- 學位論文
外資券商發佈個股評等時投資人交易行為之分析-以上市半導體類股為例
Investors’ Reactions to Rating Reports of Foreign Institutions - Evidence from the Semiconductor Industry
摘要
台灣證券市場中，機構投資法人包含了外資、投信以及自營商，市場上統稱三大法人。而法人中就屬外資在證券市場所佔比重逐年增加，據證交所統計至2013年5月為止，外資持股佔台股總市值32.4%，故外資對台灣股市的影響力與日俱增，外資內部不但有專業的研究團隊，對資訊的掌握也比個別投資人(散戶)具有優勢，外資內部的分析師常常會公開發佈對股票的操作建議和目標價格。故本研究樣本為上市半導體業股票，從證交所取得日內資料，研究方法為事件研究法，目的想了解外資公開分佈訊息之後，外資本身和散戶在短期內的交易行現。 本研究發現，股價確實會受到好(壞)消息影響走升(低)，中立消息時股價會呈負向。強勢消息時不論好或壞，股價在前一天就會提早反應。多元混亂訊息發佈時，股價異常報酬則呈現上升趨勢。而在好跟壞消息發佈當天，在接近收盤的8和9時段，會產生與當日趨勢相反的異常報酬。操作方面，外資在交易方向喜歡順向操作，並且言行一致，而散戶喜歡在股價受到訊息影響下跌的時候低價承接股票。強勢消息發佈時，外資提前一天就會有買進或賣出的行為了，但是散戶一直要到訊息發佈之後，才跟上外資行為。日內交易方面，外資買進股票偏向在開盤或收盤的兩個時段買進，賣出股票偏向在盤中賣。散戶買進股票偏向在盤中買進，賣出股票時則都有可能。
並列摘要
The purpose of this study is to investigate the trading behavior of institutional investors and individual investors in Taiwan stock market around the rating report announcement of foreign institutions. This study is to examine (i) how the stock price affect by the rating report announcement by foreign institutionsin.(ii) whether the trading behavior between the institutional investors and individual investors will be different under the tick-by-tick data analysis.(iii) examine whether the announcement of the rating report will lead to an abnormal trading behavior of the institutional investors as well as the individual investors. The results can help researchers to understand the information effect on investors’ trading behavior and the asymmetric information between foreign institutional and various investors in Taiwan. For investors, understanding the different trading behavior helps them to make better decisions when receiving information.