外資資訊領先地位之探討

On the Informational Leading Role of Foreign Institutional Investors

游智賢(Chih-Hsien Yu)

《中國財務學刊》 7卷3期 (1999/12) Pp. 1-26

https://doi.org/10.6545/JoFS.1999.7(3).1

摘要

本研究之主要目的，在於探討外資在台灣股市中，是否具資訊領先之指標作用。實証結果發現，外資於股市空頭時期，確實具有資訊領先之現象。這顯示外資可能確實擁有較即時且品質較佳之市場訊息，使其在投資行為上，得以較其他投資人更早一步反應市場之資訊。同時，吾人亦發現，大規模公司亦具有類似之資訊領先現象。由於資料顯示，外資通常較偏好持有規模較大之公司的股票，故本研究乃進一步分別控制外資持股與公司規模兩項變數之後，再進行檢定。結果顯示，當股市面臨重大利空事件而急劇下挫時，外資確實扮演著資訊領先之角色，而公司規模大小已不具任何指標性作用。

關鍵字

外資 ； 資訊領先 ； 公司規模 ； 東亞金融風暴 ； VAR檢定 ； 動態關係

並列摘要

The purpose of this study is to explore the leading role of foreign institutional investors in reflecting the market inform at ion in Taiwan's stock market. Our empirical results show that in periods of bear market, the return s of stocks with more foreign institutional investment tend to lead those with less foreign institutional investment. This implies that foreign institutional investors may acquire more timely and higher-quality information such that the y tend to reflect mark et information faster than other investors. Furthermore, we also find that the returns of stocks with larger firm sizes reflect market information faster than those with smaller firm sizes. Since our data shows that foreign institution al investors prefer investing in stocks with larger firm sizes, we further explore the relative roles that foreign investment and firm size play in the speed of reflecting market information by controlling each of the factors separately The result indicates that, after controlling for the firm size, foreign investors still play an important leading role in their investment behavior and thus reflect market information faster than other investors. However, returns of the large firm stocks no longer lead those of the small firm stocks once they are within the same group with similar level of foreign investment.

並列關鍵字

foreign institutional investors ； informational leading ； firm size ； East Asia financial turmoil ； VAR test ； dynamic relations