本研究探討機構投資人正向回饋交易行為對報酬動能強度之影響，資料取自台灣經濟新報資料庫(TEJ)，針對台灣50指數之成分股為對象，探討當機構投資人為正向回饋交易者時，是否有能力影響證券市場並加以檢視機構投資人之正向回饋交易行為是否能增加證券市場之效率性。結果顯示，機構投資人之正向回饋交易行為確實能影響證券市場之個股報酬。此外，本研究亦發現機構投資人之正向回饋交易並無法增加市場之效率性，與一般認知專業機構投資人應較理性且能增加市場穩定之情況迥異。

This paper investigates the impact of positive-feedback trading by institutional investors on Momentum Intensity and market efficiency. We obtain TSEC Taiwan 50 Index holding data from Taiwan Economic Journal(TEJ).We follow Shu (2007) and Jegadessh & Titman(2001) for momentum trading measures instead of previous methodology. The evidence shows that positive-feedback trading by institutions intensify stock return momentum. In addition, further empirical findings reveal that positive-feedback trading by institutional investors hamper market efficiency opposite to the hypothesis.

第壹章 緒論 1
第一節 研究背景與動機….…….……………………1
第二節 研究目的…………………..…………..……..5
第三節 研究假設…………..…….……………………6
第四節 研究貢獻………………..……….……………7
第貳章 文獻探討…………………………………….……..9
第一節 機構投資人為正向回饋交易者時，對證券市場之影…………………………………..….9
第二節 機構投資人之正向回饋交易行為對證券市場效率性之影響…………………………….3
第參章 研究方法 15
第一節 研究樣本與對 15
第二節 機構投資人正向回饋交易行為對證券市場之影響…………….………………………….18
第三節 機構投資人正向回饋交易行為與市場效率 性..……………………………………………25
第肆章 實證結果 28
第一節 機構投資人正向回饋交易行為對證券市場影響之分析…………………………….……28
第二節 機構投資人之正向回饋交易行為對證券市場效率性影響之剖析………………………36
第伍章 結論與建議 41
圖目錄
圖1-1 過去文獻探討模式……………………..………………………..7
圖1-2 本研究探討模式…………………………………………………8
圖3-1台灣50指數報酬趨勢(2001-2006)……………………………...17
圖3-2 動能交易衡量建構過程-步驟一……………………………….19
圖3-3 動能交易強度衡量建構過程-步驟二~步驟三...………………21
圖3-4 動能交易強度衡量建構過程-步驟四………………………….22
圖3-5 個股績效表現分類與動能報酬計算...…………………………24
表目錄
表1-1 投資人類別交易比重統計………………………………………3
表3-1 投資組合績效表現指數………………………………………..20
表4-1 動能交易衡量強度摘要表……………………………………..30
表4-2 動能交易強度之描述性統計…………………………..………31
表4-3 動能交易強度於不同投資組合間之報酬收益………………..35
表4-4 動能組別描述性統計…………………………………………...37
表4-5 贏家股組合與輸家股組合間盈餘修正之差異性……………...38
表4-6 動能交易組合之盈餘修正……………………………………...39
附錄
附錄一…………………………………………………………………49

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