- 學位論文
法人與八大官股行庫買賣超與股價反應影響：以台灣大型航運股為例
The Effect of Institutional Investors and The Eight Government-owned Banks’ Buy/Sell on Equity Prices: Evidence from Taiwan's Large Shipping Stocks
摘要
新冠疫情期間，對全球航運市場波動及供應鏈中斷的影響，航運運費的劇烈變化使得航運股的股價和股價報酬率隨之顯著波動，吸引法人及海內外投資者對台灣大型航運股的廣泛關注。本研究利用事件研究法，探討法人與八大官股行庫的買賣超行為對台灣大型航運股的股價影響，其中台灣大型航運股包括：長榮（2603）、陽明（2609）及萬海（2615），藉以瞭解法人在動盪不安的股票市場中所扮演的關鍵角色。 本文從台灣經濟新報資料庫（簡稱TEJ資料庫）整理近24年（2000年1月－2023年12月31日）三大法人與八大官股行庫買賣超交易情況，分別以三大法人及八大官股行庫單日買賣超金額最大的交易日期作為事件日，例如：外資（2005年12月28日）、投信投顧（2023年9月15日）、自營商（2023年5月17日）及八大官股行庫（2022年8月10日），完整探討法人與八大官股行庫買賣超對台灣大型航運股的股價是否有異常報酬及累積異常報酬。 研究結果發現，三大法人與八大官股單日買賣超金對台灣大型航運股的股價都有顯著的異常報酬。另外，投信投顧單日買賣超金額最為顯著，對市場價格影響力最強、外資的規模較大但卻不是最顯著的。面對台灣大型航運股投資人可以觀察投信的動向，更好判斷投資操作的方向。
並列摘要
During the COVID-19 pandemic, the global shipping market experienced significant volatility and disruptions to supply chains. The dramatic fluctuations in shipping freight rates led to substantial volatility in the stock prices and returns of shipping stocks, attracting considerable attention from institutional and international investors towards Taiwan's large shipping companies. This study employs an event study methodology to examine the impact of the trading behaviors of institutional investors and the eight major state-owned banks (government banks) on the stock prices of large shipping companies in Taiwan. The companies studied include Evergreen Marine Corporation (Stock Code: 2603), Yang Ming Marine Transport Corporation (Stock Code: 2609), and Wan Hai Lines Corporation (Stock Code: 2615), in order to understand the crucial role that institutional investors play in a turbulent stock market. The data for this research was compiled from the Taiwan Economic Journal (TEJ) database, covering nearly 24 years (from January 2000 to December 31, 2023). It focuses on the net trading positions of the three major institutional investors and the eight government banks, identifying the dates with the highest net purchase amounts for each group as event dates. For instance, the event dates considered include: foreign institutional investors on December 28, 2005; investment trusts on September 15, 2023; proprietary traders on May 17, 2023; and government banks on August 10, 2022. The analysis investigates whether the net trading activities of these institutions and government banks corresponded with abnormal returns and cumulative abnormal returns for Taiwan's large shipping stocks. The results reveal that both the three major institutional investors and the eight government banks exhibited significant abnormal returns on the stock prices of Taiwan's large shipping companies. Notably, the net trading amounts from investment trusts had the most pronounced impact, indicating a stronger influence on market prices, while foreign institutional investors, despite their larger scale, were not the most significant in terms of effect. For investors in Taiwan's large shipping stocks, monitoring the trends of investment trusts can provide valuable insights for better investment decision-making.