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題名:利用外資的公開資訊採行動量策略之研究
書刊名:臺灣銀行季刊
作者:戴錦周 引用關係呂惠珠
出版日期:2006
卷期:57:2
頁次:頁57-78
主題關鍵詞:外資股市
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:33
  • 點閱點閱:7
在短期中,股市可能因反應不足產生價格行為持續的現象,故本文試圖利用外資買賣超、持股比例等公開資訊,採行動量策略,以瞭解此策略之獲利性。實證結果顯示:依「外資買賣超」資訊採行動量策略後,發現「買賣超張數」較「買賣超金額(即市值)」更具有參考價值,尤其是投資人以個股過去1日的買賣超張數,建構贏家及輸家組合後,並將之持有1日時,可獲得0.7029%的平均日報酬。依「外資持股比例」資訊採行動量策略後,發現低持股比例較高持股比例具有參考價值,原因可能與公司規模有關。此外,不論形成期長短為何,所建構的投資組合,在持有期為1日時,動量效果的平均日報酬均為最大,可見愈接近投資組合建構日的動量策略愈成功。
期刊論文
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會議論文
1.徐正義、賴家瑞、黃翠玲(2003)。外國投資人在新興市場的交易--以臺灣為例。朝陽科技大學第七屆財金理論與實務研討會。  延伸查詢new window
學位論文
1.陳櫻建(2002)。外資持股比例、公司特性與公司價值(碩士論文)。國立中正大學。  延伸查詢new window
2.黃懷慶(2000)。臺灣股市三大機構投資人(外資、投信與自營商)投資行為之實證研究(碩士論文)。朝陽大學。  延伸查詢new window
3.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
4.陳慧如(1996)。外資大額交易與股價關聯之研究(碩士論文)。淡江大學。  延伸查詢new window
5.李雅婷(2001)。法人持股、從眾之股票特性與風險分散效果之研究(碩士論文)。國立中正大學。  延伸查詢new window
6.蘇惟宏(2000)。機構法人從眾行為之研究--以國內股市集中交易市場為例(碩士論文)。國立政治大學。  延伸查詢new window
7.鄭雅如(2001)。動能策略與股票風格在台灣股市的實證研究(碩士論文)。國立政治大學。  延伸查詢new window
8.許勝吉(1999)。台灣股市追漲殺跌策略與反向策略之實證分析比較(碩士論文)。輔仁大學。  延伸查詢new window
9.楊維永(2002)。機構投資人投資行為互動關係之探討(碩士論文)。國立中山大學。  延伸查詢new window
10.黃慶輝(2002)。台灣股市三大法人交易資訊公佈之研究(碩士論文)。國立中正大學。  延伸查詢new window
11.趙詩容(2002)。法人買賣超是否為投資人短期買賣的參考指標?以台灣股市為例(碩士論文)。國立東華大學。  延伸查詢new window
12.柯永仁(2000)。外資與自營商買賣超行為對股價影響效果之探討(碩士論文)。國立中央大學。  延伸查詢new window
13.林炎會(1995)。外資對臺灣證券市場股價之影響(碩士論文)。國立中興大學。  延伸查詢new window
14.黃于珍(1999)。外資交易行為對台灣股市之影響(碩士論文)。輔仁大學。  延伸查詢new window
15.陳正佑(2002)。台股動量策略與反向策略投資績效之研究(博士論文)。國立中山大學。new window  延伸查詢new window
圖書
1.Haugen, R. A.(1999)。The New Finance: The Case Against Efficient Markets。Prentice Hall。  new window
 
 
 
 
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