介入模式應用於機構投資人鉅額交易訊息之研究

Apply Intervention Model on Large Transactions Information of Institutional Investors

古永嘉(Yeong-Jia James.Goo) ； 蔡垂君(Chui-Chun Tsai)

《文大商管學報》 6卷1期 (2001/06) Pp. 77-106

https://doi.org/10.30163/BR.200106.0004

摘要

Fama(1970)提出效率市場假說(Efficient Market Hypothesis, EMH)指出：股票市場通常不具效率性，只要取得足夠之訊息則投資人可能獲得超額報酬。本研究將訊息來源界定爲二：其一爲依據CAPM模式所論，大盤報酬率是影響個股報酬率之主要因素，其次爲投資者重要參照團體-機構投資人-自營商及外資鉅額交易訊息，機構投資人亦稱爲知情投資者，其每日鉅額交易之股票往往成爲投資者參考對像。本研究以國內八十七年至八十八年間，機構投資人每日鉅額交易買進及賣出前五名之上市公司個股且成交量大於2500張者爲研究對象，採轉換模式及介入模式進行研究，研究目的有二：(1)以轉換模式及介入模式模擬衡量個股報酬率之合適性。(2)大盤報酬率及機構投資人鉅額交易訊息是否影響個股報酬率，當鉅額買進時可能會造成需求增加引發價格拉力效果，而當鉅額賣出時可能會造成供給增加引發價格壓力效果。經實證後結果如下：(1)實證模式解釋能力達90%以上。(2)大盤報酬率對個股報酬率具長短期影響效力，機構投資人鉅額交易訊息對個股報酬率僅具有短期影響效果。(3)相較二類機構投資人鉅額交易訊息對於個股報酬率之影響：自營商鉅額買進訊息引發需求面價格拉力效果的能力較強，而外資賣出訊息引發供給面價格壓力效果較強。因此，大盤報酬率仍是影響個股報酬率長短期變化之主要因素，而機構投資人鉅額交易訊息則具有短期性影響，顯示台灣股票市場仍不具效率性。

關鍵字

機構投資人 ； 效率市場假說 ； 轉換模式 ； 介入模式

並列摘要

In Fama's market efficient Hypothesis (EMH) (1970), the equity market usually lacks efficiency and only those who can get enough information will see a profitable return. The present article is based on this theory to simulate investors who would collect information before investing. The sources of information are, first, according to CAPM, the factor that affects a listed stock's return is the market's return. Aside from that, the reference group — institutional investors — dealers and foreign investment institutions that always are informed investors. This article use the high volume trade of top five stocks by the two kinds of traders list on TSE from 1998 to 2000 as the research objects. In order to evaluate how the two kinds of information effect a single stock's return using the intervention model and transfer function noise model to study. The objectives of this research are: (1) To study the appropriateness of simulating stock returns using dynamic transfer function noise model and intervention model. (2) To assess the extent to which large trading of institutional investors cause price appreciation when purchasing and price depreciation when selling. The evidence suggests that are: (1) The R^2 form this study model simulating is greater than 90%. (2) The market's return is conspicuous affect a single stock return in short run and long run. The large trades by institution investors is conspicuous affect an individual stock return in short run, but no effecting in long run. (3) The large purchase by dealers cause price appreciation larger than institutional investors. The large sell by institutional investors cause price depreciation larger than dealers. It appears that Taiwan stock market is not an efficient market.

並列關鍵字

institutional investors ； efficient market hypothesis ； transfer function ARMA noise model ； intervention model