- 學位論文
外資對股票開盤價格影響力之研究
Research in Foreign investors influence the stock opening price of Taiwan stocks
摘要
本研究利用台灣證券交易所開盤前委託單日內資料，模擬撮合出個股開盤價格，再依據MAE、RMSE、MAPE等評估回歸模型預測誤差，探討外資在不同產業及不同規模公司對股票開盤價格之影響力。 實證結果發現，1、外資不僅偏愛金融股及大型權值股，而且多下大額委託單。2、外資對金融股開盤價影響力較電子股及非金電股大。3、外資對大型股開盤價之影響力較中、小型股大。4、外資委託單越不平衡時，外資對金融股及大型股開盤價影響力最大。5、本土法人委託單越不平衡時，外資對電子股及大型股開盤價影響力最小。6、前一日股價波動度越高，外資對金融股及大型股開盤價影響力最高。 外資因持股偏好，喜愛持有高權值股，除進行資產配置外，亦可配合台灣指數期貨投資操作及避險套利，賺取較高之風險溢酬。
並列摘要
The study explores the foreign investors’ influence toward the opening price of Taiwan Stock between different sizes and industries by simulating the opening price of stocks through the pre-open orders of TWSE and predicting error based on the regression models including MAE, RMSE, MAPE, etc. The empirical results found that,first, foreign investors not only prefer financial stocks and value weighted stocks, but also trading larger orders. Second, the influence of foreign investors on opening price of financial stocks is larger than that of electronics and non-finance non-electronics stocks. Third, the influence of foreign investors on the opening price of large cap stocks is larger than SME stocks. Fourth, the more the imbalance of foreign investors’ orders, the stronger the impact on opening price of financial stocks and large cap stocks.Fifth, the more the imbalance of local institutional investors’ orders, the weaker the impact of foreign investors on opening price of electronics and large cap stocks. Finally, as for the impact of foreign investors toward the volatility of stock price the day before between sizes and industries, it would influence the opening price of financial stocks and large cap stocks more when the volatility of stock price the day before is gradually larger. Because of the shareholding preference, foreign investors prefer to hold value weighted stocks for asset allocation and earning higher risk premium by hedging with Taiwan Index Futures.