台灣為淺碟型市場,為散戶投資佔為多數、高週轉率的股票市場,其中股票市場裡三大法人在證券市場占有舉足輕重的地位,其中三大法人包括外資、投信、自營商,就三大法人在股票市場持股與報酬率之間的關係在集中市場裡都是備受矚目的資訊,且機構投資人的重要性隨著市場的發展增加,因此本研究將探討三大法人持股比例與股價報酬率之間的影響關係,利用迴歸分析與模擬投資分析,並將報酬率與台灣加權股價指數之報酬率進行相比,實證結果發現三大法人持股比例越高的股票相對有較高的額的報酬率,此外我們選擇三大法人持股比例最高的五檔作為投資組合進行模擬投資,發現其平均報酬率優於大盤指數報酬率。
The stock market of Taiwan is a shallow-plate market, which has some characteristic features such as most of investors is individual , the turnover rate of stock market is high and three major institutional investors (including foreign investors, investment trust and dealers) have the significant influence. The relationship between the proportion of institutional investor holding and the rate of return is highly anticipated information. In recent years, the importance of three major institutional investors gradually increase in Taiwan, the study investigates the relationship between the proportion of institutional investor holding and the rate of return. Using regression analysis and simulation investment, we have the conclusions as follows: 1. The higher proportion of institutional investor holding of the stock have the higher rate of return, relatively. 2. We choose the stock which have top 5 proportions of institutional investor holding as the portfolio. And the rate of return for the proposed portfolio is greater than which on Taiwan weighted stock index (TWSI).