外資買賣超對於台灣股市的影響與投資策略研究

Abstract

隨著政府開放外國人投資台股市場，不論是外資每日成交張數比例或是外資總持股比例，皆呈現持續上揚的趨勢，外資在台灣上市持股已超過市值的4成，每日交易量占比亦來到了2成7左右，也因此外資每日的買賣超時常成為其他投資人用做參考的投資指標。本研究希望藉由Jegadeesh and Titman (1993) 研究動能效果時使用的方法，探討將外資每日買賣超做投資指標是否能為投資人帶來超額報酬。結果發現：第一、參考外資每日買賣超數據在台股市場可為投資人帶來超額報酬，但此方法只適用於小股票，小股票定義為每日市值排名50分位數以下的股票。第二：此策略不論是熊市期間還是牛市期間皆有效，但牛市期間的獲利更顯著，而在資本資產定價模型(CAPM)調整後，我們仍能發現異常報酬(α)。第三、跟隨台股外資買賣能夠獲利的可能原因尚未有一致的說法，而本研究發現外資確實會持續的買入賣出，但效期非常短，大概只有一日。

Since the Taiwan government opened the stock market for foreign investors, both of the aggregate holdings of Taiwanese stocks by foreign investors and the daily trading volume of foreign investors have been trending upward. The aggregate holdings of Taiwanese stocks by foreign investors have exceeded 40% and the daily trading volume of foreign investors have gone up to about 27% as well. Therefore, foreign institutional net buying/selling is one of main reference indicators used by plenty of investors. This research applies the method of Jegadeesh and Titman (1993) to analyze whether we could help investors earn excess returns by using foreign institutional net buying/selling as a reference indicator. Firstly, the evidence supports that investors are able to earn excess returns by using foreign institutional net buying/selling as a reference indicator. However, this strategy is effective only on small-cap stocks, which is defined as the stocks trading in the bottom 50th percentile by market cap. Secondly, this strategy is profitable in both a bull and a bear market, while one could earn more in a bull market. Furthermore, after adjusting by the Capital Asset Pricing Model(CAPM), we are still able to find abnormal returns(α). Thirdly, there is little agreement as to why investors could earn excess returns with this strategy. We find that foreign investors continue to buy/sell particular stocks; however, it is valid for just one day.