三大法人買賣超對台股指數報酬之影響

Net Position of Three Institutional Investors and the Returns of the Stock Price: Evidence from Taiwan

張耀云(Yao-Yun Chang)

指導教授 ： 李顯峰

國立臺灣大學/社會科學院/經濟學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.10622

摘要

本研究主要探討在2008年金融海嘯結束後，三大法人之買賣超對台股指數報酬之影響。藉由自我向量迴歸模型來探討三大法人與指數之關係。經由實證顯示發現外資不能granger影響其他法人進出，另外大盤指數不能granger影響外資進出，顯示外資並沒有追漲殺跌。推測差異關鍵是金融風暴結束後，國際性資金由保守型資產移往風險性資產，外資的加減碼並非考量台灣個別因素，而是全球性的回補持股。本研究亦指出加權指數與投信買賣超呈現雙向影響。推測因股票型基金贖回造成結果影響，由於金融風暴結束後，投資人不但不加碼反而逆向贖回，故造成經理人只能做減碼動作，由此可解釋投信買賣超受大盤漲跌影響極大。過去研究指出自營商操作手法為追高殺低，而非領先大盤，與由本文實證自營商進出granger影響(領先)大盤有不同，經由推測自營商通常有嚴格的停損機制，若盤勢遇到空頭年通常會啟動停損機制，故容易被研究者解釋為自營商受大盤報酬影響追高殺低。由於本研究挑的時間點為金融風暴結束後，指數一路大漲，未觸發停損機制，故能解釋自營商進出granger影響(領先)大盤之結論。

關鍵字

外資 ； 投信 ； 自營商 ； VIX ； 金融海嘯

並列摘要

This paper investigates the influence of the net traded position of three institutional investors in the share returns of Taiwan stock market TAIEX index from April 2009 to March 2010 in Taiwan, i.e., at the ending of 2008 international financial turmoil. We estimate the relationship between trading pattern of three institutional investors and the TAIEX by the VIX indicator using the vector autoregression model (VAR). It shows that foreign institutional investors cannot granger-cause other institutional investors, and the TAIEX index cannot granger-cause foreign institutional investors. Thus, it seems that foreign institutional investors don’t purchase at ever-high share prices and sell at ever-low prices. It’s possibly that global capital flows from safety assets into risky assets at the ending of international financial turmoil. The increase/decrease of foreign purchasing Taiwan’s shares doesn’t depend upon specific local factors, rather than its globally portfolio strategy to cover the position.

In addition, our empirical findings show that there exits a bilateral causality between the TAIEX index and the net position of investment trusts companies. It possibly results from the redemption of equity funds, because investors inversely purchase back rather than invest more at the ending of financial turmoil. Managers of equity funds could only reduce the holding position. Therefore, the net position of investment trusts companies could significantly and laggardly be influenced by the change of the TAIEX index, rather than lead the TAIEX index. This evidence seems to be in contradiction to those of previous literature that dealers only continue to buy at ever-high prices and sell at ever-low prices, rather than they don’t lead the TAIEX index. We suggest that dealers usually set down a stop-loss mechanism, when the TAIEX index is launched a stop-loss mechanism in a bear market. It could be understood that dealers follow the TAIEX index and buy at ever-high prices and sell at ever-low prices. Because the sample period is at the ending of international financial turbulence, the TAIEX continuously increase, and doesn’t trigger the stop-loss mechanism. Therefore, dealers lead to granger-cause the TAIEX index.

並列關鍵字

foreign institutional investors ； investment trusts company ； dealer ； VIX ； international financial turmoil ； granger-causality ； VAR

參考文獻

曾富敏(2005)，以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人

郭富源(2007)，外資買賣超對投資績效的影響-以台灣50指數為例，國立中

李宛柔(2006)，波動率指數於真實波動率及指數報酬之相關研究，國立中央大學企管研究所碩士論文。

吳淑華(2009)，指數選擇權隱含波動度技術指標資訊效果之實證研究-以

Bekaert, G. and C. R. Harvey (1997a), “Foreign Speculators and Emerging Equity Market,” NBER working paper 6312.