機構投資人預期與未預期買賣超衝擊 —新資訊反應及過度反應修正

Abstract

本研究主要探討預期與未預期機構投資人買賣單不平衡對於股價報酬變動的影響，以進一步研究市場對機構投資人買賣單不平衡是否存在過度反應現象，以及機構投資人的買賣超衝擊對股價報酬影響。本研究以實證方式證明機構投資人在交易偽裝行為下，日買賣超具有序列相關的現象，而非過去學術界所認定買賣超之期望值為零之假設。本研究進一步利用此交易行為，將機構投資人買賣超分作預期以及未預期之部分，發現市場對於機構投資人買賣超具有過度反應的現象，且機構投資人未預期買賣超對於報酬變動的解釋能力相當強。 本研究也以實證方式，證明在台灣股票市場中，機構投資人被認定具有資訊優勢且其他投資人經常參考其交易行為下，機構投資人之買賣單不平衡與股票報酬的相關性比傳統的價量關係密切。本研究也發現當期機構投資人買賣超與股票報酬及報酬變異之間呈現正相關，且在控制財報公布日、股利宣告日及債券發行宣告日等重要基本分析資訊時點後，機構投資人能夠事先分析資訊並且進行交易，進而影響股票報酬。

This article examines the influence of expected and unexpected order imbalance on stock price changes to investigate the market reaction toward institutional investors’ order imbalance and the impact of net purchase surprise in Taiwan’s stock market. We posit and show that the net purchases of institutional investors are serially correlated due to camouflage behavior and the conditional expected value of net purchase is not zero as conventionally considered in empirical papers. Utilizing this characteristic, we separate the net purchases into expected and unexpected components and document that market participants tend to overreact to institutional investors’ trades and the order imbalance surprises explain most of the variability of price changes. We also verify that, consistent with the notion that the institutional investors may be better informed from their deliberate analysis and the market tends to react to their trades, the correlation between order imbalance and returns is likely to be stronger than price-volume relationship in Taiwan’s stock market. Furthermore, we examine the impact of order imbalance on returns and find that the contemporary order imbalances are positively associated with price changes and return volatility. Moreover, after controlling the dates of the release of material fundamental information, our empirical results show that the institutional investors well incorporate new information and lead the market price changes.