台灣股市與台股投資人交易行為之實證研究

Abstract

本研究是以集中市場及櫃檯市場的8個指數報酬率及6個法人買賣超變數的月資料作為研究樣本，以單根檢定、VAR(向量自我迴歸)、Granger因果關係及衝擊反應，來探討台股投資人與台股市場間的互動關係。 以三大法人買賣超與集中市場及櫃檯市場的互動而言，外資及自營商無論在集中市場或是櫃檯市場都是追漲殺跌，而投信則是追跌殺漲，且外資在集中市場及櫃檯市場中都是領導者。在三大法人與摩台指的部分，本研究的實證結果顯示，只有投信與自營商與摩台指有顯著的因果關係，顯示台灣的投信與自營商，在進出台股時會受摩台指的影響。在跨市場方面，集中市場與櫃檯市場指數間並無互動的關係，而是三大法人間具有雙向的互動關係，顯示三大法人在二個市場間的操作也具有「從眾效應」；在融資餘額的部分，則是集中市場的融資餘額會影響櫃檯市場的融資餘額，這符合實務上的認知，櫃檯市場的投資人會以集中市場的走勢，當作在櫃檯市場操作的指標。

This study samples are the monthly stock indices returns and margin volumes of TSE market and OTC market.This study employs unit root,VAR,Granger causality and impulse response to examine the investment behaviors of Taiwan investors. The behavior between the Taiwan investors and returns of stock indices,in both TSE market and OTC market,Foreign investor pursues a positive feedback trading strategy while Investment Trust pursues a negative one.Dealer takes on the positive trading strategy in the TSE market whilst following a negative trading strategy in the OTC market. In the TSE market Investment Trust often plays a follower role trailing Foreign Investor and stock indices at the same time.Foreign Investor and Investment Trust have interactive effect on each other.However,in the OTC market,Dealer frequently acts as a follower tagging along Foreign Investor and Investment Trust.Investment Trust also followsForeign Investor.