法人持股對股價資訊含量、股價崩盤風險及崩盤後報酬率之影響

The Impact of Institutional Ownership on Information Content of Stock Price, on Risk and Returns subsequent to Stock Crash

羅蔣浩(Luo Jiang-Hao)

指導教授 ： 周德瑋

國立臺灣師範大學/管理學院/管理研究所/碩士(2021年)

https://doi.org/10.6345/NTNU202100657

摘要

本研究以台灣證券市場之上市櫃公司為研究對象，通過R語言進行分析，
發現，外資與投信持股比例上升皆可提升股價資訊含量，且其關係為倒U型，即持股比例過高時反而會造成股價資訊含量下降，自營持股比例提升則無法顯著提升股價資訊含量，其原因可能是自營整體持股比例過低。同時，外資和投信持股比例提升也可降低股價崩盤風險，自營商則無顯著關係。本研究發現技術面變量乖離率是崩盤後報酬率的重要解釋變量，其與崩盤後之跌幅呈正相關，崩盤前股價表現得越弱勢的個股崩盤後跌幅越大。在加入乖離率變量的情況下，外資在不考慮2020年時，在長及短天期與崩盤後報酬率顯著正相關，其短天期顯著原因可能是外資持股比例大，減持對股價造成壓力及散戶以外資為參考對象跟風賣出，長天期顯著原因可能是外資本身可能也在避免自身短期拋售對股價造成的壓力；投信及自營則可考慮其中長期變動對崩盤後報酬率的影響；主力之變動則無顯著關係。在考慮2020年數據時，各法人顯著性均有所下降。

關鍵字

崩盤 ； 法人持股 ； 股價資訊含量 ； 股價崩盤風險

並列摘要

This research focuses on Listed Companies in Taiwan, we use R language to explore and we found that both the increase of the proportion of Foreign Investors and Securities Investment Trust Companies can increase the information content of the share price, and the relationship is an inverted U shape, the information content of the share price will decrease when the proportion of Foreign Investors and Securities Investment Trust Companies is too high .The increase in the proportion of Dealers could not significantly increase the information content of the share price, which may be due to the overall low proportion of Dealers. At the same time, the increase in the proportion of Foreign Investors and Securities Investment Trust Companies can also reduce the risk of stock price crash. Dealers has no significant relationship with the risk of stock price crash due to the low proportion of shares.And about the research of the relationship between the change in the proportion of institutional ownership and the decline of stock price after the crash. We found that the deviation rate of technical variables is an important explanatory variable, which is positively correlated with the decline after the crash, indicating that the weaker the stock price before the crash, the greater the decline after the crash. When the deviation rate variable is added and the data of 2020 is not taken into account, the long and short term of Foreign Investors is positively correlated with the Returns subsequent to Stock Crash ,The significant reason for the long term may be that the Foreign Investors may also be avoiding the pressure on the stock price caused by themselves. We believe that the impact of long-term changes in Securities Investment Trust Companies and Dealers on the Returns subsequent to Stock Crash .The change of main force(From CMONEY) has no significant relationship with the return subsequent to crash. When considering the data in 2020, the significance of each institution will decrease.

並列關鍵字

Crash ； Institutional shareholding ； Information content of stock price ； Risk of stock price crash

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