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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48965


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    题名: 外資交易行為是否誤導散戶投資行為下單?
    Do foreign investors` trading behavior mislead individuals` investment?
    作者: 姜珮瑜
    贡献者: 李志宏
    姜珮瑜
    关键词: 外資買賣超
    買賣單
    外資交易行為
    日期: 2009
    上传时间: 2010-12-08 01:54:23 (UTC+8)
    摘要: 本研究主要目的是檢視外資的買賣超資訊是否能為散戶投資人帶來有用資訊，進行跟隨買賣而獲利? 再者，以34家公司樣本為例，觀察外資對某股欲大量買賣超時，經由買賣單的下單積極性分布情形，是否有藉此誤導散戶投資人投資行為的嫌疑?實證結果發現，跟隨外資買進金額買超最大的標的股，確實能為散戶投資人帶來獲利，但若跟隨買超張數最大而買入標的股，獲利幅度會下降。而跟著外資大量賣超而殺出的標的股，不論賣出張數最大或賣出金額最大，散戶投資人未有較高獲利可以獲得。最後，實證發現外資對在欲大量買超或賣超的標的股中，均會以積極性高的下單價格來使其買單或賣單快速成交。但外資大量買超下的賣單比例以及大量賣超下的買單比例下單於積極度最差的價格區間均有高於正常樣本期間的情況發生。
    The main purpose of this study is to examine Taiwan`s 34 major companies trading over information for retail investors is to bring useful information to profit following foreign investors’ buy-sell information. Furthermore, this observation of 34 companies to buy-sell ultra -volume, the order distribution of buy and sell would give wrong information to mislead retail investors? The result shows if retail investor follow foreign investors’ step to buy the maximum market share and volume underlying stock can bring abnormal return than market return and industry return, But if retail investors follow foreign investors’ selling behavior not to take extra return from mimic trading behavior. Next, analysis of foreign investors’ trading behavior is consistent or not? We find if foreign investors really want to buy or sell the underlying stock, their buy-order and sell –order will set at the best price to make it a deal quickly , but one the other hand, we find their sell-order and buy-order will set the price which less possible to make this transaction.
    參考文獻: 一、 中文文獻
    王月玲，2003，”外資對台灣股市的影響”，國立政治大學金融研究 所碩士論文。
    林炎會，1995，”外資對台灣證券市場股價之影響”，國立中興大學企業管理研究所碩士論文。
    林可依，2003，”台灣上市股市三大法人買賣超是否可提供投資人短期獲利的機會?”，國立東華大學國際經濟研究所碩士論文。
    姚蕙芸、梁志民(2004)，”空頭走勢期間台股股價指數及相關因素之因果關係研究”，商管科技季刊vol 5,No,2, 109-127。
    施彥宇，2002，”外資對台灣股票報酬率之影響”，國立中山大學中山學術研究所碩士論文。
    翁英傑，1995，自營商及外資之投資行為研究，輔仁大學金融研究所碩士論文。
    康景淵，2004，”股王效應-個股股票異常報酬率研究，東吳大學國際貿易所碩士論文。
    陳慧如，1996，外資大額交易與股價關聯之研究，淡江大學金融研究所碩士論文。
    郭富源，2007，”外資買賣超對投資績效的影響-以台灣50為例”，國立中央大學財務金融系碩士在職專班碩士論文。
    葉銀華，1991，”台灣股票市場成交量與股價關係之實證研究-轉換函數模式”，台北銀行月刊，22(11)，57-70。
    趙詩容，2002，”法人買賣超是否為投資人短期買賣的參考指標?以台灣股市為例”， 國立東華大學國際經濟研究所碩士論文
    廖世魁，1996，”國內外法人機構對國內股市影響效果之探討”，淡江大學管理科學研究所碩士論文。
    劉佳奇，2006，”投資人的過度自信、從眾行為與交易績效”，國立中山大學財務管理研究所碩士論文。
    二、 英文文獻
    Back, K., C. H. Cao and G. A. Willard (2000), “Imperfect Competition among Informed Traders”, Journal of Finance, Vol. 55, No. 5, 2117-2155.
    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 Studies21,785-818
    Chan, Louis, and Josef Lakonishok,1995,”The behavior of stock prices around institutional trades”, Journal of Finance 50,1147-1174
    Chen,N.F.,Cuny, J.C. and Haugen, A.R,1995,”Stock Volatility and the levels of basis and open interest in futures contracts”, Journal of Finance 12,281-300
    Chiao,C. and K.L Lin, 2004 ,”The Informative Content of the Net Buy Information of Institutional Investors: Evidence from the Taiwan Stock market”, Review of Pacific Basin Financial Market and Policies, forthcoming.
    Chiao, C., Z. Wang, and H. Lai (2006), “Order Submission Behaviors and Opening Price Behaviors in the Taiwan Stock Market,” working paper, Department of Finance, National Dong Hwa University.
    Choe, Hyuk, Rong-Chan Kho, and Rene M Stulz, 1999, “Do foreign investors destabilize stock markets? The Korea experience in 1997,” Journal of Financial Economics 54, 227-264.
    Chordia T., R. Roll, and A. Subrahmanyam (2002), “Order Imbalance, Liquidity and Market Returns,” Journal of Financial Economics, 65, 111-130.
    Foster, F. D. and S. Viswanathan (1994), “Strategic Trading with
    Asymmetrically Informed Traders and Long-Lived Information”, Journal of Financial and Quantitative Analysis, Vol. 29, No.4, 499-518.
    Huang Bwo-Nung, 2000, “Impact of Domestic Investment Companies, Registered Trading Firms and Foreign Institutional Investors on the Taiwan Stock Exchange After the Financial Market Liberalization,” working paper.
    Jegadeesh, Narasimhan and Sheridan Titman, 1993, “Returns to buying winners and selling losers: Implications for stock market efficiency, ” Journal of Finance48, 2143-2184
    Rouwenhorst, K. Geert, 1998, “International momentum strategies, ” Journal of Finance 53, 267-284.
    Seasholes, Mark,2000,”Smart foreign traders in emerging markets.”, Working Paper Harvard Business School
    Stein, J. C,1983,”Informational externalities and welfare-reducing speculation,” ,Journal of Political Economy 95, 11
    描述: 碩士
    國立政治大學
    財務管理研究所
    97357016
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097357016
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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