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研究生:鄭宇致
研究生(外文):Cheng, Yu-Chih
論文名稱:剖析外資在台灣股市群聚後有較佳超常報酬的股票特徵
論文名稱(外文):What Kinds of Stocks Herded by Foreign Investors have Higher Abnormal Returns in the Taiwan Stock Market?
指導教授:方豪方豪引用關係
指導教授(外文):Fang, Hao
口試委員:林秋瑾李彥賢
口試日期:2012-06-22
學位類別:碩士
校院名稱:華夏技術學院
系所名稱:資產與物業管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:93
中文關鍵詞:價格影響群聚股票特徵外資法人縱橫平滑轉換迴歸
外文關鍵詞:Price impactHerdingStock characteristicsFIIsPSTR
相關次數:
  • 被引用被引用:3
  • 點閱點閱:256
  • 評分評分:
  • 下載下載:30
  • 收藏至我的研究室書目清單書目收藏:1
本研究分析在新興股票市場如同台灣之外國機構投資者群聚何種特徵股票其後續有較佳的正向超常報酬。本研究藉由使用縱橫平滑轉換迴歸模型,實證結果發現在台灣外資法人買進群聚行為的正向價格影響會明顯著重在有較高樂觀情緒的股票、低盈餘股、低報酬股、價值股、高週轉率股票及大型股。進而,本研究發現外資法人買進群聚行為的價格影響受到股票特徵所影響在多頭期間和空頭期間會有所不同。本研究使用縱橫平滑轉換迴歸模型可避免過去Wermers (1999)和Sias (2004)等學者所採用離散劃分法人群聚價格影響可能的缺失。在新興股票市場如同台灣的投資人可以依循買進在外資法人大幅買進的股票,以增加投資人的投資組合績效。
This paper analyses the types of stocks herded by foreign institutional investors (FIIs) with higher positive abnormal returns in emerging stock markets. By using panel smooth transition regression (PSTR), we demonstrate that the positive price impact from FIIs' herd buying patterns evidently centres on the sentiment for more optimistic stocks, low-earning and low-return stocks, value stocks, high-turnover stock and large-size stocks in Taiwan. Furthermore, we find that the price impact of FIIs’ herd buying behaviour affected by stock characteristics is different during bullish and bearish periods. PSTR enabled us to avoid the possible shortcomings of price effects of discretely dividing institutional herding as in Wermers (1999) and Sias (2004). Investors in the emerging stock market could follow FIIs to purchase stocks that they overbought to improve portfolio performance.
目錄 Ⅰ
圖目錄 Ⅲ
表目錄 Ⅴ
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 4
1.3 研究架構流程 5
第二章 文獻探討 6
2.1 台灣股市對外資的開放 6
2.2 法人群聚的價格影響 9
2.3 法人情緒、報酬、盈餘、淨值市價比、規模及週轉率是否調節法人群聚的價格影響 12
2.3.1 法人情緒(institutional sentiment) 12
2.3.2 報酬(return) 13
2.3.3 盈餘(earning) 15
2.3.4 淨值市價比(book-to-market) 16
2.3.5 規模(size) 17
2.3.6 週轉率(turnover) 19
2.4 多空頭期間法人群聚的現象是否有差異 19
第三章 資料分析與研究方法 22
3.1 資料範圍期間 22
3.2 變數的衡量 22
3.2.1 買進群聚衡量(BHM,Buy Herding Measure) 22
3.2.2 超常報酬率(Abnormal Returns) 23
3.2.3 法人情緒(Institutional Sentiment) 23
3.2.4 盈餘(Earnings) 24
3.2.5 淨值市價比(Book-to-Market) 24
3.2.6 公司規模(Firm Size) 24
3.2.7 週轉率(Turnover) 25
3.3 研究方法 25
第四章 實證結果 29
4.1 單根檢定 29
4.2 基本統計量 29
4.3 全部資料期間的實證結果 30
4.4 多頭期間和空頭期間的實證結果 38
第五章 結論 61
第六章 研究限制及建議 62
參考文獻 63
附錄 67
附錄一 政府開放外資投資台股相關政策法令(1999年至2010年間) 67
附錄二 華僑及外國人投資證券管理辦法 72


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中文文獻:
1.周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係,證券市場發展季刊,第19卷第2期,153-190。
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3.陳振遠、高蘭芬、劉永仁(2005)。基金經理人群集行為與股價關聯性之探討,管理科學與統計決策,第2卷第1期,51-66。
4.類惠貞、李家豪、莊淨琳(2008)。壓力衝擊環境下之機構投資人從眾行為-以台灣股票市場為例,國立臺中技術學院學報,第9卷第1期,109-130。
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6.全國法規資料庫網頁(2011)。華僑及外國人投資證券管理辦法,2011年9月,http://law.moj.gov.tw/LawClass/LawAll.aspx?PCode=G0400011
7.全國法規資料庫網頁(2011)。大陸地區投資人來臺從事證券投資及期貨交易管理辦法,2011年9月,http://law.moj.gov.tw/LawClass/LawAll.aspx?PCode=G0400147
8.金融監督管理委員會證券期貨局網頁(2011)。2011年10月, http://www.sfb.gov.tw/Layout/main_ch/index.aspx?frame=5

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