機構投資人行為與台灣股市報酬的關聯性

The Relationship between Institutional Investors' Behavior and Stock Returns in Taiwan

林哲鵬(Che-Peng Lin) ； 黃昭祥(Chao-Hsiang Huang) ； 李春安(Chun-An Li)

《財務金融學刊》 14卷2期 (2006/06) Pp. 111-150

https://doi.org/10.6545/JFS.2006.14(2).4

摘要

近年來，許多研究指出機構投資人具有買進過去贏家並賣出過去輸家的正向回饋交易行為，也有不少文獻提及國外股市存有短期反轉以及中期動能的現象。面對這些實證結果，本研究嘗試以台灣機構投資人為切入點，進一步探討股市動能／反轉現象是否與機構投資人的交易行為有關。研究樣本來自台灣上市公司日資料，研究期間為民國90年1月1日至93年5月31日。結果顯示，台灣股市短期存有顯著的動能效應，中期則有顯著的反轉現象；同時，我們也觀察到台灣的機構投資人短期帶有正向回饋交易、中期帶有反向回饋交易的行為。在控制機構投資人持股增加率後，本研究發現，機構投資人的持股變化可解釋台灣股市大部份的短期動能以反中期反轉的現象。機構投資人－特別是投信的交易行為，確實與台灣股市的報酬率，尤其是股市的短期動能與中期反轉現象有著極為密切的關聯。

關鍵字

動能 ； 反轉 ； 機構投資人 ； 正向（負向）回饋交易

並列摘要

In recent years, studies indicate that institutional investors tend to follow positive feedback trading strategies, i.e., to buy previous winners and sell previous losers. In the U.S. stock market, short-term reversal and middle-term momentum phenomena are documented in the literature. This study use daily data to investigate the relationship between institutional investors' behavior and the momentum/reversal trends of Taiwan stock market during the period from January 01, 2001 to May 31, 2004. Our results indicate the existence of short-term momentums as well as middle-term reversals in Taiwan's market. We also observe that institutional investors in Taiwan follow positive feedback trading strategies during short-term trading periods but follow negative feedback trading strategies during middle-term trading periods. After controlling institutional investors' holding shares, this study shows that institutional investors' behavior is able to explain both short-term momentum and middle-term reversal trends in Taiwan. In conclusion, trading behaviors of institutional investors (especially SITC-Securities Investment Trust Companies) play an important role to stock returns in Taiwan

並列關鍵字

momentum ； reversal ； institutional investor ； positive (negative) feedback trading

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