請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/74582
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳彥行(Yan-Shing Chen) | |
dc.contributor.author | Shiuan-Hao Hsu | en |
dc.contributor.author | 徐暄皓 | zh_TW |
dc.date.accessioned | 2021-06-17T08:43:59Z | - |
dc.date.available | 2021-01-22 | |
dc.date.copyright | 2021-01-22 | |
dc.date.issued | 2021 | |
dc.date.submitted | 2021-01-18 | |
dc.identifier.citation | Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. Basu, S. (1977). Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. Journal of Finance, 32(3), 663-682. Cai, F., Zheng, L. (2004). Institutional trading and stock returns. Finance Research Letters, 1(3), 178-189. Chan, L. K., Lakonishok, J. (1993). Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33(2), 173-199. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417. Gultekin, M. N., Gultekin, N. B. (1982). Stock market seasonality: International evidence. Journal of Financial Economics, 12(4), 469-481. Hameed, A., Kusnadi, Y. (2002). Momentum strategies: Evidence from Pacific Basin stock markets. Journal of Financial Research, 25(3), 383-397. Jegadeesh, N., Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1), 65-91. Klein, O., Maug, E., Schneider, C. (2017). Trading strategies of corporate insiders. Journal of Financial Markets, 34, 48-68. Sias, R. W., Starks, L. T., Titman, S. (2001). The price impact of institutional trading. Available at SSRN 283779. 余昭賢. (1997). 台灣股票市場風險、規模、淨值/市價比、成交量週轉率與報酬之關係. 國立交通大學管理科學研究所,碩士論文. 劉文讓. (2018). 投資人網路之研究. 臺灣大學財務金融學研究所, 碩士論文, 1-87. 劉麗瑜. (1991). 台灣股市之一月效果與形成因素之探討. 國立台灣大學商學研究所, 碩士論文. 李春旺. (1988). 股價行為與規模效應:台灣股票市場實證研究. 國立政治大學,博士論文. 王明昌、朱榕屏、王弘志. (2010). 台灣股市不存在中期動能效應嗎? 東吳經濟商學學報,第六十八期, 91-120. 盧陽正、翁振益、方豪. (2008). 臺灣股市三大法人持股調整, 群聚效應, 回饋交易, 串流行為與群聚之動量持續性. 管理與系統, 15(4), 523-543. 蕭朝興、黃聖棠、黃聖志. (2008). 臺灣股市外資之投資行爲. 商管科技季刊, 9(4), 547-573. 許溪南、王健聰、黃文芳. (2010). 台灣股市三大法人買賣超型態、強度與報酬之關聯性. 中華管理評論國際學報,第13卷,第4期, 1-22. 顧廣平. (1994). 漲跌幅與公司規模對股票報酬之影響-台灣股票市場之實證研究. 國立交通大學管理科學研究所, 碩士論文. 黃昭祥. (1992). 台灣股市公司規模、本益本、殖利率與價格效應交互作用之實證研究. 中山大學財務管理研究所, 碩士論文. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/74582 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-17T08:43:59Z (GMT). No. of bitstreams: 1 U0001-1801202112300400.pdf: 1433782 bytes, checksum: 953b19f07f74a4f23503357535cfb488 (MD5) Previous issue date: 2021 | en |
dc.description.tableofcontents | 口試委員審定書 i 誌謝 ii 摘要 iii Abstract iv 目錄 v 圖目錄 vii 表目錄 viii Chapter 1 緒論 1 1.1 緒論 1 Chapter 2 文獻回顧 4 2.1 效率市場假說(Efficient Market Hypothesis EMH) 4 2.2 市場異常現象(Market Anomaly) 4 2.3 跟隨台股外資進出獲得超額報酬 6 Chapter 3 研究設計 7 3.1 研究假說 7 3.2 研究方法 7 3.3 樣本 8 Chapter 4 實證結果 10 4.1 追隨外資買賣策略可獲得報酬 10 4.2 追隨外資買賣策略適用於牛市與熊市 11 4.3 策略投資組合特性 12 4.4 追隨外資買賣策略能夠獲利的原因 14 4.5 追隨外資買賣策略與大盤績效 16 Chapter 5 結論與建議 19 5.1 結論 19 5.2 未來研究建議 20 參考文獻 21 | |
dc.language.iso | zh-TW | |
dc.title | 外資買賣超對於台灣股市的影響與投資策略研究 | zh_TW |
dc.title | The Impact and the Investment Strategy of Foreign Institutional Net Buying/Selling on Taiwan Stock Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 109-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 莊文議(Wen-I Chuang),王衍智(Yan-Zhi Wang) | |
dc.subject.keyword | 外資,買賣超,資本資產定價模型,台股, | zh_TW |
dc.subject.keyword | Foreign Investor,Net Buy/Sell,Asset Pricing,Taiwan Stocks, | en |
dc.relation.page | 22 | |
dc.identifier.doi | 10.6342/NTU202100081 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2021-01-19 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
U0001-1801202112300400.pdf 目前未授權公開取用 | 1.4 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。