The Interrelationships among Returns, Institutional Investors' Buy-Sell Difference and Trading Strategy in Taiwan's OTC Market

台灣店頭市場報酬率、機構性投資者買賣超及交易策略之研究

楊踐為(Jack J. W. Yang)

《中國財務學刊》 9卷2期 (2001/08) Pp. 67-89

https://doi.org/10.6545/JoFS.2001.9(2).3

摘要

本研究係探討臺灣店頭市場報酬率與三大法人買賣超的相互關係，以及該三大法人之交易策略是否有從屬情形？三大法人主要為外資（專業外資投資機構與外國共同基金）、自營商與本國的共同基金。由於法人的交易行為往往是散戶進出股市的引導指標，因此推論股市報酬率會受到法人交易的影響，然而三大法人中究以何者之影響較深，乃本文之探討重點。研究期間自1996年7月4日至1999年12月18日。研究方法為利用向量自我迴歸模式（Vector Autoregressive Method, VAR），來檢視買賣超與報酬率的解釋情形。研究結果指出：臺灣店頭市場之報酬率與三大法人之買賣超無任何相互關係。此外，外資的交易行為會影響自營商，而自營商又會影響本國共同基金，故外資的交易策略較具獨立性。

關鍵字

法人 ； 向量自我迴歸

並列摘要

This paper examines the interrelationships among stock returns, institutional investors' buy-sell difference and trading strategy in Taiwan's OTC (over-the-counter) market. The three key institutional investors are: foreign institutional investors [a combination of QFII (qualified foreign institutional investors) and foreign mutual funds), domestic mutual funds, and security dealers. Applying the vector autoregressive model (VAR) for the data available period (July 4, 1996-Dec. 18, 1999), the findings indicate that stock returns are not influenced by institutional investors' buy-sell difference. It appears foreign institutional investors' trading enjoys a leading position in influencing security dealers, which subsequently affect domestic mutual funds. In essence, the trading strategy adopted by foreign institutional investors is more independent.

並列關鍵字

Institutional investors ； Vector autoregressive

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