地緣政治風險與經濟政策不確定性對台灣三大法人交易行為的影響

Abstract

本研究探討地緣政治風險（Geopolitical Risk, GPR）與經濟政策不確定性（Economic Policy Uncertainty, EPU）對台灣三大法人 — 外資、投信、自營商在股市中交易行為的影響，檢驗不同機構投資人面對不確定性風險時，是否展現出異質性反應。

實證部分，本文使用 2008 年至 2024 年台灣三大法人的月度買賣超資料，結合全球與區域不確定性指標，搭配多個總體經濟與市場控制變數，建構普通最小平方法（OLS）模型探討變數間的相關性，並進一步以工具變數廣義矩估計法 (IV-GMM) 處理潛在內生性問題，強化風險變數對法人行為是否具有因果影響的推論力，同時輔以事件動態分析觀察法人在風險指數「驟升」與「驟降」期間的行為變化。

OLS 模型結果顯示，三大法人對風險變數的反應具有異質性：外資反應相對滯後，無明顯統一方向；投信對不確定性具顯著的負向反應，呈現風險趨避與穩健配置特性；自營商則對風險指標呈正向顯著反應，傾向於事件中積極進場。GMM 模型在控制潛在內生性後，進一步驗證了這些異質性行為並強化結果的穩健性。

事件動態分析則補充回歸模型以外的實證觀察，說明在重大風險事件爆發後，三大法人確實展現出不同的資金調整行為：投信維持相對穩健且防禦性的操作風格，符合風險趨避和保守配置的特徵；自營商則在事件過後積極重建部位，展現高度靈活特性。

本研究結果清楚突顯出台灣三大機構投資人在面對地緣政治風險與經濟政策不確定性衝擊時，會採取差異化的調整策略，並觀察到近年投信對風險訊號的敏感度明顯上升，顯示其更加重視風險管理與防禦性配置；同時，投資人對全球性風險指標的反應顯著性也有所提升，反映出全球市場風險在機構資產配置決策中日漸重要。這些發現可加強對機構投資人決策邏輯與行為模式的理解，為投資組合管理、風險控制與產品設計提供實務參考。

This study investigates the impact of Geopolitical Risk (GPR) and Economic Policy Uncertainty (EPU) on the trading behavior of the three major institutional investors in Taiwan’s stock markets: foreign investors, investment trusts, and proprietary traders, and examines whether institutional investors exhibit heterogeneous responses when facing uncertainty-related risks.

Using monthly data from 2008 to 2024 to investigate the net buying/selling activities of the three institutional groups, the study adopts both global and regional uncertainty indicators, along with multiple macroeconomic and market control variables as predictors. Ordinary Least Squares (OLS) models are constructed to explore correlations among variables, and Instrumental Variable Generalized Method of Moments (IV-GMM) is further employed to address potential endogeneity and strengthen causal inference on whether risk factors significantly influence institutional trading behavior. In addition, dynamic analysis is conducted to observe investor behavior during “sudden rise” and “sudden drop” episodes of the risk indices.

The OLS model results reveal substantial heterogeneity in institutional responses to risk variables. Foreign investors tend to show lagged responses. Investment trusts respond significantly and negatively to uncertainty, reflecting their risk-averse behavior and preference for stable asset allocation. Proprietary traders, in contrast, show significantly positive responses to risk indicators, suggesting a tendency to actively enter the market during uncertain periods. The GMM results, after controlling for potential endogeneity, further confirm these heterogeneous behaviors and reinforce the robustness of the findings.

The dynamic analysis supplements the regression analysis by providing empirical observations beyond the model framework, illustrating that the three institutional groups indeed demonstrate distinct capital adjustment logics following major risk events. Investment trusts maintain relatively stable and defensive strategies, consistent with their risk-averse and conservative positioning; proprietary traders actively rebuild positions after events, showcasing their high flexibility.

Overall, these findings highlight that institutional investors in Taiwan adjust their trading strategies in distinct ways when facing geopolitical and policy uncertainty shocks. Moreover, in recent years, investment trusts have shown a marked increase in sensitivity to risk signals, indicating a greater emphasis on risk management and defensive allocation. At the same time, the significance of global risk factors in the responses of investors has also increased, reflecting the growing importance of global market risks in institutional asset allocation decisions. These insights enhance the understanding of institutional behavioral patterns and provide practical implications for portfolio management, risk control, and product design.