價量關係之研究--以時間變異模型分析外資買賣單不對稱

Price-Volume Relation--QFII Order Imbalance in Time Varying Model

張雅藍(Ya-Lan Chang)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10240

摘要

本研究藉由觀察外資每日對個股買賣單不對稱的現象來檢視外資對個股股價報酬率之影響，進而探討外資的交易行為是否具有資訊內涵，可供投資人參考並藉以獲取利潤。因此，我們從台灣證券交易所上市公司中挑選三十支個股為樣本，並分別蒐集其每日外資買賣超股數及股價報酬率，利用GARCH(1,1)模型來檢驗外資買賣單不對稱之價量關係。樣本期間自民國九十二年三月一日至民國九十二年十二月三十一日止。
實證結果發現如下：
1.不論同期或差一期的效果，外資買賣超資訊和個股報酬率間並沒有發現顯著的價量關係存在。
2.三十支個股樣本中，只有四到七個呈現顯著的關係，然而其影響方向卻不一致為正或負。
3.投資人無法輕易從外資的買賣資訊獲取投資參考價值，因此，跟隨外資的行為做交易並非一種良好的投資策略，投資人需尋求其他隱含資訊不對稱的參考資料來從中賺取利潤。

關鍵字

外資買賣超 ； 價量關係

並列摘要

This thesis focuses on QFII influences on stock returns by investigating order imbalance from QFII trading behavior, and then reveals whether there are information contents for investors to exploit and earn profit. We select thirty stocks from TSE and get the daily QFII excess buy/sell volume and return for each individual stocks from March 1, 2003 to December 31, 2003. We employ GARCH (1,1) model to examine the return-volume relation of QFII order imbalance.
The results of this study are described as follows:
1.There are not significant relations between QFII excess buy/sell and stock returns in contemporaneous and lag-one periods.
2.Only four to seven stocks among all samples have significant effects, but they are not consistent in positive or negative directions.
3.Investors cannot obtain referral value from QFII trading information. Consequently, following QFII trading behavior is not a good strategy for investment, they need to seek other references where exist information asymmetries and then can exploit it to take profit.

並列關鍵字

price-volume relation ； order imbalance

參考文獻

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2.Huang, C. H., 2002, “ The Research on the Transaction Information Announcement of the Three Major Institutional Investors in Taiwan Stock Market” Unpublished Thesis of Graduate Institute of Financial Management of National Chung Cheng University.

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