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研究生:趙啟全
研究生(外文):Chi-Chuan Chao
論文名稱:波動度,反向交易,與國外機構投資人之關係研究
論文名稱(外文):Volatility, Contrarian Trade, and Foreign Institutional Investors
指導教授:盧秋玲盧秋玲引用關係
指導教授(外文):Chiu-Ling Lu
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:33
中文關鍵詞:波動度反向交易策略群聚交易策略國外機構投資人
外文關鍵詞:GARCHvolatilitycontrarianherdingforeign institutional investors
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本篇論文主要以GARCH模型與台灣證券交易所的交易資料對波動度與賣出行為的關係進行研究。本篇論文的資料期間為2003年3月至2006年9月。首先,我們指出在台灣的證券市場中,交易行為確實能夠顯著解釋不對稱性的波動現象。接著我們將交易行為定義為兩個不同的交易策略行為,我們發現反向交易策略將微幅的增加次日的波動度;群聚交易策略將會大幅度的增加次日的波動度。
此外,我們將所有的投資人分成國內投資人與國外機構投資人,發現到國內投資人所採取的反向策略將會使得波動度增加;但國外機構投資人所採取的反向策略卻使得波動度減少。這意味著不同投資人所採取相同的交易策略將對波動度造成不同的影響。最後我們發現造成這種現象的因素或許是來自於國內投資人與國外投資人的交易行為之間自我相關高低程度的不同。本篇最後提出:投資人可以透過區分出國外機構投資人所採取的是何種策略,來提高自身獲利的機會。
We use GARCH model and the transaction data of Taiwan Stock Exchange to examine the relationship between volatility and selling activities. The sample period is from March, 2003 to September, 2006. Our result indicated that the asymmetry volatility could be significantly explained by the selling activities in Taiwan stock market. As to defining the selling activities as the two different investing strategies, we suggested that the contrarian-trade would slightly increase the volatility and the herding-trade heavily increases the volatility.
Besides, after dividing the whole investors into domestic investors and foreign institutional investors, we suggested that contrarian-trade of foreign institutional investors could reduce the volatility but contrarian-trade of domestic investors increase the volatility. The same investing strategy from domestic and foreign investors has different impacts on volatility. Finally, we found that the factor causing different impacts on volatility may be the level of autocorrelation of domestic trades and foreign trades. We also provided that the investors could increase the possibilities of gaining positive returns by indentifying what kinds of investing strategies the foreign institutional investors pursued.
Content

I. Introduction 1

II. Literature Review 4

III. Data 8

IV. Methdology 10

4.1 Asymmetry volatility 10

4.2 Contrarian and herding trade 11

4.3 Foreign institutional investors 12

4.4 Autocorrelation test 14

V. Empirical Results 15

5.1 Asymmetry volatility in Taiwan stock market 15

5.2 Contrarian-trade and herding-trade 16

5.3 Asymmetry volatility of foreign institutional investors’ selling 17

5.4 Contrarian-trade and herding-trade of foreign institutional investors 18

5.5 Autocorrelation test 21

5.6 The effect of oversold from foreign institutional investors 22

VI. Conclusion 23

References 25
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