台股籌碼變動率與股價變動率相關性探討

Assess the correlation between the variability of Institutional Investors and Credit Trading and that of the stock price's

曾士倬(Shih-Cho Tseng)

指導教授 ： 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201700262

摘要

台股近年結構轉變迅速，機構法人的影響力逐步攀高，而散戶逐漸退出市場，近十年散戶成交比重從70%降到50%出頭。在過往的文獻和實證中，機構法人因著資金和資訊等優勢其獲利和控盤能力遠較一般投資人為佳，但當市場參與者結構改變，機構法人彼此間的競爭與合作更顯激烈，法人過往的優勢是否仍將持續值得重新檢視。
將市場參與者分為六大群體，依序為法人機構的外資、投信、自營商與三大法人合計，散戶則依融資與融券代表。選取台股市值前二十大公司自100年1月1日至105年12月6日的成交資料與收盤價格，依據各群體每日淨買賣超除以總成交量得到各買賣超比率，以時間序列的計算檢視此比率與隔日和隔兩日股價變動率的相關程度，藉以判斷各群體在極短線的投資效益，即淨買賣超率與股價變動相關性。
實證發現：1.投信在法人機構中表現最佳，外資次之而自營商最差。2.散戶的融資融券表現僅次於投信。3.若採取跟隨策略根據當天各群體買賣超數據投資，若跟隨機構法人也是跟隨投信較佳但並無顯著收益，若追隨外資與自營商虧損機率高。根據統計反而融券增加於第三日股價下跌的機率較高。4.證所稅課徵後外資的控盤能力確實有顯著變化。
研究結果顯示在探討極短期報酬率的前提下，外資與自營商無突出表現，散戶也非必是弱者，但外資與自營商的買賣有很大程度受期貨和期權避險影響。故此研究乃針對股價而言。又當一般投資者採取跟隨機構法人買賣的策略，反而容易遭受損失。

關鍵字

法人 ； 籌碼 ； 股價

並列摘要

Taiwanese stocks have been rapidly altering its structure in recent years, the impact of institutional investors has been raising, and retail investors have started to exit the market, transaction % has dropped from 70% to approximately 50%. From the past literature and empirical practices, institutional investors, with greater funds and information, have a better chance of outperforming other investors; however, as market participant structure alters its composition, whether institutional investors can remain its advantages needs to be reassessed.
Dividing market participants into 6 segments: institutional segments - foreign investors, investment trust, dealer, institutional investors, and retail segments - margin trading, and short selling, and taking the top 20 companies in terms of their market cap from the transaction information and closing prices from January 1, 2011 to December 6, 2016, this paper then use each segment’s daily net buy/net sell and divided by total transaction volume to get each segment’s net buy/sell ratio. First, apply unit root test on each ratio, and then use time series calculation to examine the ratio with its following two days’ stock price rate of change to check correlation, in order to determine each segment’s investment return in the very short-term.
Empirical findings: 1. Investment trusts have superior performance, and then foreign investors and dealers. 2. Retail investors’ margin trading and short selling perform only slightly under investment trusts. 3. If the investment strategy is to follow each institutional segment’s net buy/sell, following investment trusts would yield a better performance but not significant return, and following foreign investors and deals would incur higher loss probability.
Research finding also indicates that on the very short term return premise, foreign investors and dealers do not have outstanding performance, and retail investors aren’t necessarily incompetent, but foreign investors and dealers’ performance are influenced by forward and option hedging to a certain degree. This paper only addresses the stock price aspect. And as retail investors follow institutional investors’ buy/sell strategies, they are more likely to suffer from losses.

並列關鍵字

Institutional Investors ； Credit Trading ； stock price

參考文獻

[2] 李正安 2015 。外資在期貨市場和股票市場的投資策略之研究。成功大學財務金融研究所碩士在職專班學位論文。

[5] 高蘭芬 2004 ，會計資訊對外資持股調整影響之研究，中山管理評論，第十二卷，第三期，頁441-464。

[4] 邱馨儀 2010 ，三大法人投資行為與臺灣股市指數報酬率之互動關係，樹德科技大學金融與風險管理系碩士班學位論文

[1] Barber, B.M. and T. Odean 1999 “The Courage of Misguided Convictions: The Trading Behavior of Individual Investors”, Financial Analyst Journal, November/December , 41-55.

[2] Barber, B.M., Y.T. Lee, Y.J. Liu, T. Odean 2004 “Are individual investors tax savvy? ” Evidence from retail and discount brokerage accounts.” Journal of Public Economics 88 (1), 419-442