法人買賣超與技術指標對當沖績效之影響

本文利用台灣50成分股在2014年1月6日至2021年12月13日的資料，來研究法人買賣超行為與技術指標對隔日當沖績效。本文的研究結果指出：單以籌碼面來看，投信五日買賣超，都有正向顯著，而投信二十日買賣超，則是在不考慮年固定效果的情況下，投信才有正向顯著。再者加上技術面來看，不論是投信五日買賣超或著投信二十日買賣超，當搭配布林上通道的投資策略時，都有正向顯著。而外資五日買賣超或著外資二十日買賣超，則是搭配布林下通道的投資策略時，都有正向顯著。最後，實施當沖降稅，法人五日買賣超方面，投信買賣超搭配布林上通道和外資買賣超在下通道的投資策略，實施前都是不顯著，然而實施後都是顯著的。法人二十日買賣超方面，只有投信買賣超搭配布林上通道的投資策略，實施前是不顯著，然而實施後都是顯著的。最終得出投信買賣超搭配布林上通道的投資策略，在所有實證中都有正向顯著之影響，且主力買賣超在所有實證中都沒有顯著，所以投資者可以將以上結果作為過濾股票的參考指標。

關鍵字

當沖；法人買賣超；布林通道

並列摘要

The purpose of this thesis is on next day trade performance to Institutional Investors' Net Buy/Sell and technical indicators. Using Taiwan's 50 constituent stocks from January 6, 2014 to December 13, 2021, this thesis find that chip analysis alone, the Mutual fund's five-day Net Buy/Sell have positive and significant effect, while the Mutual fund's twenty-day Net Buy/Sell has a positive and significant effect when the annual fixed effect is not considered. In addition, from a chip analysis and a technical analysis, whether Mutual fund's five-day Net Buy/Sell or Mutual fund's twenty-day Net Buy/Sell, when paired with the higher than the upper Bollinger Band investment strategy, both have positive and significant effect. The Foreign investor's five-day Net Buy/Sell or the foreign investor's twenty-day Net Buy/Sell, when paired with the investment strategy of the below than the lower Bollinger Bands, both have positive significant effect. Lastly, the implementation of Day Trading Tax Cut, when we look the Institutional Investors' five-day Net Buy/Sell, the Mutual fund's Net Buy/Sell paired with the higher than the upper Bollinger Band and Foreign investor's Net Buy/Sell paired with the below than the lower Bollinger Bands, before implementation, it was not significant, but after implementation, it was significant. Then we look the Institutional Investors' twenty-day Net Buy/Sell, only the Mutual fund's Net Buy/Sell paired with the higher than the upper Bollinger Band, before implementation, it was not significant, but after implementation, it was significant. Finally, we find that the Mutual funds' Net Buy/Sell paired with investment strategy of the higher than the upper Bollinger Band in all empirical results have positive and significant effect, and mains' Net Buy/Sell is not significant in all empirical results, so investors can use the above results as a reference indicator to filter stocks.