易買進及賣出前五名之上市公司個股且成交量大於2500張者爲研究對象，採轉換模式及介入模式進行研究，研究目的有二：(1)以轉換模式及介入模式模擬衡量個股報酬率之合適性。(2)大盤報酬率及機構投資人鉅額交易訊息是否影響個股報酬率，當鉅額買進時可能會造成需求增加引發價格拉力效果，而當鉅額賣出時可能會造成供給增加引發價格壓力效果。經實證後結果如下：(1)實證模式解釋能力達90%以上。(2)大盤報酬率對個股報酬率具長短期影響效力，機構投資人鉅額交易訊息對個股報酬率僅具有短期影響效果。(3)相較二類機構投資人鉅額交易訊息對於個股報酬率之影響：自營商鉅額買進訊息引發需求面價格拉力效果的能力較強，而外資賣出訊息引發供給面價格壓力效果較強。因此，大盤報酬率仍是影響個股報酬率長短期變化之主要因素，而機構投資人鉅額交易訊息則具有短期性影響，顯示台灣股票市場仍不具效率性。
In Fama's market efficient Hypothesis (EMH) (1970), the equity market usually lacks efficiency and only those who can get enough information will see a profitable return. The present article is based on this theory to simulate investors who would collect information before investing. The sources of information are, first, according to CAPM, the factor that affects a listed stock's return is the market's return. Aside from that, the reference group — institutional investors — dealers and foreign investment institutions that always are informed investors. This article use the high volume trade of top five stocks by the two kinds of traders list on TSE from 1998 to 2000 as the research objects. In order to evaluate how the two kinds of information effect a single stock's return using the intervention model and transfer function noise model to study. The objectives of this research are: (1) To study the appropriateness of simulating stock returns using dynamic transfer function noise model and intervention model. (2) To assess the extent to which large trading of institutional investors cause price appreciation when purchasing and price depreciation when selling. The evidence suggests that are: (1) The R^2 form this study model simulating is greater than 90%. (2) The market's return is conspicuous affect a single stock return in short run and long run. The large trades by institution investors is conspicuous affect an individual stock return in short run, but no effecting in long run. (3) The large purchase by dealers cause price appreciation larger than institutional investors. The large sell by institutional investors cause price depreciation larger than dealers. It appears that Taiwan stock market is not an efficient market.
期刊論文
1.Pound, J.、Shiller, R. J.(1987)。Are institutional investors speculators?。The Journal of Portfolio Management，13(3)，46-52。  new window
2.Kraus, Alan、Stoll, Hans R.(1972)。Price impacts of block trading on the New York stock exchange。Journal of Finance，27，569-588。  new window
3.Chang, Ih、Tiao, George C.、Chen, Chung(1988)。Estimation of Time Series Parameters in the Presence of Outliers。Technometrics，30(2)，193-204。  new window
4.Bjerring, James H.、Lakonishok, Josef、Vermaelen, Theo(1983)。Stock Prices and Financial Analysts' Recommendations。Journal of Finance，38(1)，187-204。  new window
5.Verrecchia, R. E.(1993)。How do we assess a model of price and volume?。The Accounting Review，68，870-873。  new window
6.Scholes, M. S.(1972)。The Market for Securities: Substitution versus price-pressure and the effects of information and share prices。The Journal of Business，45(2)，179-211。  new window
7.Scharfstein, D. S.、Stein, J. C.(1990)。Herb behavior and investment。American Economic Review，80，465-479。  new window
8.Pu, L.、Smith, S. D.、Syed, A. A.(1992)。The impact of the insider trading scandal on the information content of the Wall Street Journal's heard on the street column。The Journal of Financial Research，15(2)，181-188。  new window
9.Lintner, J. L.(1962)。Dividends, earnings, leverage, stock price, and the supply of capital to corporate。Review of Economics and Statistics，44(3)，243-269。  new window
10.Huth, W. L.、Naris, B. A(1992)。Large and small firm stock price response to 'heard on the street' recommendations。Journal of Accountings Auditing & Finance，7(1)，27-45。  new window
11.Fox, A. J.(1972)。Outlier in time series。Journal of the Royal Statistical, Series B，34，350-363。  new window
12.De Long, J. B.、Shleifer, A.、Summers, L. H.、Waldman, R. J.(1990)。Positive freedback investment strategies and destabilizing rational speculation。Journal of Finance，45，379-395。  new window
13.Damodaran, A.(1987)。The impact of information structure on stock returns。The Journal of Portfolio Management，13(3)，53-58。  new window
14.Damodaran, A.(1985)。Economic events, information structure, and the return-generating process。Journal of Financial and Quantitative Analysis，20(4)，423-434。  new window
15.Cutler, D. M.、Poterba, J. M.、Summers, L. H.(1990)。Speculative dynamics and the role of freeback traders。American Economics Review, Paper and Proceedings，80，63-68。  new window
16.Cootner, P. H.(1962)。Stock prices: Random versus system change。Industrial Management Review，3，24-25。  new window
17.Box, G. E. P.、Tiao, G. C.(1978)。Intervention analysis with applications to economic and environmental problem。JASA，70，70-79。  new window
18.Akaike, H.(1973)。Maximum likelihood identification of Gaussian auto-regressive moving average models。Biometrika，60，255-266。  new window
19.Liu, Pu、Smith, Stanley D.、Syed, Azmat A.(1990)。Stock Price Reactions to The Wall Street Journal's Securities Recommendations。The Journal of Financial and Quantitative Analysis，25(3)，399-410。  new window
20.Harriss, L. E.、Gurel, E.(1986)。Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures。Journal of Finance，41(4)，815-829。  new window
21.Dann, L. Y.、Mayers, D.、Raab, R. J.(1977)。Trading rules, large block trades and the speed of price adjustment。Journal of Financial Economics，4(1)，3-22。  new window
22.Samuelson, P.(1973)。Proof That Properly Discounted Present Value of Assets Variate Randomly。Journal of Economics and Management Science，1973(Autumn)，369-374。  new window
23.Aggarwal, R.、Chen, S. N.(1990)。The Adjustment of Stock Returns to Block Trading Information。Quarterly Journal of Business and Economics，29，46-56。  new window
24.Close, Nicholas(1975)。Price Reaction to Large Transaction in the Canadian Equity Markets。Financial Analysts Journal，31(6)，50-57。  new window
25.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns Are Discontinuous。Journal of Financial Economics，3(1)，125-144。  new window
26.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
27.Black, Fisher(1986)。Noise。Journal of Finance，41(3)，529-543。  new window
28.James Goo,Y. J.(19950600)。The Impacts of Foreigner Investment Opening Policy on the Taiwan Stock Market: An Application of the Intervention Model。中山管理評論，3(2)，73-84。new window  new window
29.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
30.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics，32(1)，23-43。  new window
31.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
32.Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica，34(4)，768-783。  new window
33.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
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學位論文
1.陳志源(1995)。自營商及外資鉅額交易資訊內涵之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.李志柔(1996)。臺灣股市自營商鉅額交易對股票報酬率之影響：介入模型之應用(碩士論文)。國立中興大學。  延伸查詢new window
3.魏秀容(1987)。鉅額交易之價格效果及其對臺灣股市波動之影響(碩士論文)。國立中山大學。  延伸查詢new window
4.郭維政(199006)。台灣證券專業自營商投資行為及績效評估之實證研究(碩士論文)。國立中山大學。  延伸查詢new window
5.李丕正(1994)。自營商買賣資訊內涵之研究(碩士論文)。東吳大學。  延伸查詢new window
6.黃俊榮(1983)。台灣股票市場自營商鉅額交易對報酬率影響之研究(碩士論文)。成功大學。  延伸查詢new window
7.范宏書(1989)。台灣股票市場自營商鉅額交易行為對股票價格影響之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Mill, T. C.(1990)。Time series technique for economists。Cambridge, U.K.：Cambridge University Press。  new window
2.Ramanathan, Ramu(1995)。Introductory Econometrics With Applications。Dryden Publishing。  new window
3.王淑芬(1993)。投資學。華泰書局。  延伸查詢new window
4.Pindyck, Robert S.、Rubinfeld, Daniel L.(1997)。Econometric Models and Economic Forecasts。McGraw-Hill。  new window
5.Vandaele, Walter(1983)。Applied Time Series and Box-Jenkins Models。New York：Orlando：Academic Press。  new window
6.Box, George E. P.、Jenkins, Gwilym M.(1976)。Time Series Analysis: Forecasting and Control。San Francisco, CA：Holden-Day。  new window
7.林茂文(1992)。時間數列分析與預測。臺北：華泰書局。  延伸查詢new window
 
 
 
 
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