法人日內投資行為及跟隨法人投資策略

A Study on Intraday Trading Behavior of Institutional Investors and Strategy Following Intraday Institutional Information

林育屏(Yu-Ping Lin)

指導教授 ： 賴弘能

國立中央大學/管理學院/財務金融學系/碩士(2006年)

摘要

許多前人研究發現在台灣股市中跟隨法人投資是沒有獲利空間的。這篇論文檢視法人日內交易行為，並且跟隨法人日內交易。
我們利用cite{crvhier04}的方法，發現機構投資人喜歡在開盤跟收盤下積極定單交易且從沒有資訊的投資人那獲得報酬。
此外，機構投資人是趨勢交易者，且不喜歡在前期交易量大或是前期波動性大時交易。
我們也發現考慮法人日內資訊是有價值的。

關鍵字

機構投資人 ； 限價單 ； 日內交易行為

並列摘要

In Taiwan stock market, followiing daily institutional investors'' net-buy (sell) information after close is found not to be profitable in previous literatures.
This paper examines the intraday trading behavior of institutional investors in Taiwan Stock Exchange and the investment strategy following intraday institutional investors.
Using the methodology employed by Campbell et al (2004),we find institutional investors fare more likely to submit aggressive orders at open and close than midday to gain from uninformed traders;besides, institutional investors are momentum traders and do not like to submit aggressive orders when previous traded volume and volatility is large.
We also find intarday institutional information is worth taking into consideration.

並列關鍵字

Limit Order ； Aggressive Order ； Intraday Trading Behavior ； Institutional Investors

參考文獻

Chuang, Shu-mei, Wan-Hsiu Cheng, and Chien-Liang Chiu (2003), “The Dynamic

Relationship among Foreign Investments, Stock Market and Foreign Exchange Market”,

Tsai, Hung-Kai (2002), A Ttudy of Order Aggressiveness on the Taiwan Stock Market,

and Practices of Securities and Financial Markets.

on Tape: Predicting Institutional Ownership With Order Flow”, Discussion Paper