臺灣博碩士論文加值系統

由於市場國際化與金融自由化，國外投資人在台灣股票市場投資的比例從2000年的3.625%上升至2013年的23.76%，台灣的股票市場逐漸成為投資機構所領導的市場，因此本文在探討跟隨投資機構進行操作能否獲利。本文採用2002年1月持續至2015年7月在台灣證券交易所上市的公司為研究對象，以外資買賣的股票為標的，建立Jegadeesh and Titman (1993)提出的動能策略，由於外資有私有資訊交易的可能性，因此加入資訊交易機率 (Probability of information-based trading，PIN)來衡量。分析在股票報酬與市場狀況的狀況下，我們在持有期間K (K=0、1、3、5、10、20、40、60)，對動能策略投資組合收益的影響。並進一步的研究在等權重與價值權重之下的績效。本研究的實證結果發現，在等權重與價值權重下，建立買進贏家投資組合與賣出輸家投資組合的動能策略投資組合，獲得正向報酬的機會較少，要進行反向的賣出贏家投資組合與買進輸家投資組合的動能策略操作，有較多的機會可以獲得正向的報酬。

This paper investigatesprofit performance of momentum strategies, information trading, and institutional trading since the proportion of foreigninvestor in the Taiwan stock market from 3.625% in 2000to 23.76% in 2013, along with the market internationalization and the financial liberalization. We follow Jegadeesh and Titman (1993) to consider momentum probability of information-based trading (PIN) for foreign investors during holding period of different days (0,1, 3, 5, 10, 20, 40, 60). Sample periods are from Jan 1, 2002 to Jun 31, 2015. Our findings show significant and negative momentum profits for PIN and institutional trading, suggest contrary strategies across different holding periods. On other words, signals for foreign institutional trading imbalance provide a reverse relation on PIN momentum strategies and profitable performance.

目錄
摘要.............................................................................................................I
Abstract......................................................................................................II
誌謝..........................................................................................................III
目錄..........................................................................................................IV
表目錄.......................................................................................................V
圖目錄................................................................................ .....................VI
第一章、緒論............................................................................................1
第二章、文獻回顧....................................................................................5
第一節、外資投資績效優於散戶............................................................5
第二節、外資優於散戶的理由................................................................5
第三節、外資是否有資訊交易................................................................6
第四節、動能策略....................................................................................7
第三章、研究方法....................................................................................9
第四章、實證結果..................................................................................17
第五章、結論..........................................................................................63
參考文獻..................................................................................................65





表目錄
表1敘述統計………………………………………….……………………..21
表2為研究變數相關性矩陣………………………………………………...23
表3資訊交易對報酬的影響……………………………...…………………25
表4資訊交易為好消息對報酬的影響……………...………………………27
表5資訊交易為壞消息對報酬的影響……………………………………...29
表6資訊交易機率對報酬的影響…………………………………………...33
表7動能策略在等權重下的績效…………………….……………………..36
表8動能策略在價值權重下的績效…………….…………………………..38
表9市場狀況下資訊交易對報酬的影響…………………………………...41
表10市場狀況下資訊交易為好消息對報酬的影響……………………….45
表11市場狀況下資訊交易為壞消息對報酬的影響……………………….49
表12市場狀況下資訊交易機率對報酬的影響…………………………….54
表13市場狀況下動能策略在等權重的績效……………………………….58
表14市場狀況下動能策略在價值權重的績效…………………………….61



圖目錄
圖1資訊交易流程圖………….…………………………………………...10
圖2資訊交易中多頭市場的動能策略…………….……………………...40
圖3資訊交易中空頭市場的動能策略…………….……………………...40
圖4資訊交易為好消息的多頭市場……………….……………………...44
圖5訊交易為好消息的空頭市場……………………….………………...44
圖6資訊交易為壞消息的多頭市場………………………………………48
圖7資訊交易為壞消息的多頭市場………………………………………48
圖8市場狀況下動能策略在等權重的報酬………………………………57
圖9市場狀況下動能策略在價值權重的報酬……………………………60

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