本文主要進行兩大方向的研究,其一為探討國安基金條例的適用性,並提出精進建議方案,其二為相對於過去文獻,首度引入「個股層級資訊」進行分析國安基金持有股是否偏好台灣50成分股,以及國安基金持有股與非國安基金持有股之報酬率是否有所差異;以首度揭露個股層級資訊之第四次國安基金動支期間為研究樣本。在國安基金條例的適用性方面,本文共提出7項精進建議方案;包括「增列金管會主委為當然委員」、「將國安基金管理委員會人數提高至十五人,七位為具金融專長之遴選委員」以及明確條列「國內、外重大事件」之內容等。在「個股層級資訊」的分析方面,主要發現:「國安基金偏好持有台灣50成分股假說」是成立的,其主要原因為購入台灣50成分股能較顯著影響台灣加權指數,以達能達到護盤效果。國安基金持有股具有「在購股期間較抗跌以及在釋股期間漲幅較小之現象」;因此,在管理意涵上,本研究建議:在投資的時機上,投資人應等待國安基金進場一段時間後再進場投資,而投資的標的上,以非國安基金持有股較能獲得較佳之報酬率。
This study is focus on two issues. The first issue is regarding the feasibility comments on regulations for National Financial Stabilization Funds (NFSF) and recommendation on improving regulations on NFSF. The second issue is using NFSF's fourth providing supports data as a sample to analyze if NFSF's preference holding on the member stocks of TSEC Taiwan 50 Index and compared its return on investment (ROI) to non-NFSF-owned stocks. For the feasibility comments on regulations for NFSF, we have 7 recommendations which include ”commissioner of Financial Supervisory Commission should be the member of NFSF committee; increasing NFSF's committee members to 15 people and 7 of them, their expertise should be in the field of Finance; making clear announcement on important domestic and international shocking events.The hypothesis that NFSF's preference holding on the member stocks of TSEC Taiwan 50 Index is supported. The member stocks of TSEC Taiwan 50 Index have a great impact on Taiwan Stock Exchange Index. When NFSF purchased the member stocks of TSEC Taiwan 50 Index stocks during buying period, it will push the stock price to go up and served its purpose. The characteristics of NFSF-owned stocks are their stocks have a better performance during its buying period and an worse performance on its selling period. So we recommend the best time to invest is after NFSF starting to purchase the stocks, the investors should invest those non-NFSF-owned stocks because those stocks' ROI is better.