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| Title: | 探究外資買賣超是否具有資訊內涵—臺灣股票市場的實證分析
Exploring the Information Content of Large Transactions of Net Buys/Sells from Foreign Institutional Investors — Evidence from the Taiwan Stock Market |
| Authors: | 黃秋玲
Huang, Chiu-Ling |
| Contributors: | 洪福聲
Hung, Fu-Sheng
黃秋玲
Huang, Chiu-Ling |
| Keywords: | 事件研究法
異常報酬率
Event Study
Abnormal Returns |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:55:50 (UTC+8) |
| Abstract: | 本文以事件研究法 (event study) 探究我國集中交易市場，自2008 年起至2023 年止，外資巨額交易的個股量能變化、持股比率變化和正負異常報酬率之間的關係，並比較外資買、賣超個股在不同產業間之異常報酬率的差異，以瞭解上述各項數據是否具有資訊內涵，得以做為投資參考的指標。因異常報酬率標準化可提高檢定能力，故本研究將樣本的異常報酬率都予以標準常態分配，並檢視各期的標準化平均異常報酬率 (SAR) 及標準化累計平均異常報酬率 (SCAR) 是否顯著異於0。
主要結果如下：首先，買超類各組別中，因「金融股」於訊息公布後持續正異常報酬率至次16日達最大正值，其資訊內涵效果最大，可供投資人做為投資參考標的。「買超張數組」於訊息公布後持續正異常報酬率至次2日達最大正值，可供偏好1、2天短線操作的投資人參考。再則，賣超類各組別中，因「電子股」於訊息公布後持續負異常報酬率至次11日達最大負值，其資訊內涵效果最大，可供投資人做為投資決策參考項目。最低「總持股比率組」，於訊息公布後持續負異常報酬率至次2日達最大負值，可供偏好1、2 天短線操作的投資人之觀察指標。總體而言，除了上述4組以外，外資無論是買超或賣超，對於預測未來股價趨勢的能力並不顯著，投資人無法藉由追蹤外資動向而獲得超額報酬。並且，外資交易的個股中，若屬成交量低的非主流股，其異常報酬率走勢與外資交易方向呈現負向關係。
This study uses the event study methodology to explore the relationship between the trading volume changes, changes in shareholding ratios, and abnormal returns of stocks with significant foreign capital transactions in Taiwan's centralized trading market from 2008 to 2023. Additionally, it compares the differences in abnormal returns of stocks with significant foreign capital buy and sell transactions across different industries to determine whether these data points contain informational value that could serve as investment reference indicators. Since the standardization of abnormal returns can enhance test power, this study normalizes the abnormal returns of the samples to a standard normal distribution and examines whether the standardized average abnormal returns (SAR) and the standardized cumulative average abnormal returns (SCAR) for each period are significantly different from zero.
The empirical results of this study suggest the following: First, among the groups with net buy transactions, "financial stocks" demonstrated the most substantial informational content effect, with positive abnormal returns continuing up to the 16th day after the information disclosure, reaching their maximum positive value. This can serve as an investment reference for investors. The "net buy volume group" showed continuous positive abnormal returns up to the 2nd day after the information disclosure, reaching their maximum positive value, which can be a reference for investors preferring short-term operations of 1-2 days.
Secondly, among the groups with net sell transactions, "electronics stocks" exhibited the most substantial informational content effect, with negative abnormal returns continuing up to the 11th day after the information disclosure, reaching their maximum negative value. This can serve as a decision-making reference for investors. The lowest "total shareholding ratio group" showed continuous negative abnormal returns up to the 2nd day after the information disclosure, reaching their maximum negative value, which can be an observation indicator for investors favoring short-term operations of 1-2 days.
In conclusion, apart from the four groups mentioned above, foreign capital transactions, whether net buy or net sell, do not significantly predict future stock price trends. Investors cannot achieve excess returns by tracking foreign capital movements. Additionally, for stocks with low trading volumes that are not mainstream, the trend of abnormal returns tends to have a negative relationship with the direction of foreign capital transactions. |
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| Description: | 碩士
國立政治大學
行政管理碩士學程
110921058 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110921058 |
| Data Type: | thesis |
| Appears in Collections: | [行政管理碩士學程(MEPA)] 學位論文
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