跳到主要內容

臺灣博碩士論文加值系統

(44.192.94.177) 您好!臺灣時間:2024/07/21 22:25
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:徐世鐸
研究生(外文):Shih-To Hsu
論文名稱:外資是否能夠決定大盤
論文名稱(外文):Do Foreign Investors Move the Market: Evidence from the Taiwan Stock Market
指導教授:蕭朝興蕭朝興引用關係
指導教授(外文):Chao-Shin Chiao
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:47
中文關鍵詞:外資正向回饋交易持續性
外文關鍵詞:foreign investorspositive feedback tradingpersistence
相關次數:
  • 被引用被引用:8
  • 點閱點閱:397
  • 評分評分:
  • 下載下載:112
  • 收藏至我的研究室書目清單書目收藏:0
本研究使用國內全體外資對台灣證券集中交易市場的淨買賣超金額以及加權股價指數報酬率,探討外資與台股大盤之間的相互影響效果,試圖去探究外資影響大盤的程度大小以及外資投資台股的習性。其中,若外資執行單日極端淨賣超或極端淨買超策略時,僅僅對隔天大盤具有一日的影響效果;若外資執行單週的極端淨賣超或極端淨買超策略時,更只剩下極端淨賣超會對下一交易日產生影響;而外資單月的極端淨買賣超行為則是完全喪失左右大盤的能力,然而,若外資發生單月的極端淨賣超情況下,大盤在接續三到五個月內反而會發生顯著的負向超額報酬。除此之外在短期內,外資產生正向回饋交易的行為相當明顯,之後因為大盤極端報酬所造成的持續性賣超將遠高於買超的持續性,並且外資的極端淨賣超行為將會造成大盤較高的報酬波動性。
This paper investigates the relationship between the net trades by foreign investors and the market returns. First, the net trades on a daily basis have only a one-day impact on the stock market. On a weekly basis, only foreign investors’ extreme net sells positively affect the next trading days’ return. The monthly extreme net sells even negatively impact the returns over the following five months, while the monthly extreme net buys, to a lesser degree, have a positive impact. Second, foreign investors demonstrate a significant positive-feedback trading and persistence that are stronger when the market experiences extreme downturns. Finally we find a higher volatility of market return after foreign investors conduct extreme net sells.
中文摘要 …………………………………………………1
英文摘要 …………………………………………………2
目錄 ………………………………………………………3
圖表目 ……………………………………………………4
1. 緒論 ……………………………………………………5
2. 資料與研究方法 ………………………………………9
2.1 外資領先台股與台股領先外資的獨立分類次數分配分配表 ……9
2.2 後續大盤報酬表現…………………………………10
2.3 迴歸檢定 ……………………………………………10
2.3.1 外資效應檢定迴歸模型 …………………………10
2.3.2 外資正向回饋交易與持續性檢定 ……………12
3. 實證結果分析 ………………………………………15
3.1 整體外資買賣與大盤歷年概況 ……………………15
3.2 外資淨買賣超與大盤報酬率相互影響關係 ………15
3.3 跟隨外資之後續大盤報酬表現 ……………………17
3.4 外資效應迴歸檢定 ………………………………19
3.5 外資正向回饋交易與持續性檢定 ………………21
3.6 外資效應檢定(加入前期Nasdaq指數報酬變數)…22
4. 結論 ……………………………………25
參考文獻 ……………………………………27
Brennan, Michael, and Henry Cao, 1997, International portfolio investment flows, Journal of Finance 52, 1851-1880.

Badrinath, Swamunatha and Sunil Wahal, 2002. Momentum trading by institutions, Journal of Finance, 57, 2449-2478.

Barber, Brad , and Terrance Odean, 2008, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Review of Financial Studies 21, 785-818.

Carhart, Mark, 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.

Chan, Louis, and Josef Lakonishok, 1993, Institutional trades and intraday stock price behavior, Journal of Financial Economics 33, 173-199.

Chan, Louis, and Josef Lakonishok, 1995, The behavior of stock prices around institutional trades, Journal of Finance 50, 1147-1174.

Chan, Louis, Jegadeesh, Narasimhan, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1713.

Choe, Hyuk, Bong-Chan Kho, and René Stulz, 1999, Do foreign investors destabilize stock markets? The Korean experience in 1997, Journal of Financial Economics 54, 227-264.

Choe, Hyuk, Bong-Chan Kho, and René Stulz, 2005, Do domestic investors have an edge? The trading experience of foreign investors, The Review of Financial Studies 18, 795-829.

De Bondt, Werner, and Thaler Richard, 1985, Does the stock Market Overreact? The Journal of Finance 40, 793-805.

De Bondt, Werner, and Thaler Richard, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.

De Long, Bradford, Andrei Shleifer, Lawrence Summers and Robert Waldmann, 1990, Positive Feedback investment strategies and destabilizing rational Speculation, Journal of finance 45, 379-395.

Dvorak, Tomas, 2005. Do domestic investors have an information advantage? Evidence from Indonesia. Journal of Finance 60, 817–839.

Edelen, Roger and Jerold Warner, 2001, Aggregate price effects of institutional trading: A study of mutual fund flow and market return, Journal of Financial Economics 59, 195-220.

Froot, Kenneth A., and Tarun Ramadorai, 2001, The information content of international portfolio flows. NBER Working Paper No. 9000.

Fama, Eugene, and Kenneth French, 1993, The cross-section of expected stock return, Journal of Finance, 47, 427-465.

Fama, Eugene, and Kenneth French, 1993, Common risk factor in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

Grinblatt, Mark, and Matti Keloharju, 2000, The investment behavior and performance of various investor types: A study of Finland’s unique data set. Journal of Financial Economics 55, 43–67.

George, Thomas, and Chuanyang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 59, 2145-2176.

Hamao, Yasushi and Jianping Mei, 2001, Living with the“Enemy”: An Analysis of Foreign Investment in the Japanese Equity Market, Journal of International Money and Finance 20, 715-735.

Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898.

Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.

Kang, Junkoo, and Rene Stulz, 1997, Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics 46, 3-28.

Karolyi, Andrew, 2002, Did the Asian financial crisis scare foreign investors out of Japan? Pacific-Basin Finance Journal 10, 411–442.

Kamesala, Akiko, John Nofsinger, and Hidetaka Kawakita, 2003, Investment patterns and performance of investor groups in Japan, Pacific-Basin Finance Journal 11, 1-22.

Kalev, Petko S., Nguyen, Anh H. and Natalie, Y. Oh, 2008, Foreign versus local investors: Who knows more? Who makes more? Forthcoming in the Journal of Banking & Finance.

Lehmann, Bruce, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics 60, 1-28.

Lakonishok, Josef, Andewi Shleifer, and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance, 49, 1541-1578.

Lee, Charles, and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.

Moskowitz, Tobias, and Mark Grinblatt, 1999, Do industries explain momentum? Journal of Finance 54, 1249-1290.

Nofsinger, John, and Richard Sias, 1999, Herding and feedback trading by institutional and individual investors, Journal of Finance 54, 2263-2295.

Shukla, Ravi, and Inwegen Gregory, 1995, Do locals perform better than foreign? An analysis of UK and US mutual fund managers, Journal of Economics and Business 47, 241-254.

Seasholes, Mark S., 2000, Smart foreign traders in emerging markets. Working Paper. Harvard Business School.

Wermers, Russ, 1999, Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-622.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top