三大法人持股比率對投資人情緒之影響

The Influence of Three Major Institutional Holding Ratio on Investors’ Sentiment

陳祥方(Chen Hsiang-Fang)

指導教授 ： 郭維裕

國立政治大學/商學院/國際經營與貿易學系/碩士(2022年)

https://doi.org/10.6814/NCCU202200642

摘要

台灣股票市場的投資人結構以散戶為主，且考量散戶相較於機構投資人而言較容易受到不理性因素的影響，因此台灣股票市場十分適合研究行為財務學的相關議題。由於散戶在投資台灣股票市場時經常會觀察三大法人的操作，本研究便以台灣股票市場中的投資人情緒作為主題，分析三大法人持股比率是否對投資人情緒造成影響，再進一步依據台灣證券交易所之產業分類進行異質性分析，觀察其影響效果是否會因為產業不同而相異。本研究建構向量自我迴歸模型（VAR）檢視三大法人持股比率、外資持股比率、投信持股比率、自營商持股比率與投資人情緒之間的關係，並藉由含外生變數之向量自我迴歸模型（VARX）控制市場對於主要實證變數的影響並確認其關係是否改變。實證結果顯示：以大盤而言，僅投信持股比率對投資人情緒具有負向顯著影響，其餘法人持股比率皆無影響；以各產業而言，其投資人情緒皆受到三大法人持股比率的影響，其中又以投信持股比率所能影響的產業數量為最多；反映投資人無論觀察整體市場或個別產業時都較關注投信之操作狀況，至於外資及自營商之操作狀況，則是在各產業時才更被投資人所關注。

關鍵字

三大法人持股比率 ； 投資人情緒 ； 向量自我迴歸模型

並列摘要

The structure of the Taiwan stock market is dominated by retail investors, who are more susceptible to irrational factors than institutional investors; therefore, the Taiwan stock market is suitable for studying behavioral finance. Since retail investors often observe the operations of the three major institutional investors when investing in the Taiwan stock market, this study focuses on the influence of the three major institutional holding ratio on investors’ sentiment, and then conducts a heterogeneity analysis based on the industrial classification of Taiwan Stock Exchange Corporation (TESE) to see whether the influence varies by industry. This study constructs the Vector Autoregressive Model (VAR) to examine the relationship between the three major institutional holding ratio and investors’ sentiment, and uses the VAR Model with Exogenous Variables (VARX) to control for market influence on main empirical variables to identify whether the relationships change. The empirical results show that for the broad market, only the investment trust holding ratio has a significantly negative impact on investors’ sentiment, while the other institutional holding ratio has no impact. On the other hand, in terms of each industry, three major institutional holding ratio has significant impacts on investors’ sentiment though the amount of influenced industries that investment trust has a significant impact on is the most among the three major institutional investors. In addition, retail investors pay more attention to the operation of foreign institutional investors and domestic dealers in each industry than in the broad market.

並列關鍵字

Three Major Institutional Holding Ratio ； Investor Sentiment ； VAR Model

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