| 摘要: | 台灣證券市場中，投資人可分為法人機構投資人與自然人（散戶） 這二大類 。隨著台灣金融政策對外資與法人信託的投資開放措施，法人機構投資人在股票交易的比例也逐年增加，法人機構憑藉著豐厚資金與背後專業的團隊做技術與資訊收集，其買、賣策略，一直是國內各大媒體股票選擇的風向球，更是投資人投資的參考指摽之一，然而對於法人機構的投資績效與對股票市場的影響，過往以來於國內外一直都有正反兩派的支持與研究，目前並沒有一個定論。
本研究是探討台灣證券市場三大法人（統稱：外資、國內投信與自營商）的買賣超策略與未來報酬的關聯性。其方法為設定一交易樣本區間(交易日前後15日)來統計檢定三大法人的投資績效報酬與分析其投資行為，在依據統計資料，進而實證「跟進法人投資人的買賣交易策略」是否存在經濟效益？研究結果發現，在買超交易績效方面，無論是外資、國內投信或國內自營商在統計結果上都有顯著報酬率。在買超的投資行為可以明顯看出三大法人都採取追漲殺跌的動能投資策略。在賣超交易績效方面，只有外資有些微的顯著報酬率。而國內投信在賣超交易方面採取追漲殺跌的動能投資策略。自營商則是傾向賣漲買跌的反向投資策略。在統計檢定三大法人買賣超交易日後持有10日的平均報酬率研究結果發現，三大法人在買超交易方面都有顯著報酬率，但是賣超交易方面則都無明顯存在負向報酬率。最後實證模擬買超交易的結果顯示國內投信在2017-2018年間500日的樣本交易有正向報酬，外資與自營商則在2019年100日的樣本交易有些微正向報酬。;In Taiwan′s stock market, investors can be divided into two categories: institutional investors and individual persons (retail investors). With Taiwan’s financial policy opening up to foreign and corporate investors, the proportion of institutional investors’ transactions has also increased year by year. Institutional institutions rely on abundant funds and professional teams to collect information. Their buying and selling strategies have always been the trend of stock selection by major domestic media and are also one of the reference points for individual investors to invest. However, for the institutional investors’ investment performance and their impact on the stock market, the findings evidences are mixed and are inconclusive.
This research is to explore the relationship between the trading strategy of the three major types of institutional investors (foreign institutional investors, , domestic mutual funds, and dealers) in Taiwan′s stock market and future returns. The method is to observe a 16-day window of (5 days before and 10 days after the trading day) around the buy- and sell imbalances of specific type of institutional investors. Based on the analytical data, we empirically examine whether the "follow-up institutional investors′ trading strategies" are profitable or not. The results show that the performance of following-up buy-imbalances by foreign institutional investors, domestic mutual funds, and deals, respectively, are statistically positive, indicating that the buy-imbalances of these three types of institutional investors are informative.. For the buying investment behaviors of these institutional investors, it is obviously that they adopt a momentum investment strategy. On the other hand, only the performance of sell-imbalance by foreign institutional investors is significantly positive, the other two types of institutional investors do not show superior performance. The domestic mutual funds adopt a momentum investment strategy in selling transactions, but dealers follow a contrarian investment strategy. In the statistical verification of the average return rate of the investment strategies that following-up the buy- and sell- imbalances of institutional investors and holing for 10 days, it is found that following-up investment strategies can earn positive returns for buy-imbalances of these three types institutional investors but the returns are insignificantly negative for the sell-imbalances of these three types of institutional investors. Finally, the simulation results shows that the trade strategy following the transactions of domestic mutual funds has a positive return in the 500-day sample in years 2017 and 2018, while the trade strategy following the transactions of foreign institutional investors and dealers have slightly positive returns in the 100-day sample transaction in 2019. |
