臺灣博碩士論文加值系統

本研究利用台灣證券交易所之日內交易資料，將投資人區分成五種交易人：外資、投信、自營商、一般法人及一般自然人。本文採用Lee and Ready (1991)定義之買賣單不均衡，檢視各類投資人買賣單不均衡行為，並探討各類投資人之買賣單不均衡與股票報酬是否具有關聯性，同時，本文亦進一步探討各類投資人買賣單不均衡是否可以預測未來股票報酬率。實證結果發現，各類投資人的買賣單不均衡與當期報酬率皆呈現顯著正向關係，其中又以一般自然人對於當期報酬率的解釋能力較高。機構法人對中大規模公司的股價影響能力較高，而一般自然人對中、小規模公司的影響能力較高。本文亦發現周轉率為買賣單不均衡與股票報酬的重要影響因子，周轉率愈高的股票，各類投資人的買賣單不均衡影響報酬的程度愈大。至於買賣單不均衡的預測能力方面，當控制前期報酬對未來股票報酬的影響程度後，一般自然人與未來報酬具有顯著的負向關係，且其負向關係隨公司規模增加而減弱，亦即是公司規模愈大時，一般自然人之買賣單不均衡之負向預測係數愈小。此外，在周轉率高低不同的分類下，當期周轉率愈高的股票，各類投資人之買賣單不均衡對未來報酬的預測係數愈大

This study uses the order and the trade intraday data from Taiwan Stock Exchange (TSE), dividing all the investors into five categories as follows: foreign investors, mutual funds, dealers, other institutions and individuals. As the procedure suggested by Lee and Ready (1991), we compute the order imbalances sorted by investor categories, and investigate the relationship between order imbalances and individual stock return. Furthermore, we examine if the order imbalances of each kind of investor would be the indicator of the future stock return. Results show that, order imbalances of each kind of investor are positively related to the contemporaneous return. Individual order imbalances have more explanatory power in stock return than institutional order imbalances. Institutional order imbalances are more concerned with stock return for large firms, while individual order imbalances are more related with small firms. Moreover, the turnover rate is an important factor related with the stock return. As the turnover rate increases, the positive relation between order imbalances and stock return becomes closer. After controlling the lag return, the correlation between individual order imbalances and the future return is significantly negative and decreases with firm size. That is, for small firms, the relationship between individual order imbalances and the future return is more closely. We also find that stocks with higher turnover rates have more forecasting power by the order imbalances of each kind of investor.

目 錄
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 5
1.3研究架構 6
第二章 文獻回顧 7
2.1台灣股票市場交易制度 7
2.2 買賣單不均衡理論 9
2.3 買賣單不均衡與股票報酬之關聯性 11
2.4 投資人類別與股票報酬 13
2.5 公司規模對股票報酬之影響 15
2.6 周轉率對股票報酬之影響 16
第三章 研究方法 17
3.1 資料來源與選樣標準 17
3.2 相關變數之定義 18
3.3 買賣單不均衡之迴歸模型 21
第四章 實證結果 25
4.1 樣本特性 25
4.2 買賣單不均衡之前後期相關性 27
4.3 買賣單不均衡與當期報酬率之關係 29
4.4 買賣單不均衡與未來報酬率之關係 37
4.5 短暫性或是持續性的價格變動 46
第五章 結論 49
參考文獻 51

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