二十一世紀初,全球經濟即將邁入一個新的里程碑,而全球資金移動的快速,更是令人矚目,其中又以進出亞太地區新興市場的資金數量為最多。當外資逐漸增加其投入台灣証券市場的資金比重時,對於以散戶為主的台灣股票市場之投資人應該如何掌握外資的脈動,而外資交易行為會對我國股市產生何種衝擊,以及外資持股的股價是否具有領先指標,外資買賣超是否含有投資情報的內函。並進一步探討外資買賣超之標的個股報酬率與整體股市的報酬率的關係,以及在多頭市場,空頭市場評估投資人跟隨外資操作的可行性。 檢視外資買賣超第一名之個股與市場表現的變化關係,以及買賣個股後五日異常報酬之變化情形。並且透過 獨立性檢定,檢定外資買賣金額與大盤加權指數漲跌之相關性。 本研究之結論如下: 1. 研究期間中,對外資買進日報酬率分析與檢定結果顯示,外資投資報酬率較大盤加權指數報酬率為高。 2. 外資當日買超標的股之報酬率平均值大於大盤加權指數報酬的平均值,足見外資買超標的股具有較佳之投資績效。當外資大量買入個股時,該股有顯著正的異常報酬。 3. 外資當日買超之第一名個股,無論在多頭市頭或空頭市場均較大盤加權指數具有較佳的報酬率,而投資人在次日跟進時,無論在多頭市場及空頭市場也較大盤的加權指數具有較佳的報酬率。 4. 有關外資買超之標的股,在當日、及次一日均有較佳於大盤加權指數的報酬率,但是在次二日、次三日、次四日及次五日則無顯著報酬的訊息。 5. 有關多頭市場外資賣超之標的股,在當日、次一日及次二日均顯著劣於大盤加權指數報酬率,也就是外資賣超標的股之當日、次一日及次二日股價的跌幅較重於大盤加權指數的跌幅,然而在次三日、次四日及次五日則無此訊息。在空頭市場外資賣超標的股,於當日、次一日,至次五日均未顯著劣於大盤加權指數報酬率,所以投資人也無法經由外資賣超的訊息跟進而獲得較高的報酬。
At the beginning of 21th centenary, global economy will enter a new stage, and the international capital will flow more fastly and dramatically than before, there are huge amount of foreign capital will follow into Asian emerging markets. As foreign capital increasingly lift up their capital ratio investing in Taiwan security market, Taiwan’s individual investors should realize the way Qualified Foreign Institutional Investors (QFII) invests, and how their trading affects Taiwanese stock market. This study attempts to explore the relationship between the rate of return of QFII’s investment and that of Taiwan Stock Exchange index (TAIEX), and then evaluates the possibility of following QFII’s trading behavior during the bull and bear market. This study examines the relation ship of return between foreign capital's overbuy & oversell No.1 and that of overall market. This work also examines the change in the abnormal return of trading stocks for five days after buying that stocks. Last but not least, this investigation explores the change in the association of the amount of foreign capital trading and the change in TAIEX. The empirical results are as follows: 1. The ROI of QFII is significantly higher than that of TAIEX. 2. The average rate of return on the stock which QFII overbuys at first day is higher than that of TAIEX. It indicates that QFII has very good performance. This study also finds that if QFII buys one stock at specific huge amount, the stock will usually have a positively abnormal return. 3. The result demonstrates that, no matter it is in the bull market or bear market, the rate of return on the specific stock which QFII overbuys at first day is usually higher than that of TAIEX. Even investors follow QFII’s target at the next day, the rate of return of on the specific stock is also higher than that of TAIEX, no matter it is in the bull market or bear market. 4. This study finds that at the first day, and the second day, the rate of return on a specific stock which QFII overbuys is highest than TAIEX. However, there are no similar result after the third day. 5. The result indicates that when the stock market is a rising market, the rate of During bull market, at first day, the next day, and the next second day, the return of the specific stock which QFII oversells is worse than that of TAIEX for the first there days after the transaction. If the stock market is a bear market, since the rate of return on the specific stock which QFII oversell isn’t worse than that of TAIEX for the first days after the transaction. This result suggest that investors cannot get higher rate of return by simply following the oversell information of QFII.