外資券商買賣建議與台灣權值股報酬率之關聯

Trading Suggestions Provided By Foreign Financial Firms And Stock Returns Of Taiwanese Blue-Chip Companies

頊祥程(Shiang-Cheng, Hsu)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2012年)

摘要

本研究主要在探討外資券商對台灣的權值股發佈買賣建議後，個股報酬率的變化是是否與投資建議的方向相同，以幫助投資人判斷哪些國家的券商所發佈的買賣建議最具具有參考價值。本文將外資券商分為美商、日商、港商和歐商四群，被推薦之個股則是從台灣50中挑選的31檔權值股，取樣的期間從2008年6月至2011年6月，並以買賣建議發佈後的四個交易日的個股平均報酬率為複迴歸的被解釋變數。估計的結果顯示，美商券商(如:花旗環球、摩根士丹立)發佈之買賣建議最能夠帶給投資者正的報
酬、或避開虧損。

關鍵字

券 ； 商 ； 建 ； 議

並列摘要

This research tries to investigate whether stock returns for Taiwan’s well-known companies change in the same direction as foreign financial firms’ trading suggestions. The purpose is to provide investors information about which groups of foreign financial firms make the most valuable trading suggestions. The financial firms are divided into four groups: American, Japanese, Hong-Kong and European. The 31 blue-chip stocks used have the largest trading values in Taiwan’s stock market and are among the Taiwan 50. Sampling period of this study is from June 2008 to June 2011, and average returns of four trading days for individual stocks after suggestions being given by foreign financial firms are employed as the dependent variable of my multiple regressions. The results show that American financial firms (e.g., City Corp., Morgan Stanley) perform the best in terms of giving useful information on buying and selling Taiwan’s blue-chip stocks. Investors may consider using their suggestions to earn some profits or avoid losses when trading domestic blue-chip stocks.

並列關鍵字

trading ； suggestions

參考文獻

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