本土法人對股票開盤價格影響力之研究

Research in Domestic institutional investors influence the stock opening price of Taiwan stocks

駱介正(Chieh-Cheng Lo)

指導教授 ： 林蒼祥

共同指導教授 ： 涂登才(Teng-Tsai Tu)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00308

摘要

本研究以盤前委託單探討本土法人對股票開盤價格之影響力，實證結果顯示本土法人盤前委託單的不平衡程度能有效提升開盤價影響力。外資委託單不平衡將微幅干擾降低本土法人對開盤價影響力，而前一日波動度高的公司，其本土法人對開盤價影響力越高。
以產業來看，本土法人委託單不平衡對開盤價影響程度大小依序為電子股、非金電、金融股。而外資委託單不平衡在電子及非金電亦顯著微幅降低本土法人影響力，但在金融股則會使本土法人影響力加劇。前一日波動度越大，本土法人對開盤價影響力越大，尤其在電子股特別明顯。
以市值區分時，發現小型股當本土法人委託單不平衡時，對開盤價影響力更大，中型股其次，大型股最小。而波動度亦顯著在大、中、小型股呈現正向影響。
研究發現本土法人對開盤價影響力在各產業之中、小型個股皆高出外資許多，故未來投資人在中小型個股之盤前下單可參考本土法人動向之相關資訊和波動度、週轉率、市值規模及帳面市值比。本研究希望能提供投資人對於未來台灣證券交易所於104年6月29日起，在開盤時段揭露模擬撮合資訊時做為參考。

關鍵字

本土法人 ； 影響力 ； 開盤價

並列摘要

This research studies domestic institutional investors’ influence on opening price based on empirical data of at-the-opening-order. Empirical results shows that domestic institutional investors’ order imbalance effectively increases the influence on opening price. Foreign institutional investors’imbalance order slightly decreases domestic institutional investors’ influence on opening price. In contrast, domestic institutional investors’ influence on opening price is higher when the stock has higher volatility on the proceeding day. Domestic institutional investors’ influence is highest on electronic industry, non-financial industry, and financial industry. Foreign institutional investors’ influence on electronic industry and non-finance obviously decreases domestic institutional investors’ influence, but strengthens domestic institutional investors’ influence on financial industry. When the stock has higher volatility on the proceeding day, domestic institutional investors’ influence is most remarkable on electronic industry stocks’ opening price .
Domestic institutional investors’ influence is highest on small-cap than medium-cap stocks, but large-cap stocks is less influenced. The volatility remains positive influence whether any kinds of stocks.
This research finds out that domestic institutional investors’ influence on opening price is significantly higher than foreign institutional investors on small-cap and medium-cap stocks in every industry. As a result, before ordering small-cap or medium-cap stocks by at-the-opening-order, referring to the information includes volatility, turnover rate, market scale, book to market ratio and the domestic institutional investors’ activities will be beneficial. I hope this study is useful to investors after Taiwan Stock Exchange disclosure simulative matched trading information at opening from June 29, 2015.

並列關鍵字

Domestic institutional investors ； influence ； opening price

參考文獻

1. 蔡佩雯，(2013)，「我國證券集中交易市場開盤及收盤資訊揭露之規劃建議」，證交資料，第576期，頁8~21。

4. 張裕任、吳琮璠、王泰昌，(2012) ，「影響外資持股偏好因素之探討：安

5. 陳俊言，(2012)，「加權指數期貨趨勢預測績效之探討:ARIMA模型與開盤價預測效應」，台灣學術期刊，第5卷第2期，頁257~275。

Individual Investors Lose by Trading?”Review of Financial Studies, 22(2), 609-632.

8. Black & Scholes, (1987) , “The Pricing of Option and Corporate Liabilities,” Journal of Political Economy, 81(3), 637-654.