法人與八大官股行庫對台灣股票市場的影響

本研究以2012/01/01-2021/12/31期間法人、八大官股及台灣股票集中市場為研究對象，透過EGARCH模型探討法人（外資、投信、自營商）及八大官股買賣超對台灣股票市場報酬及波動性的影響。本研究利用法人與八大官股買賣超為解釋因子探討法人與八大官股行庫對台灣股票市場的影響。實證發現估計係數在0.05顯著水準下，法人買賣超對台股報酬呈現顯著正向影響。投信的買賣超對台股報酬影響的估計係數最大，自營商次之，外資最小。在0.05顯著水準下發現法人的買賣超對台股波動性有顯著負向影響。而外資的買賣超對台股波動性影響的估計係數最大，投信次之，自營商最小。此外，八大官股的買賣超對台股報酬有顯著負向影響，對台股波動性有顯著正向影響，與上述三大法人對台股的影響效果恰好相反，此結果可提供市場投資人訂定投資策略的參考。

關鍵字

EGARCH模型；波動性；三大法人；八大官股

並列摘要

This study is based on Institutional investors, The eight government-owned banks and Taiwan stock market concentration during 2012 to 2021, using EGARCH model to assess their impact on Taiwan stock market returns and volatility. This study used Institutional investors, The eight government-owned banks Net Buying/Selling as explanatory factors to explore the impact of Institutional investors, The eight government-owned banks on Taiwan stock market. Empirical research found that with pronounced coefficient below 0.05, stock transactions from Institutional investor groups have positive impacts on Taiwan stock market returns. Investment Trusts have the largest influence, Proprietary Dealers second, and followed by Foreign Capital. On the other hand, these three institutional investor groups investment activities have negative impact on Taiwan stock maket volatility, with Foreign Capital the largest, followed by Investment Trust and Proprietary Dealers. Research also finds, on the opposite, investment activities from The eight government-owned banks have negative impact on Taiwan stock market return and increased stock market volatility. We hope these findings provides some insights to market participants.