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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬(SIH-KUAN CHEN) | |
dc.contributor.author | Shih-Cho Tseng | en |
dc.contributor.author | 曾士倬 | zh_TW |
dc.date.accessioned | 2021-05-13T06:48:35Z | - |
dc.date.available | 2020-02-16 | |
dc.date.available | 2021-05-13T06:48:35Z | - |
dc.date.copyright | 2017-02-16 | |
dc.date.issued | 2017 | |
dc.date.submitted | 2017-01-25 | |
dc.identifier.citation | 中文文獻
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/2677 | - |
dc.description.abstract | 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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-05-13T06:48:35Z (GMT). No. of bitstreams: 1 ntu-106-R04724056-1.pdf: 1180284 bytes, checksum: f3683f19711426854274be707ca989a7 (MD5) Previous issue date: 2017 | en |
dc.description.tableofcontents | 口試委員會審定書 #
誌謝 i 中文摘要 ii ABSTRACT iii CONTENTS v LIST OF TABLES viiii Chapter 1 緒論與研究動機 1 1.1 研究背景 1 1.2 研究動機與目的 10 1.3 研究架構 11 Chapter 2 文獻回顧 12 2.1 市場參與者 12 2.1.1 機構法人 12 2.1.2 散戶 15 2.2 機構法人對股價的影響力 17 2.2.1 機構法人對股價具影響力 17 2.2.2 機構法人對股價不具影響力 18 2.3 投資理論與策略 19 2.3.1 從眾行為 19 2.3.2 正向回饋交易行為 19 2.3.3 動能投資策略 19 Chapter 3 研究架構 21 3.1 資料樣本選定與蒐集 21 3.2 研究方法 23 3.2.1 數據來源 23 3.2.2 分類 23 3.2.3 淨買賣超比率 23 3.2.4 個股日報酬率計算 24 3.2.5 估算方法 25 3.2.6 其他 25 Chapter 4 實證結果分析 26 4.1 實證結果 26 4.1.1 淨買賣超率與隔日報酬率相關性 26 4.1.2 淨買賣超率與第三日報酬率相關性 26 4.1.3 證所稅課徵前後外資淨買賣超率與隔日報酬率相關性 31 4.2 實證分析 34 4.2.1 各族群分析-隔日效益-外資 34 4.2.2 各族群分析-隔日效益-投信 36 4.2.3 各族群分析-隔日效益-自營商 37 4.2.4 各族群分析-隔日效益-三大法人 38 4.2.5 各族群分析-隔日效益-散戶 38 4.2.6 各族群分析-隔日效益-結論 39 4.2.7 跟進策略-以第三日績效評價 40 4.2.8 證所稅課徵前後外資淨買賣超率與隔日報酬率相關性 41 Chapter 5 結論與建議 42 5.1 研究結論 42 5.2 研究建議 43 參考文獻 44 中文文獻 44 英文文獻 45 LIST OF TABLES 表 1-1-1 95~104年台股投資人類別交易比重統計表 3 表 1-1-2 89~104年外資持有台股比例統計表 4 表 1-1-3 89~104年上市股票交易量值 5 表 1-1-4 89~104年本國自然人與法人日均機構成交量 5 表 1-1-5 105年11月台灣投信投顧管理資產總額 6 表 1-1-6 89~104年105年11月台股投信基金部位 6 表 1-1-7 89~104年105年11月台灣境內投信公司家數統計表 7 表 1-1-8 89~104年105年11月台灣境外基金總代理國內投資人持有資產 7 表 1-1-9 89~104年99-105年專營券商家數 8 表 1-1-10 89~104年100-105年融資融券餘額 8 表 1-1-11 89~104年100-105年105年12月證交所統計外資持股比例 9 表 3-1-1 台股市值前20大個股 22 表 4-1-1 101~105 1~20市值股票投資與隔日效益檢測統計 26 表 4-1-2 101~105 1~20市值股票投資與第三日效益檢測統計 26 表 4-1-3 101~105 1~10市值股票投資與隔日效益檢測 27 表 4-1-4 101~105 11~20市值股票投資與隔日效益檢測 28 表 4-1-5 101~105 1~10市值股票投資與第三日效益檢測. 29 表 4-1-6 101~105 11~20市值股票投資與第三日效益檢測 30 表 4-1-7 101~105三區段 1~20市值外資投資與隔日效益檢測統計 31 表 4-1-8 101~105三區段 1~10市值外資投資與隔日效益檢測 32 表 4-1-9 101~105 11~20市值外資投資與第三日效益檢測 33 表. 4-2-1 101~105 近年外資期貨交易口數與契約金額 35 表. 4-2-2 101~105 105年自營商每月交易金額 37 | |
dc.language.iso | zh-TW | |
dc.title | 台股籌碼變動率與股價變動率相關性探討 | zh_TW |
dc.title | Assess the correlation between the variability of Institutional Investors and Credit Trading and that of the stock price's | en |
dc.type | Thesis | |
dc.date.schoolyear | 105-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 萬哲鈺(JHE-YU WAN),高一誠(YI-CHENG GAO) | |
dc.subject.keyword | 法人,籌碼,股價, | zh_TW |
dc.subject.keyword | Institutional Investors,Credit Trading,stock price, | en |
dc.relation.page | 47 | |
dc.identifier.doi | 10.6342/NTU201700262 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2017-01-25 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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