臺灣博碩士論文加值系統

本研究以台灣股市為基礎，探討自民國89年12月12日至90年12月14日，以三大法人每日的個股買賣超股數（成交量，單位千股）和市值（成交值，單位百萬元）兩種不同的衡量標準，加權累積過去1、3、5及10天的買賣超股數和市值，形成買超和賣超投資組合，持有1、2、3、5及10天的平均報酬。再利用一買一賣的方式形成買超賣超投資策略組合，進而比較三大法人（外資、投信及自營商）的買超賣超投資策略組合的平均報酬。試著找出台灣股市在短期內，最佳的投資策略，希望能提供一般投資大眾選股上較簡易方便的依據。
本研究實證結果發現，台灣股票市場，以三大法人每日對個股的買賣來看，投信無論是個別買賣超投資組合或買超賣超投資策略組合，平均報酬一直是最高；且呈現遞增的趨勢，顯示跟隨投信買賣會較跟隨外資或自營商有較多的獲利。但是以每日買賣超總淨額而言，投信有追隨外資和自營商交易腳步的現象，而自營商和外資則會相互影響。

The three major institutional investors in Taiwan are categorized as foreign investors, investment companies, and security dealers. They play an increasingly important role in the Taiwan Stock Market after the financial market liberalization since the mid 1980s. The purpose of this research is to investigate whether institutional investors’ net buy- and-sell information provides short-term profitable opportunities.
This paper uses recent trading data for the three institutional investors in the Taiwan Stock Market between 12/12/2000 and 12/14/2001. We group the net-buy/net-sell portfolios based on their accumulative weighted net buy/sell trading volumes and values over the past 1, 3, 5, and 10 days. Once formed, the portfolios are held for 1, 2, 3, 5, and 10 days. A buy-sell strategy is referred to as the zero investment selling the net-sell portfolio and buying the net-buy portfolio. Thus, the return on the strategy implies the profitability of following the trading patterns of the three major institutional investors. As a result, we observe that the buy-sell strategies following investment companies beat the market and, more importantly, are more profitable than those following foreign investors and security dealers.

第壹章 緒論
第貳章 研究設計與方法
第參章 實驗結果與分析
第一節 累積1天個股買賣超形成的買超賣超投資策略
第二節 累積3天個股買賣超形成的買超賣超投資策略
第三節 累積5天個股買賣超形成的買超賣超投資策略
第四節 累積10天個股買賣超形成的買超賣超投資策略
第肆章 結論與建議
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附錄

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