臺灣博碩士論文加值系統

本論文以2007年至2016年的台股資料，研究機構投資人連續買賣超對股價的影響。投資之策略為買進並持有機構投資人連續買超或賣超1周、2周、3周、4周之股票，持有期間為1個月、1季、2季、3季、4季，並探討其中有無買進並持有買賣超天數越長，年化報酬率越好的現象存在。研究結果顯示買進並持有連續賣超之後之報酬優於買進並持有連續買超後之報酬，而買進並持連續賣超天數越多之股票，有的報酬越好的現象。而買進並持有投信買賣超之年化報酬較外資以及自營商好，其中又以投信賣超3周後買進並持有1個月之年化報酬率最好。而外資獲利雖無投信高，不過年化報酬為機構投資人之中最穩定的，自營商之賣超策略則較不具投資人參考價值。

In this paper, we took Taiwan’s stock price data from 2007 to 2016 to ex-plore the impact on stock price by the successive buy-and-sell of institutional investors. The investment strategy in this paper is to buy and hold the stock af-ter institutional investors buy or sell it. And we divide the buy-and-hold period into 1 month, 1 season, 2 seasons, 3 seasons and 4 seasons. We discover that the return of selling is better than buying, and the returns of investment trusts are better than foreign investors and dealers. Of all the investment trust’s returns, we can see the highest return is to hold the stock for 1 month after investment trusts selling for a successive three weeks. While foreign investments’ returns are not as high as investment trust’s, they have the most stable returns. And we also discover that dealers selling strategy is less valuable.

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 2
第二章 文獻回顧 4
第一節 機構投資人相關文獻 4
第二節 效率市場相關文獻 5
第三節 績效評估相關文獻 6
第三章 資料與研究方法 8
第一節 資料來源和樣本建構 8
第二節 研究設計與假說 8
第三節 績效衡量方式 10
第四章 實證結果 12
第一節 連續買超結果分析 12
第二節 連續賣超結果分析 14
第五章 結論與建議 17
第一節　結論 17
第二節　建議 17
參考文獻 18
中文文獻 18
英文文獻 18

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