投信持股之股價共移現象研究

The Comovement of Mutual Fund Holdings of Stocks

陳韋強(Wei-Chiang Chen)

指導教授 ： 林鳴琴

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本論文以投信持股比重較高的國內上市電子類股為研究對象，由投信高、低持股之分類，探討高、低投信持股之個股平均月報酬與大盤之間的共同移動情形，並分析共同移動是否為公司基本面因素所造成。研究結果發現，投信持股比率高低不同對個股與大盤的共同移動無顯著差異；且投信持股之個股與大盤的共同移動衡量指標受外資持股、自營商持股及公司特性的影響。再檢視此共同移動衡量指標是否亦可為總體經濟變數所解釋，研究結果發現以30天與180天商業本票的利差及領先指標成長率做為總體經濟變數，則只有投信低持股之個股可解釋共同移動現象。

關鍵字

共同移動 ； 投信 ； 複迴歸分析

並列摘要

In this study, we discuss the comovement of domestic electrical stocks which are the assets most mutual funds invest. We divided all samples into high and low mutual fund holdings to examine whether the comovement of individual stock with the market is significantly different between high and low mutual fund holdings, and further analyzing whether this comovement is arisen from the fundamental factors. As result of this study, we find that the comovements are not significantly different between high and low mutual fund holdings. Furthermore, the comovements of individual stocks with the market are influenced by shareholdings of foreign investors and dealers and the fundamental factors. We also examine this comovement whether to be explained by macroeconomic variables. We find macroeconomic variables, proxied by the interest rate spread between 30 days and 180 days of commercial papers and the leading indicators of growth rate, may significantly explain the comovement for low mutual fund holdings of stocks, but not significantly for high mutual fund holdings of stocks.

並列關鍵字

Mutual Fund ； Multiple Regression Analysis ； Comovement

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