亞洲金融風暴前後外資交易行為與台灣股市互動關係之研究

The Interactions between Foreign Investors and the Taiwan Stock Market around the Asian Financial Crisis

李志宏(Jie-Haun Lee) ； 周冠男(Robin K. Chou) ； 林秋發(Chiou-Fa Lin) ； 謝育慈(Yu-Tse Hsieh)

《證券市場發展季刊》 Volume 18 Issue 3 (2006/10) Pp. 47-72

https://doi.org/10.6529/RSFM.2006.18(3).2

Abstracts

本文研究亞洲金融風暴前後，外資的交易行為與台灣股市的互動關係。在金融風暴期間，市場的波動與資訊不對稱程度較高，因此如果外資確實擁有私有資訊或較佳的交易策略，則於此一期間其領先或影響市場的程度應更為明顯。本文發現不論金融風暴發生前後，外資皆為正向回應交易者，亦即外資傾向在市場或個股上漲後買入，並在市場或個股下跌後賣出。然而外資當日下單行為與下一日市場報酬的漲跌關係並不密切。同時，在外資大量買賣超行為後，個股報酬及波動性皆有回歸平均的現象。本文實證結果指出外資的交易行為似乎並未隱含私有資訊且不至於影響市場的波動性。

Keywords

外資 ； 正向回應 ； 私有資訊 ； 股票報酬 ； 報酬波動性

Parallel abstracts

We study the interactions between foreign investors and the trading behavior, stock returns, and return volatility on the Taiwan stock market around the Asian Financial Crisis. The period is characterized as having high return volatility and severe information asymmetry. If the foreign investors do have private information, they are more likely to influence or lead the market during this period. It is found that foreign investors are positive feedback trading both before and after the Asian Financial Crisis. They tend to buy after the market increases and to sell after the market decreases. However, it is not closely related between today's order imbalance and next day's price increase or decrease. Meanwhile, there is mean reversion for stock return and return volatility after foreign investors' large order imbalance. Thus, the trading of foreign investors does not seem to contain private information and the impact of it on return volatility is minor.

Parallel keywords

Foreign Investor ； Positive Feedback Trading ； Private Information ； Stock Return ； Return Volatility

References

Bekaert, G.,C. R. Harvey(1997).Emerging equity market volatility.Journal of Financial Economics.43,29-77.

Bekaert, G.,C. R. Harvey(2000).Foreign speculators and emerging markets.Journal of Finance.55,565-613.

Bloomfield, R.,M. O'Hara(2000).Can transparent markets survive?.Journal of Financial Economics.55,425-459.

Chan, K.,Y. C. Chan(1993).Price volatility in the Hong Kong stock market: a test of information and trading noise hypothesis.Pacific-Basin Finance Journal.1,189-201.

Chan, L. K. C.,J. Lakonishok(1993).Institutional Trades and Intraday Stock Price Behavior.Journal of Financial Economics.33,173-199.