臺灣股市外資之投資行爲

The Investment Behavior of Foreign Investors in the Taiwan Stock Market

蕭朝興(Chao-Shin Chiao) ； 黃聖棠(Sheng-Tang Huang) ； 黃聖志(Sheng-Shih Huang)

《商管科技季刊》 9卷4期 (2008/12) Pp. 547-573

https://doi.org/10.30083/CMQ.200812.0006

摘要

隨台灣逐步開放外資，外資持股比例佔台灣股市已由1994年初的6.89%上升至2004年底的22.32%，目前2008年2月爲33.28%。然而，Hameed and Kusnadi (2002)等學者發現亞太地區國家（台灣、新加坡、韓國、香港、馬來西亞、泰國）並無顯著的動能策略存在。本文嘗試用Cooper (1999)的篩選法則(filter rules)、George and Hwang (2004)投資組合成對比較(portfolio-pairwise comparisons)分析以及Fama and Mac Beth (1973)橫斷面迴歸探討外資持股水準、外資持股水準變動率及Jegadeesh and Titman (1993)的價格動能投資策略這三個策略的關係，最後再用Fama and French(1993)的三因子模型來看這三個策略下是否會產生異常報酬的現象。結果發現，第一、投資國內股市的外資部分爲動能交易者。第二、具有外資投資的台灣上市公司中存在些微的動能效應。第三、台灣股票投資人以可獲得的外資資訊（外資持股水準變動率、外資持股水準）做爲指標投資，可帶給投資人正的異常報酬。

關鍵字

外資 ； 動能 ； 三因子模型

並列摘要

As the Taiwan government gradually opened the stock market for foreign investors, the aggregate holdings of Taiwanese stocks by foreign investors were from 6.89% in 1994 to 33.28% in 2008. However, Hameed and Kusnadi (2002) found that there was no significant momentum effect among Asia countries including Taiwan, Singapore, Korea, Hong Kong, Malaysia, and Thailand. In this paper, we apply the filter rules proposed by Cooper (1999), the pairwise comparisons proposed by George and Hwang (2004), and the cross sectional regression by Fama and MacBeth (1973) to analyze the relationship among the strategies based on the level of foreign investors' stock holdings, the change rate of foreign investors' stock holdings, and the price momentum. Then, we use the three-factor model to examine if there are abnormal returns for these three strategies. First, the evidence supports that some foreign investors in the Taiwan stock market are momentum traders. Second, there exist the momentum effects on Taiwanese companies held by foreign investors. Third, investors, following foreign investors' information such as the change rate and the level of foreign investors' holdings, can earn positive abnormal returns.

並列關鍵字

Foreign Investors ； Momentum ； The Three-factor Model

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