在市場模糊之際機構投資人交易與股票報酬的關係

The Relation between Institutional Trading and Stock Return Under Market Ambiguity

許幃捷(WEI-CHIEN HSU)

指導教授 ： 林美珍

國立臺北大學/商學院/企業管理學系/碩士(2016年)

摘要

本研究目的有二，首先探討機構投資人是否會參照過去個股報酬或者歷史市場報
酬進行趨勢交易，以及機構投資人交易對於後續個股日報酬是否存在預測能力。
接著，參考Williams(2014)，使用波動度指數的變化衡量市場模糊程度，探討市
場模糊是否影響機構投資人趨勢交易的力道以及機構投資人交易對後續股票報
酬的預測能力。主要實證結果有三，首先，我們發現未考慮市場模糊時，機構投
資人會參照過去個股報酬與市場報酬進行後續投資行為，但是在參照的方向性上，
整體市場報酬為外資交易的正向指標，個股報酬為外資交易的反向指標，但是投
信卻呈現完全相反的結果。其次，機構投資人的歷史交易資訊對後續股票報酬具
有預測能力，預測能力強弱依序為外資、投信、自營商。第三，市場模糊程度越
高，機構投資人越不會參考前期個股與整體市場報酬進行後續交易；市場模糊程
度增加自營商與投信預測未來股價的能力。最後，當將研究天數從一天延長至連
續一周交易日，發現市場模糊對於整體法人與外資進行趨勢交易之影響力隨衡量
期間之延長而減少，並且不論何種機構投資人，市場模糊確實降低連續買賣超的
資訊效果。整體而言，市場模糊對於機構投資人交易、股票報酬與市場報酬有顯
著的影響力。

關鍵字

趨勢交易 ； 機構投資人 ； 市場模糊

並列摘要

This research focuses on two objectives. First, whether institutional investors
will use prior stock and market returns as references making feedback-trading, and if
institutional trading are useful for predicting subsequent stock return. Second, testing
whether ambiguity would affect the stock return predictability and institutional
trading.
We obtain three main results. First, institutional investors use prior market and
stock return as references making feedback-trading. Furthermore, their trading can
predict subsequent stock returns. Third, when ambiguity is greater, they are less likely
using market and stock returns as references making feedback-trading and the
prediction ability increases with market ambiguity except dealing. Finally, we extend
research days from one day to one week, then we find that no matter which kind of
institutional investors, ambiguity’s impact on feedback-trading will decrease as the
extending on research days. Ambiguity indeed will reduce serial net-buying and
net-selling’s informational effect. In general, ambiguity actually has obvious impact
on institutional trading, stock return and market return.

並列關鍵字

Feedback-trading ； Institutional Investors ； Ambiguity

參考文獻

林盈課, 林佳興, 與林丙輝 (2005)。外資於危機事件期間之交易策略與投資績效。財務金融學刊, 13(1), 61-98。

Lin, C.P., Huang, C.H., and Li, C.A. (2006). The Relationship between Institutional Investorsf Behavior and Stock Returns in Taiwan. Journal of Financial Studies, 14(2), 111.

Bowe, M., and Domuta, D. (2004). Investor herding during financial crisis: A clinical study of the Jakarta Stock Exchange. Pacific-Basin Finance Journal, 12(4), 387-418.

Cai, F., and Zheng, L. (2004). Institutional trading and stock returns. Finance Research Letters, 1(3), 178-189.

Camerer, C., and Weber, M. (1992). Recent developments in modeling preferences: Uncertainty and ambiguity. Journal of Risk and Uncertainty, 5(4), 325-370.