亞洲金融風暴前後外資投資行為暨報酬差異之探討

The Investment Behavior and Performance around the Asian Financial Crisis: Foreign Investment Institutions in Taiwan

郭敏華(Min-Hua Kuo) ； 紀鈞中(Chun-Chung Chi)

《管理評論》 19卷1期 (2000/01) Pp. 81-118

https://doi.org/10.6656/MR.2000.19.1.CHI.81

摘要

在世界金融自由化及國際化的浪潮之下，我國已逐漸放寬外資管制。就正面來說，外資引進有助於加速我國金融國際化，改善股市的投資結構與投資風氣。就負面觀察而言，從1997年亞洲金融風暴的經驗發現，外資也可能成為總體財經發展一項不穩定的潛在因子。因此，外資對股市的影響是正抑負，有賴深入瞭解其投資行為。
本研究即試圖深入瞭解，外資在不同的外在環境下，其資金進出與選股策略是否呈現顯著差異；其投資報酬率是否在不同的環境下，均優於市場平均報酬。本研究特別按亞洲金融風暴的發生，針對風暴及其前後期的外資行為，進行系統性分析。具體而言，本研究的研究問題包括“外在經濟情勢不穩時，外資是否立即撤離？外資所偏好之股票具有哪些特性（週轉率、波動性及系統風險）？其選股策略是否真如一般所認知的投資在基本面佳的績優股？其投資績效是否如一般投資人預期的，憑藉其卓越的分析能力而獲得較出色的投資報酬率？
實證結果發現，外資在金融風暴期間，相對風暴前後期均呈現賣超的情況，且外資在風暴期也的確將資金明顯匯出台灣。外資標的股的獲利能力及財務健全性皆顯著優於一般上市公司，股性亦相對活潑。且不論在風暴或其前後期，外資標的股的投資報酬率均顯著優於大盤。

關鍵字

外資 ； 投資行為 ； 投資報酬率 ； 亞洲金融風暴

並列摘要

Under the trend of financial deregulation and internationalization, the limits on foreign fund into Taiwan capital market have been lifted gradually. The impact on the stock market remains to be tapped. This study attempts to analyze the investment behavior of the foreign investment funds in Taiwan. Whether they escape soon while the external environment is getting pale; whether their investment strategy differ when the environment changes; and whether they generate superior investment performance than the average.
The Asian Financial Storm in 1997 is used to distinguish the external environment into stable and unstable conditions, The investment behavior of foreign funds in Taiwan is examined for periods around it. The empirical results show that foreign funds are remitted out significantly during the Storm period. The put amount is significantly greater than buying. The stocks preferred have superior profitability and financial strength. The foreign investment funds also outperform the market.

並列關鍵字

foreign investment institution ； investment behavior ； investment performance ； Asian financial crisis

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