波動度,反向交易,與國外機構投資人之關係研究

Volatility, Contrarian Trade, and Foreign Institutional Investors

趙啟全(Chi-Chuan Chao)

指導教授 ： 盧秋玲

元智大學/管理學院/財務金融學系/碩士(2007年)

摘要

本篇論文主要以GARCH模型與台灣證券交易所的交易資料對波動度與賣出行為的關係進行研究。本篇論文的資料期間為2003年3月至2006年9月。首先，我們指出在台灣的證券市場中，交易行為確實能夠顯著解釋不對稱性的波動現象。接著我們將交易行為定義為兩個不同的交易策略行為，我們發現反向交易策略將微幅的增加次日的波動度；群聚交易策略將會大幅度的增加次日的波動度。
此外，我們將所有的投資人分成國內投資人與國外機構投資人，發現到國內投資人所採取的反向策略將會使得波動度增加；但國外機構投資人所採取的反向策略卻使得波動度減少。這意味著不同投資人所採取相同的交易策略將對波動度造成不同的影響。最後我們發現造成這種現象的因素或許是來自於國內投資人與國外投資人的交易行為之間自我相關高低程度的不同。本篇最後提出：投資人可以透過區分出國外機構投資人所採取的是何種策略，來提高自身獲利的機會。

關鍵字

波動度 ； 反向交易策略 ； 群聚交易策略 ； 國外機構投資人

並列摘要

We use GARCH model and the transaction data of Taiwan Stock Exchange to examine the relationship between volatility and selling activities. The sample period is from March, 2003 to September, 2006. Our result indicated that the asymmetry volatility could be significantly explained by the selling activities in Taiwan stock market. As to defining the selling activities as the two different investing strategies, we suggested that the contrarian-trade would slightly increase the volatility and the herding-trade heavily increases the volatility.
Besides, after dividing the whole investors into domestic investors and foreign institutional investors, we suggested that contrarian-trade of foreign institutional investors could reduce the volatility but contrarian-trade of domestic investors increase the volatility. The same investing strategy from domestic and foreign investors has different impacts on volatility. Finally, we found that the factor causing different impacts on volatility may be the level of autocorrelation of domestic trades and foreign trades. We also provided that the investors could increase the possibilities of gaining positive returns by indentifying what kinds of investing strategies the foreign institutional investors pursued.

並列關鍵字

GARCH ； volatility ； contrarian ； herding ； foreign institutional investors

參考文獻

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